Essential Performance Metrics to Evaluate and Interpret Investment Returns. Wealth Management Services
|
|
- Irma McCoy
- 6 years ago
- Views:
Transcription
1 Essential Performance Metrics to Evaluate and Interpret Investment Returns Wealth Management Services
2 Alpha, beta, Sharpe ratio: these metrics are ubiquitous tools of the investment community. Used correctly, they can help investors better evaluate their investment decisions. Used incorrectly, they may lead to erroneous conclusions. Effectively evaluating an investment goes beyond observing short-term absolute returns. Numerous measures can help decipher the full implications of various investment choices by examining factors such as return, risk and performance of the portfolio. This report identifies and explains popular performance metrics and utilizes a hypothetical case study to illustrate evaluation techniques that may help determine whether an investment manager has succeeded in effectively implementing their investment objectives. Understanding the metrics in this report will help to holistically interpret portfolio performance and will assist in the manager evaluation and selection process. It is important to note that these metrics are not an exclusive means for evaluating investment performance. Other qualitative factors, such as an investor s investment objectives and appetite for risk and the manager s investment technique and philosophy, should be taken into consideration during the selection and evaluation process. Each metric will be illustrated using the following hypothetical case study assumptions: Two hypothetical managers, Manager A and Manager B, have similar investment styles and measure their performance against the same hypothetical benchmark. The risk-free rate of return is 3.00%. The most recent annual returns for each manager and the benchmark are listed below. Year Benchmark Manager A Manager B % 5.00% 2.00% Please refer to opposite page for case study summary. In the hypothetical above, all returns are provided gross of fees. It is important to remember that investment management fees would otherwise reduce the performance that an investor would experience.
3 Case Study Summary The metrics provide some valuable insight when evaluating both managers: Although Manager B produced a greater arithmetic return, Manager A produced the greater geometric (compounded) return. Both managers provided positive excess return above the benchmark. Manager A was more consistent (less risky) than Manager B and the benchmark, as evidenced by the lower standard deviation and beta. Manager A was more defensive (lower downside capture ratio), while Manager B was more aggressive (higher upside capture ratio). Manager A was more successful in outperforming on a risk-adjusted basis, measured by a positive alpha and higher Sharpe ratio. Manager A provides a greater probability of continuing to outperform the benchmark, given the higher information ratio. The returns of the managers were highly correlated to the selected benchmark, further validating their alpha and beta metrics. Formula Key r i : rate of return x i : interim return x avg : average of all returns n : number of years R p : return of portfolio R f : risk-free rate of return R m : return of market R b : return of benchmark AR i : interim active return AR avg : average active return p : standard deviation of portfolio m : standard deviation of market w fund, i : weight of asset i in the fund w index, i : weight of asset i in the index COV p,m : covariance of portfolio and market COV A,B : covariance of portfolio A and portfolio B = n i=1 (a i -a avg ) (b i -b avg ) n-1 Conclusion An enhanced understanding of performance metrics can help advisors evaluate different investment options for their clients, and, when used correctly, can help them better communicate their recommendations and inspire investor confidence. These metrics do not, however, provide a complete perspective alone, and should be used in conjunction with a manager s qualitative characteristics (investment philosophy, process, portfolio holdings, etc.) in the evaluation and selection process.
4 Metric Measuring Returns Arithmetic Mean Rp Geometric Return Rg Excess Return ER Description The arithmetic mean, or simple average, treats each year s return as an isolated event and excludes the impact of compounding. The arithmetic mean is calculated by summing the returns for each time period, and dividing by the number of periods. The geometric average treats returns as part of a continuous, single experience and includes the impact of compounding. The geometric or time-weighted return is measured by linking periodic returns through multiplication. Excess return measures the amount by which an investment outperforms its respective benchmark. Excess return is the unadjusted, or absolute, difference between the manager s results, measured arithmetically, and the benchmark returns, both positive and negative. What it Measures The average return over an investment period. The compounded return over an investment period. The manager s return compared to the benchmark over an investment period. How to Interpret All else equal, a higher arithmetic return is better. All else equal, a higher geometric return is better. A positive excess return indicates the manager outperformed the benchmark; a higher excess return is better. Important Considerations Often the starting point for evaluating performance, this is likely to be the return investors calculate by themselves. The arithmetic mean is an input to calculate other ratios, such as Sharpe ratio and Alpha, described later. Most money managers report their returns using the geometric average because it reflects the actual growth or reduction of dollars in a portfolio more accurately than the arithmetic mean. The geometric average will always be expressed as a lower percentage than the arithmetic average, assuming a varied return sequence and a time period greater than one year. While the metric can be useful as a functional screening tool, it ignores an important issue the level of risk assumed to achieve those results. Formula r 1 + r r n n 1 n [(1+r 1 )(1+r 2 )...(1+r n )] -1 R p - R b Case Study Refer to case study assumptions and summary sections for additional information. Benchmark: 6.00% Manager A: 6.25% Manager B: 6.50% Manager B earned a higher arithmetic return. Benchmark: 5.63% Manager A: 6.08% Manager B: 5.72% Manager A earned a higher geometric return. Manager A: 0.25% Manager B: 0.50% Both managers provided excess return, but Manager B had higher excess return.
