Showing 10 Insights
The Storm after the Calm | March 2012
The experience of almost every investor alive was accumulated during the stable Cold War period and the lingering calm that led to the current century. That stable world is gone and a period of instability, like that of the first half of the 1990s, is upon us. In this new environment, investors will need to draw upon a different set of investment disciplines in order to succeed. Game theory, macroeconomics, and geopolitics are tools that have not been standard to the typical analyst's toolbox, but they should be. This article discusses these tools and applies them to the current situation in order to understand today's ostensible confusion and to peer into the coming decades with appropriate perspective.
The Storm after the Calm - PDF - March 2012
Antecedent Analysis | November 2011
Antecedent counsel is provided as internal guidance to our portfolio managers and analysts. This counsel is not a forecast and has a longer time horizon than our commentaries. We use this guidance to inform our fundamental analysis, having measurable impact on our model inputs. Antecedent counsel should assist our clients in understanding our analysis and strategies.
Antecedent Analysis and Strategy Counsel - PDF - November 2011
Asset Allocation vs. Security Selection: Their Relative Importance
Discussion of the relative impact on portfolio outcomes of top-down compared to bottom-up investment decisions.
Singer, Brian and Renato Staub. “Asset Allocation vs. Security Selection: Their Relative Importance.” Investment Performance Measurement Feature Article, January 2011, Vol. 2011, No. 1:1-9.
Asset Allocation vs Security Selection - Their Relative Importance
The Empirical Law of Active Management: Perspectives on the Declining Skill of U.S. Fund Managers
This paper examines the evolution skill and diversification since the 1980’s among US mutual funds using a new analytical framework.
Senechal, Edouard. “The Empirical Law of Active Management: Perspectives on the Declining Skill of U.S. Fund Managers.” The Journal of Portfolio Management, Fall 2010, Vol. 37, No. 1, pp. 121-132
The Empirical Law of Active Management
Modeling Illiquidity Premiums for Alternative Investments
Alternative investments generally require investors to commit funds for a specified lockup period. Illiquidity premiums provide compensation for the associated loss of investment flexibility.
Staub, Renato. “Modeling Illiquidity Premiums for Alternative Investments.” CFA Institute Conference Proceedings Quarterly. June 2010,Vol. 27, No. 2, 5 pages
Modeling Illiquidity Premiums for Alternative Investments
Strategies, structures and actions to create a successful top-down investment management firm
Strategies, structures and actions to create a successful top-down investment management firm.
Singer, Brian and Greg Fedorinchik. "Investment Leadership & Portfolio Management." New Jersey: Wiley Finance, 2009
Deploying Alpha: A Strategy to Capture and Leverage the Best Investment Ideas
This is an application of “Are you about to Handcuff your Information Ratio?” to equity portfolios and explains why 130/30 portfolios are markedly superior to unlevered long-only portfolios.
Staub, Renato. “Deploying Alpha: A Strategy to Capture and Leverage the Best Investment Ideas”. A Guide to 130/30 Strategies, Institutional Investor, Summer 2008.
Deploying Alpha
Capital Market Expectations
This is an expanded version of “Capital Market Assumptions”.
Calverley, John P., Alan A. Meder, Brian D. Singer, and Renato Staub. “Capital Market Expectations”. Managing Investment Portfolios, CFA Institute, 3rd series, 2007. Chapter 4.
Linking Pension Liabilities to Assets
We provide insight into modeling the pension liability, and focus on which fundamental and economic factors influence its evolution. We use fundamental and economic factors that influence both assets and the pension liability, to provide a framework to model assets and liabilities consistently.
Meder, Aaron, and Renato Staub. “Linking Pension Liabilities to Assets”. Society of Actuaries, 2007.
Linking Pension Liabilities to Assets
Are you about to Handcuff your Information Ratio?
From a statistical perspective, constraints mean (partial) muting of signals. This impairs value added; in some cases drastically.
Staub, Renato. “Are you about to Handcuff your Information Ratio?”Journal of Asset Management, Vol. 7, No. 5, 2007.
Are you About to Handcuff your Information Ratio
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