Manager Selection: The Quixotic Search for Skill

Manager Selection: The Quixotic Search for Skill

Active skill exists …. but it is challenging to detect reliably and, even when present, decays over time.   The Problem: The traditional approach to manager selection involves some combination of quantitative and qualitative analysis, but conventional...
Manager Selection: The Quixotic Search for Skill

The Problem with Performance Evaluation

The conventional approach to evaluating past performance does not tell us anything useful about the future.   Problem Portfolio performance evaluation is useful only if it can lead to actionable insights. The uncomfortable truth is that conventional performance...
Manager Selection: The Quixotic Search for Skill

Mutual Fund Closet Indexing

In order to earn its fees, an active mutual fund must take risks.  Much of the industry does not even try. Mutual fund closet indexing is the practice of charging active fees for passive management. Over a third of active mutual funds and half of active mutual fund...
How ESG Overlays Can Lead to Unintentional Market Bets

Complimentary Portfolio Risk Analysis

Please consider reviewing a risk analysis of any of your equity portfolios or funds.   If you provide holdings (tickers or ISINs), weights, and the portfolio’s benchmark, we’ll respond with:   Your portfolio’s current risk relative to its benchmark (its...
How ESG Overlays Can Lead to Unintentional Market Bets

See for Yourself

The best way to see the value of passive-factor risk models is to try the them. Take a test drive.    Drive as far as you like, for as long as you like, without any obligation. You’ll be glad you did. Or let us share how your ESG guidelines change your equity...
How ESG Overlays Can Lead to Unintentional Market Bets

Complimentary ESG Risk Analysis

ESG constraints create unintentional systematic exposures within equity portfolios. Once identified and measured, these exposures are easily managed. We would be pleased to model how your ESG criteria change your portfolio’s risk exposures. Over the past decade,...
Manager Selection: The Quixotic Search for Skill

Redefining Active Risk and Isolating Skill

Redefining Active RiskIsolates Skill and Reveals Closet-indexers   Passive beta differences with a benchmark are a byproduct, typically unintentional, of any stock-selection process.  Since consistent passive differences, once properly identified, can be freely...
How ESG Overlays Can Lead to Unintentional Market Bets

Betas

Beta  A beta coefficient can measure the volatility of an individual stock compared to the systematic risk of the entire market, a market sector, or style. In statistical terms, beta represents the slope of the line through a regression of data points. In finance,...