5 Measuring Risk Measuring Risk-Adjusted Returns Standard Deviation Beta β Alpha Sharpe Ratio SR Standard deviation indicates the consistency of a manager s returns. It is a measure of total volatility, both systematic (market related) and non-systematic (security specific). It is calculated by selecting a series of returns; finding the difference or variance around the mean of those returns; summing the squared deviations from the mean; and dividing by the number of observations (minus one degree of freedom for a sample). Beta is a measure of sensitivity to the market benchmark. It measures the volatility of a security or portfolio relative to the market as a whole (systematic risk only). It is calculated as the covariance between a portfolio and the market divided by the market variance. Jensen s alpha is the portfolio s risk-adjusted performance or value added by a manager. Alpha is the incremental return between a manager s actual results and the expected results, given the level of risk. The Sharpe ratio measures the efficiency of a portfolio. It quantifies the return received in exchange for risk assumed. It is calculated by taking the return of a portfolio above a risk-free rate divided by the portfolio standard deviation. The overall volatility of the manager relative to its average return. The volatility of the manager relative to the overall market. The manager s return in excess of what would be forecasted by the portfolio s market exposure. The efficiency of the portfolio, defined as the return net of cash per unit of volatility around a portfolio s average return. A lower standard deviation indicates more consistent performance and lower risk; a higher standard deviation indicates less consistency and higher risk. The greater the standard deviation, the more varied the return sequence. A beta of 1.0 indicates that a manager would respond similarly to the market. A beta greater than 1.0 indicates that a portfolio would be more responsive to movements in the market, while a beta below 1.0 indicates a more muted response. A positive alpha indicates that a selected portfolio has produced returns above the expected level at the same level of risk, and a negative alpha suggests the portfolio underperformed given the level of risk assumed. The higher the Sharpe ratio, the better. Standard deviation is the expected variance of future returns on either side of the average, based on behavior of past performance, and does not differentiate between returns above or below the mean. Aggressive investors may choose portfolios with higher betas, while defensive investors may focus on lower beta investments. For a given level of risk, a higher value added by a manager is desirable. It helps equalize returns of managers within the same asset class so they can be compared on a riskadjusted basis. n (x i -x avg ) 2 i=1 n-1 COV p,m m 2 R P - [R f +β p (R m -R f )] R p - R f p Benchmark: 10.36% Manager A: 6.99% Manager B: 15.26% Manager A was more consistent (less risky) than both Manager B and the benchmark, as measured by a lower standard deviation. Manager A: 0.67 Manager B: 1.47 Manager A was more defensive; Manager B was more aggressive. Manager A: 1.25% Manager B: -0.90% Manager A outperformed on a riskadjusted basis indicated by a higher, positive alpha. Manager B underperformed on a risk-adjusted basis indicated by a negative alpha. Benchmark: 0.29 Manager A: 0.46 Manager B: 0.23 Manager A had a more efficient portfolio than Manager B.
