Date post: | 30-Dec-2015 |
Category: |
Documents |
Upload: | sheryl-curtis |
View: | 229 times |
Download: | 0 times |
The The FutureFutureEvaluate Skill NOT Style
Performance Performance MeasurementMeasurement
And AttributionAnd Attribution
Luck?Luck???
If you don’t know the problem,you can’t fix it.
Old Approaches Don’t Old Approaches Don’t WorkWork
Skill?? =Style??
Off-the-shelf Benchmark
Portfolio
Results
Performance AnalysisPerformance Analysis 1980’s Slicer & Dicer 1980’s Slicer & Dicer
SectorSizeYieldP/E
LuckLuckSkillSkill
Bridge the GapBridge the Gap Is Your Manager Lucky or SkillfulIs Your Manager Lucky or Skillful??
Past ISIS Prologue: Information Ratios and
Sortino Omegas PERSIST
M arke t Re tu rn S tyle E ffec ts
S to ck S e lec tion S ecto r Allo ca tion A ctiv ity
S k ill*
* Gruber(96), Stewart(98), Rudd & Kahn(99,00,01), Ibbotson(01)
GettingWHY’s
MPT, PMPT, APT, RBSA… Market and Style effects dominate Style-&-market-adjusted success/failure persists Signal / Noise
The difference between The difference between
Style and SkillStyle and Skill Styles go in & out of favor Skill persistsSkill persists
M arke t Re tu rn S tyle E ffec ts
S to ck S e lec tion S ecto r Allo ca tion
S k ill
AttributionAttribution
Against Custom Style Blend
Sources of ReturnSources of Return
Returns or Holdings
StyleStyleAnalysiAnalysiss
Value
Core
Growth
Sector Allocation & Stock Selection
Fund ReturnsStyle Opportunities
Custom Style BenchmarkCustom Style Benchmark
TrendsStyle AllocationSector AllocationCumulative Performance
Cum Sources of Cum Sources of Value Added – Value Added – PersistencePersistenceRelative Performance
Consistent Consistent Sources of Sources of
Value AddedValue Added
The Best The Best Picture Picture
Talent Contest Talent Contest Made Easy Made Easy
Winners of the Style-Style-adjustedadjusted Performance Race
Reasons for Win ConfirmPeople, Process, Philosophy
Equity Equity DiversificationDiversification
Sector: Technology, Consumer, Health Care
Characteristics: Capitalization, P/E, yield, R-squared
Equity Equity DiversificationDiversification
Sector: Technology, Consumer, Health Care
Characteristics: Capitalization, P/E, yield
StyleStyle
Some Suggested Criteria
Mutually Exclusive: Multicollinearity/ Holdings Reports
Exhaustive (Includes everything): Fit/ Holdings Reports
Regular Rebalancing: Adjust to Change
Core: Value-Growth Compromise
Surz Style DefinitionsSurz Style Definitions
Capitalization
Large : Top 65% of $s
Mid : Next 30%
Small : Bottom 5%
E/P + y + B/P
Value : Top 40%
Core : Middle 20%
Growth : Bottom 40%
Rebalanced Quarterly
Research
Caution PopularityPopularity is notis notNecessarilyNecessarilySynonymous Synonymous withwith QualityQuality
Mobius ResearchMobius Research
Candidates : Russell, Surz, Pru, Wilshire, Vestek
Fundamental : All win except WilshireTracking error : Surz & RussellMulticollinearity : SurzCoverage : Surz & Russell
IMCA ResearchIMCA ResearchCandidates: Barclays, Barra, Dow Jones, IIA, OakBrook, Parametric, Prudential, Russell, S&P, Salomon, Surz, Wilshire
Criterion: Best Average Fit ( Adjusted R2) Separate Account Winners:
Russell, Surz, S&P/BGIRussell, Surz, S&P/BGIMutual Fund Winners:
Russell, Surz, WilshireRussell, Surz, Wilshire