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Your Alpha is My Beta
The goal of this missive was to demonstrate that, when it comes to alpha, where you stand depends profoundly on where you sit. Different investors with varying levels of knowledge, experience, access, and operational expertise will interpret different products and strategies as delivering different magnitudes of value added. At each point, an investor may be theoretically ‘better off’ from adding even simple strategies to the mix, perhaps at lower fees, and even after a guiding Advisor extracts a reasonable fee on top. More experienced investors may be able to harness a broader array of risk premia directly, and thus be willing to pay for a smaller set of more exotic risk premia. It turns out that ‘alpha’ is a remarkably personal statistic after all.
Keep ReadingSNB, CHF and Our Colleague…
The Swiss Franc (CHF) was the talk of the financial world last week. We feel compelled to write something about it, but our response will be measured because we know someone directly affected by the situation. You see, we have this colleague…
Keep ReadingFinding a Competitive Edge, Part 1
In Saturday’s playoff game he rolled out a new strategy designed to confuse the Baltimore Ravens’ defense. The details get tricky, but basically the NFL rules require that 7 players on offense must line up on the line of scrimmage.
Keep ReadingDow 20,000: Is 2015 the Year?
It’s that time of year again. Yup, that jolly, happy time of year when the soothsayers of Wall Street start trumpeting their views on what’s going to happen in 2015, and how to position portfolios to profit.
Keep ReadingA Century of Generalized Momentum
We enjoy collaborating on new research projects simply because nobody has a monopoly on interesting ideas. Where our expertise in asset allocation, tactical strategies and portfolio optimization methods might prove useful, we are always open to discussing new and ongoing research.
Keep ReadingMeasuring Tactical Alpha, Part 2
When we left off in Part 1, we promised to examine how select Global Tactical Asset Allocation products stack up against the Global Market Portfolio from the perspective of several performance measures – particularly Sharpe ratio, alpha and information ratio.
Keep ReadingMeasuring Tactical Alpha, Part 1
Grinold linked investment alpha and Information Ratio to the breadth of independent active bets in an investment universe with his Fundamental Law of Active Management. Breadth is often misinterpreted as the number of eligible securities in a manager’s investment universe, but this ignores the impact of correlation.
Keep ReadingThe Ever-Depressing SPIVA: 2014 Mid-Year
The Mid-year S&P Dow Jones Indices SPIVA Canada Scorecard is out, and it’s everything that we’ve come to expect from the discretionary stock-picking world. But this time was unique even by our standards in that, for the first time in memory, not a single Canadian Dividend & Income equity fund outperformed it’s benchmark over the last 5 years.
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