6 Measuring Performance Com R-Squared R2 Active Share AS Tracking Error TE R-squared, also referred to as the coefficient of determination, represents the dependence of one variable (the manager s return) on another variable (the benchmark return). It is calculated by squaring the correlation coefficient between the manager and the benchmark. Alternately, R-squared can be calculated by squaring beta, multiplying this term by the market variance and dividing by the manager s variance. Active share measures the percentage of the manager s portfolio holdings that are different from the benchmark. It is calculated using the weight of each stock held by the manager relative to the weight of each stock in the benchmark. For a manager that never shorts stock and never buys on margin, active share will be between 0% and 100%. Tracking error measures active risk or the variability of a portfolio s return compared to the benchmark. It is calculated as the standard deviation (consistency) of the active return, or alpha. The percentage of a manager s return directly attributable to the benchmark. The degree to which the manger is selecting stocks that are different from its benchmark. The volatility of the manager relative to its benchmark return. Many research professionals agree that an R- squared above.70 indicates a good fit between the manager and benchmark, validating the benchmark as suitable. Higher active share implies a greater amount of positions that are different from the benchmark, interpreted as a greater degree of stock picking. For an index or a passive manager, tracking error should be close to zero, while active managers, especially those that have produced significant excess return, usually have higher tracking errors. R-squared is used to select an appropriate benchmark. It helps identify the percentage of a manager s return that is specifically attributable to underlying benchmark volatility. The residual is active manager risk that may improve or reduce a manger s results based on their skills. A strong R- squared also provides confidence that the alpha and beta of the portfolio are reasonably accurate. A manger can only outperform a benchmark by taking positions that are different from the benchmark. Some amount of positive active share is a necessary but not sufficient condition for outperforming the benchmark. Investors can eliminate active risk by simply indexing their portfolios. Tracking error by itself is not necessarily good or bad. It can help identify the extent the investment experience may vary from the benchmark. A high tracking error may be useful in identifying potential style drift. ß 2 x m 2 p 2 ½ n w fund, i -w index, i i=1 n (AR i - AR avg ) 2 i=1 n-1 Manager A: 0.98 Manager B: 0.99 Both Manager A and Manager B have a good fit with the benchmark. Manager A: 65%* Manager B: 80%* * Because calculation of active share requires analysis of portfolio and benchmark holdings, which are not included in the case study, these results are estimated. Manager B engaged in a greater degree of stock picking relative to the benchmark than Manager A. Manager A: 3.59% Manager B: 5.07% Manager B s portfolio was more varied compared with the benchmark than Manager A s portfolio.
7 pared to a Benchmark Information Ratio IR Capture Ratio CR Correlation Coefficient ρ The information ratio provides guidance regarding a manager s ability to persistently produce returns above the benchmark. It is calculated by the excess return in the numerator divided by the tracking error, or consistency of excess return, in the denominator. The capture ratio is presented as two numbers, up-capture and down-capture. The downside capture ratio measures, on an absolute basis, how much of a benchmark s decline was captured by the portfolio. Downside capture ratio is calculated by dividing the portfolio performance by the benchmark performance during periods when the benchmark performance is negative. Upside capture ratio is similarly defined as the percentage portfolio return divided by the market return when the market rises. Correlation measures the relationship or association that two variables have to each other. It is calculated as the covariance between two investments divided by the product of their standard deviations. A manager s ability to add incremental value relative to incremental risk. The degree of under- or outperformance by a manager compared to the benchmark. The direction and degree of linear relation between two investments. A higher information ratio is desirable. Defensive portfolios would typically have downside capture ratios of less than 1.0. Aggressive portfolios would typically have upside capture ratios greater than 1.0. A high association between two variables means they tend to move in the same direction and a low association means they tend to diverge. A correlation of 1.0 represents perfect correlation, a correlation of -1.0 represents perfect negative correlation, and a correlation of 0.0 offers no predictive value. Some consider this metric a more sophisticated Sharpe ratio. Ideally, a manager would seek to add excess return in a consistent manner so that returns do not swing too far from their benchmark in any given period. The information ratio can be used to compare managers across asset classes. Capture ratios do not incorporate risk; they simply measure the under- or outperformance of a portfolio compared tothe benchmark. Blending assets that do not move in tandem may help reduce a portfolio s overall volatility. The correlation coefficient between two assets helps to determine the potential benefits of diversification. R p - R b TE Up (Down) Capture = Manager returns when benchmark is positive (negative) Benchmark returns when positive (negative) cov A, B A x B Manager A: Manager B: Manager B s higher information ratio indicates a greater consistency in outperforming the benchmark. Manager A: 0.40 downside; 0.93 upside Manager B: 1.60 downside; 1.17 upside Manager A was more defensive (lower downside capture ratio), while Manager B was more aggressive (higher upside capture ratio). Correlation A, B : 0.97 Manager A and Manager B have high positive correlation, indicating the portfolios tend to move in tandem.
8 DISCLOSURES This material is not intended to be a recommendation or investment advice, does not constitute a solicitation to buy or sell securities, and is not provided in a fiduciary capacity. The information provided does not take into account the specific objectives or circumstances of any particular investor, or suggest any specific course of action. Investment decisions should be made based on an investor s objectives and circumstances and in consultation with his or her advisors. This report is provided for educational and informational purposes only. The statements contained herein are based upon the opinions of Nuveen Wealth Management Services. All opinions and views constitute our judgments as of the date of writing and are subject to change at any time without notice. This information contains no investment recommendations and should not be construed as specific tax, legal, financial planning or investment advice. Please note that this information should not replace a client s consultation with a professional advisor regarding their tax situation. Clients should consult their professional advisors before making any tax or investment decisions. Information was obtained from third party sources, which we believe to be reliable but not guaranteed. Hypothetical examples are shown for illustrative and educational purposes only. All indices are unmanaged and unavailable for direct investment. Index returns include reinvestment of dividends and do not reflect investment advisory and other fees that would reduce performance in an actual client account. Different benchmarks and economic periods will produce different results. Other methods may produce different results, and the results for the individual portfolios and for different periods may vary depending on market conditions and the composition of the portfolio. Past performance is no guarantee of future results. All investments carry a certain degree of risk and there is no assurance that an investment will provide positive performance over any period of time. Since no one manager is suitable for all types of investors, it is important to review investment objectives, risk tolerance, tax objectives and liquidity needs before choosing an investment style or manager. Nuveen Securities, LLC, member FINRA and SIPC, is a subsidiary of Nuveen, LLC Nuveen, LLC. Nuveen 333 West Wacker Drive, Chicago, IL nuveen.com WBR-METRINV-0417D INV-Y-04/18
(Modern Portfolio Theory Review)
(Modern Portfolio Theory Review) IFS-A76898 Charts 1-9 Reminder: You must include the Modern Portfolio Theory Disclosure pages with all charts you select to use, either individually or as a group. Information
More informationWhere Vami 0 = 1000 and Where R N = Return for period N. Vami N = ( 1 + R N ) Vami N-1. Where R I = Return for period I. Average Return = ( S R I ) N
The following section provides a brief description of each statistic used in PerTrac and gives the formula used to calculate each. PerTrac computes annualized statistics based on monthly data, unless Quarterly
More informationTactical Growth ETF. Investor Presentation N ORTHC OAST I NVESTMENT A DVISORY T EAM NORTHCOASTAM. COM
Tactical Growth ETF Investor Presentation N ORTHC OAST I NVESTMENT A DVISORY T EAM 203.532.7000 INFO@ NORTHCOASTAM. COM NORTHCOAST ASSET MANAGEMENT An established leader in the field of tactical investment
More informationCustom Russell 3000 / Interm Laddered Muni (60/40) Select UMA Parametric Portfolio Associates
Parametric Portfolio Associates 1918 8th Avenue, Suite 3100 Seattle, Washington 98101 Style: Sub-Style: Firm AUM: Firm Strategy AUM: US Multi Asset Balanced Blend Tax Favored $959 billion Year Founded:
More informationTactical Income ETF. Investor Presentation N ORTHC OAST I NVESTMENT A DVISORY T EAM NORTHCOASTAM. COM
Tactical Income ETF Investor Presentation N ORTHC OAST I NVESTMENT A DVISORY T EAM 203.532.7000 INFO@ NORTHCOASTAM. COM NORTHCOAST ASSET MANAGEMENT An established leader in the field of tactical investment
More informationAn Intro to Sharpe and Information Ratios
An Intro to Sharpe and Information Ratios CHART OF THE WEEK SEPTEMBER 4, 2012 In this post-great Recession/Financial Crisis environment in which investment risk awareness has been heightened, return expectations
More informationDividend Growth as a Defensive Equity Strategy August 24, 2012
Dividend Growth as a Defensive Equity Strategy August 24, 2012 Introduction: The Case for Defensive Equity Strategies Most institutional investment committees meet three to four times per year to review
More informationCustom S&P 500 / Short Laddered Muni (60/40) Select UMA Parametric Portfolio Associates
Parametric Portfolio Associates 1918 8th Avenue, Suite 3100 Seattle, Washington 98101 Style: Sub-Style: Firm AUM: Firm Strategy AUM: US Multi Asset Balanced Blend Tax Favored $231.5 billion Year Founded:
More informationCustom S&P500/MSCI EAFE ADR/Int Ldr Corp 30/30/40 Select UMA Parametric Portfolio Associates
Parametric Portfolio Associates 1918 8th Avenue, Suite 3100 Seattle, Washington 98101 Style: Sub-Style: Firm AUM: Firm Strategy AUM: Global Multi Asset $226.4 billion Year Founded: GIMA Status: Firm Ownership:
More informationTower Square Investment Management LLC Strategic Aggressive
Product Type: Multi-Product Portfolio Headquarters: El Segundo, CA Total Staff: 15 Geography Focus: Global Year Founded: 2012 Investment Professionals: 12 Type of Portfolio: Balanced Total AUM: $1,422
More informationMid Cap Value Fiduciary Services EARNEST Partners, LLC
EARNEST Partners, LLC 1180 Peachtree St. - Suite 2300 Atlanta, Georgia 30309 Style: Sub-Style: Firm AUM: Firm Strategy AUM: US Mid Cap Value Traditional Value $20.1 billion $64.0 billion Year Founded:
More informationMulti-Asset Income: Moderate Growth (MAP) Select UMA
J.P. Morgan Asset Management (Model Portfolio Provider) 270 Park Avenue New York, New York 10017 PRODUCT OVERVIEW Morgan Stanley Smith Barney LLC ("Morgan Stanley") is the Manager of this strategy. The
More informationTurner Investments 1205 Westlakes Drive - Suite 100 Berwyn, Pennsylvania 19312
Turner Investments 1205 Westlakes Drive - Suite 100 Berwyn, Pennsylvania 19312 PRODUCT OVERVIEW The investment objective of the Turner Select portfolio is to outperform the Russell 1000 Growth Index over
More informationBUILDING INVESTMENT PORTFOLIOS WITH AN INNOVATIVE APPROACH
BUILDING INVESTMENT PORTFOLIOS WITH AN INNOVATIVE APPROACH Asset Management Services ASSET MANAGEMENT SERVICES WE GO FURTHER When Bob James founded Raymond James in 1962, he established a tradition of
More informationRetirement Distribution Income: Enhanced (MAP) Select UMA American Funds (Model Portfolio Provider)
American Funds (Model Portfolio Provider) 333 S Hope Street, 52ND Floor Los Angeles, California 90068 Style: Sub-Style: Firm AUM: Firm Strategy AUM: Global Multi Asset Global Multi Asset Income $1,706.1
More informationPrinciples of Finance Risk and Return. Instructor: Xiaomeng Lu
Principles of Finance Risk and Return Instructor: Xiaomeng Lu 1 Course Outline Course Introduction Time Value of Money DCF Valuation Security Analysis: Bond, Stock Capital Budgeting (Fundamentals) Portfolio
More informationSTRATEGY OVERVIEW. Long/Short Equity. Related Funds: 361 Domestic Long/Short Equity Fund (ADMZX) 361 Global Long/Short Equity Fund (AGAZX)
STRATEGY OVERVIEW Long/Short Equity Related Funds: 361 Domestic Long/Short Equity Fund (ADMZX) 361 Global Long/Short Equity Fund (AGAZX) Strategy Thesis The thesis driving 361 s Long/Short Equity strategies
More informationAmerican Funds Growth (MAPS) Select UMA American Funds (Model Portfolio Provider)
American Funds (Model Portfolio Provider) 333 S Hope Street, 52nd Floor Los Angeles, California 90068 Style: Sub-Style: Firm AUM: Firm Strategy AUM: Global Equities Growth-oriented $1,677.4 billion $1.0
More informationThe Long & Short of It Quarterly Newsletter Second Quarter 2018
The Long & Short of It Quarterly Newsletter Second Quarter 2018 Value vs. Growth: A Primer Are Value Stocks Ready to Grow Again? the Barron s cover article from April 28, 2018 lamented the recent performance
More informationAspiriant Risk-Managed Equity Allocation Fund RMEAX Q4 2018
Aspiriant Risk-Managed Equity Allocation Fund Q4 2018 Investment Objective Description The Aspiriant Risk-Managed Equity Allocation Fund ( or the Fund ) seeks to achieve long-term capital appreciation
More informationA Portfolio s Risk - Return Analysis
A Portfolio s Risk - Return Analysis 1 Table of Contents I. INTRODUCTION... 4 II. BENCHMARK STATISTICS... 5 Capture Indicators... 5 Up Capture Indicator... 5 Down Capture Indicator... 5 Up Number ratio...
More informationWhy Dividends? Market Commentary January 2018
Why Dividends? Market Commentary January 2018 OVER THE YEARS, INVESTOR APPETITE FOR DIVIDENDS has waxed and waned. Historically, research in dividend investing has measured everything from performance
More informationFIN 6160 Investment Theory. Lecture 7-10
FIN 6160 Investment Theory Lecture 7-10 Optimal Asset Allocation Minimum Variance Portfolio is the portfolio with lowest possible variance. To find the optimal asset allocation for the efficient frontier
More informationSchafer Cullen Capital Management High Dividend Value
Product Type: Separate Account Manager Headquarters: New York, NY Total Staff: 56 Geography Focus: Domestic Year Founded: 1983 Investment Professionals: 21 Type of Portfolio: Equity Total AUM: $17,896
More informationBuilding Portfolios with Active, Strategic Beta and Passive Strategies
Building Portfolios with Active, Strategic Beta and Passive Strategies It s a Question of Beliefs Issues to think about on the Active/Passive spectrum: How important are fees to you? Do you believe markets
More informationMunicipal Market: How Rates Rise Matters
Municipal Market: How Rates Rise Matters Market Commentary September 2017 SOME INVESTORS ARE CONCERNED ABOUT THE IMPACT a tighter monetary policy could have on bond yields. Since rates and bond prices
More informationTower Square Investment Management LLC Strategic Plus Moderate
Product Type: Multi-Product Portfolio Headquarters: El Segundo, CA Total Staff: 15 Geography Focus: Global Year Founded: 2012 Investment Professionals: 12 Type of Portfolio: Balanced Total AUM: $1,422
More informationHOW TO HARNESS VOLATILITY TO UNLOCK ALPHA
HOW TO HARNESS VOLATILITY TO UNLOCK ALPHA The Excess Growth Rate: The Best-Kept Secret in Investing June 2017 UNCORRELATED ANSWERS TM Executive Summary Volatility is traditionally viewed exclusively as
More informationFayez Sarofim & Co Large Cap Equity
Product Type: Separate Account Manager Headquarters: Houston, TX Total Staff: 90 Geography Focus: Domestic Year Founded: 1958 Investment Professionals: 20 Type of Portfolio: Equity Total AUM: $22,458 million
More informationPortfolio Performance Evaluation
Portfolio Performance Evaluation Workshop Presented by Bob Pugh, CFA To American Association of Individual Investors Washington, DC Chapter May 31, 2008 Introduction Evaluating portfolio performance is
More informationMay Revisiting the role of long/short equity in a portfolio
May 2017 Revisiting the role of long/short equity in a portfolio Executive summary Omar Aguilar, Ph.D. Chief Investment Officer, Equities and Multi-Asset Strategies; Charles Schwab Investment Management,
More informationGlossary of Investment Terms
Glossary of Investment Terms Performance Measures Alpha: Alpha measures the difference between a portfolio s actual returns and its expected returns given its risk level as measured by its beta. A higher
More informationVolatility-Managed Strategies
Volatility-Managed Strategies Public Pension Funding Forum Presentation By: David R. Wilson, CFA Managing Director, Head of Institutional Solutions August 24, 15 Equity Risk Part 1 S&P 5 Index 1 9 8 7
More informationThe Essentials of Portfolio Construction
consulting Group APRIL 2010 The Essentials of Portfolio Construction Portfolio construction is a disciplined, personalized process. In constructing a portfolio, the individual risk and return characteristics
More informationEQUITY RESEARCH AND PORTFOLIO MANAGEMENT
EQUITY RESEARCH AND PORTFOLIO MANAGEMENT By P K AGARWAL IIFT, NEW DELHI 1 MARKOWITZ APPROACH Requires huge number of estimates to fill the covariance matrix (N(N+3))/2 Eg: For a 2 security case: Require
More informationInputs Methodology. Portfolio Strategist
Inputs Methodology Prepared for Portfolio Strategist September 2007 225 North Michigan Avenue Suite 700 Chicago, IL 60601-7676 (312) 616-1620 Table of Contents Portfolio Strategist... 2 Forecasting Expected
More informationArchana Khetan 05/09/ MAFA (CA Final) - Portfolio Management
Archana Khetan 05/09/2010 +91-9930812722 Archana090@hotmail.com MAFA (CA Final) - Portfolio Management 1 Portfolio Management Portfolio is a collection of assets. By investing in a portfolio or combination
More informationHandout 4: Gains from Diversification for 2 Risky Assets Corporate Finance, Sections 001 and 002
Handout 4: Gains from Diversification for 2 Risky Assets Corporate Finance, Sections 001 and 002 Suppose you are deciding how to allocate your wealth between two risky assets. Recall that the expected
More informationUNIVERSITY OF TORONTO Joseph L. Rotman School of Management. RSM332 FINAL EXAMINATION Geoffrey/Wang SOLUTIONS. (1 + r m ) r m
UNIVERSITY OF TORONTO Joseph L. Rotman School of Management Dec. 9, 206 Burke/Corhay/Kan RSM332 FINAL EXAMINATION Geoffrey/Wang SOLUTIONS. (a) We first figure out the effective monthly interest rate, r
More informationPreferred Securities (Custom) Select UMA Managed Advisory Portfolios Solutions
Managed Advisory Portfolios Solutions 2000 Westchester Avenue Purchase, New York 10577 Style: Preferred Securities Sub-Style: Firm AUM: $912.3 million Firm Strategy AUM: Year Founded: GIMA Status: Firm
More informationCovered Call Investing and its Benefits in Today s Market Environment
ZIEGLER CAPITAL MANAGEMENT MARKET INSIGHT & RESEARCH Covered Call Investing and its Benefits in Today s Market Environment Covered Call investing has attracted a great deal of attention from investors
More informationGlobal Multi Asset Global Tactical Asset Alloc $346.8 billion
Columbia (Model Portfolio Provider) 225 Franklin Street Boston, Massachusetts 02110 Style: Sub-Style: Firm AUM: Firm Strategy AUM: Global Multi Asset Global Tactical Asset Alloc $346.8 billion Year Founded:
More informationExpected Return Methodologies in Morningstar Direct Asset Allocation
Expected Return Methodologies in Morningstar Direct Asset Allocation I. Introduction to expected return II. The short version III. Detailed methodologies 1. Building Blocks methodology i. Methodology ii.
More informationAdvisor Briefing Why Alternatives?
Advisor Briefing Why Alternatives? Key Ideas Alternative strategies generally seek to provide positive returns with low correlation to traditional assets, such as stocks and bonds By incorporating alternative
More informationin-depth Invesco Actively Managed Low Volatility Strategies The Case for
Invesco in-depth The Case for Actively Managed Low Volatility Strategies We believe that active LVPs offer the best opportunity to achieve a higher risk-adjusted return over the long term. Donna C. Wilson
More informationMorgan Asset Projection System (MAPS)
Morgan Asset Projection System (MAPS) The Projected Performance chart is generated using JPMorgan s patented Morgan Asset Projection System (MAPS) The following document provides more information on how
More informationCash. Period Ending 06/30/2016 Period Ending 3/31/2016. Equity. Fixed Income. Other
Product Type: Multi-Product Portfolio Headquarters: Austin, TX Total Staff: 46 Geography Focus: Global Year Founded: 1996 Investment Professionals: 16 Type of Portfolio: Balanced Total AUM: $12,046 million
More informationAI: Weighted Sector Strategy DEC
KEN STERN & ASSOCIATES DEC 31 2016 1 Tactical Rebalanced AI: Strategy DEC 31 2016 Ken Stern & Associates Strategy seeks to track the investment results of the Morgan Stanley Capital International USA Investable
More informationArbor Risk Attributor
Arbor Risk Attributor Overview Arbor Risk Attributor is now seamlessly integrated into Arbor Portfolio Management System. Our newest feature enables you to automate your risk reporting needs, covering
More informationThe Swan Defined Risk Strategy - A Full Market Solution
The Swan Defined Risk Strategy - A Full Market Solution Absolute, Relative, and Risk-Adjusted Performance Metrics for Swan DRS and the Index (Summary) June 30, 2018 Manager Performance July 1997 - June
More informationCHAPTER 8: INDEX MODELS
Chapter 8 - Index odels CHATER 8: INDEX ODELS ROBLE SETS 1. The advantage of the index model, compared to the arkowitz procedure, is the vastly reduced number of estimates required. In addition, the large
More informationTIAA-CREF Lifecycle Funds An easy way to save for retirement
TIAA-CREF Lifecycle Funds An easy way to save for retirement Building a retirement portfolio that aligns with your long-term savings goals can be a challenge. And, as you get closer to retirement, your
More informationAn Economic Perspective on Dividends
2017 An Economic Perspective on Dividends Table of Contents Corporate Outlook... 1 2 Market Environment... 3 7 Payout Ratio... 8 9 Long-term View...10 12 Global View... 13 16 Active Management... 17 Risk
More informationUBS Conservative Income - Muni FI
Product Type: Multi-Product Portfolio Headquarters: New York, NY Total Staff: 2,329 Geography Focus: Global Year Founded: 1989 Investment Professionals: 953 Type of Portfolio: Balanced Total AUM: $627,645
More informationExplore your options. 440 COVERED CALL & COLLAR STRATEGIES
Explore your options. 440 COVERED CALL & COLLAR STRATEGIES 440 Investment Group 2018 440 Investment Group Mariner Holdings Mariner brings together diverse teams of experienced wealth advisory, specialty
More informationThe London Company Domestic Equity SMID Core
Product Type: Separate Account Manager Headquarters: Richmond, VA Total Staff: 24 Geography Focus: Domestic Year Founded: 1994 Investment Professionals: 5 Type of Portfolio: Equity Total AUM: $7,069 million
More informationSmart Beta Dashboard. Thoughts at a Glance. January By the SPDR Americas Research Team
By the SPDR Americas Research Team Thoughts at a Glance 2017 marked another year of factor performance shifts. s comeback in the US on the heels of the US election and the potential for a Trump-flation
More informationFiduciary Insights HOW RISK MANAGEMENT ADDS WEALTH
HOW RISK MANAGEMENT ADDS WEALTH INVESTORS INSTINCTIVELY ASSOCIATE RISK CONTROL WITH AVOIDING LOSSES. But limiting risk is also a way to build wealth, especially when combined with systematic, informed
More informationNavigator Fixed Income Total Return (ETF)
CCM-17-09-1 As of 9/30/2017 Navigator Fixed Income Total Return (ETF) Navigate Fixed Income with a Tactical Approach With yields hovering at historic lows, bond portfolios could decline if interest rates
More informationCan Active Management Make a Comeback? September 2015
Can Active Management Make a Comeback? September 2015 Executive Summary Recent underperformance by active U.S. managers can be easily explained and, in our view, is only temporary FACTORS MAKING FOR A
More informationStifel Advisory Account Performance Review Guide. Consulting Services Group
Stifel Advisory Account Performance Review Guide Consulting Services Group Table of Contents Quarterly Performance Reviews are provided to all Stifel advisory clients. Performance reviews help advisors
More informationCOMM 324 INVESTMENTS AND PORTFOLIO MANAGEMENT ASSIGNMENT 2 Due: October 20
COMM 34 INVESTMENTS ND PORTFOLIO MNGEMENT SSIGNMENT Due: October 0 1. In 1998 the rate of return on short term government securities (perceived to be risk-free) was about 4.5%. Suppose the expected rate
More informationAlphaSolutions Blended Bull/Calendar
AlphaSolutions Blended Bull/Calendar An investment model based on trending strategies coupled with market analytics for downside risk control with predetermined investment periods Portfolio Goals Primary:
More informationSmart Beta Dashboard. Thoughts at a Glance. March By the SPDR Americas Research Team
By the SPDR Americas Research Team Thoughts at a Glance For the first two months of Q1, US outperformed the broader market by nearly 5%. However, as 10-year Treasury yields and inflation expectations came
More informationIdentifying a defensive strategy
In our previous paper Defensive equity: A defensive strategy to Canadian equity investing, we discussed the merits of employing a defensive mandate within the Canadian equity portfolio for some institutional
More informationReturn Measurement. Performance. Single period return Money weighted return Time weighted return Multi-period return Impact of fees Relative returns
Performance Agenda Return Measurement Performance Single period return Money weighted return Time weighted return Multi-period return Impact of fees Relative returns Holding Period Returns Simplest way
More informationMFS Investment Management 500 Boyleston Street Boston, Massachusetts 02116
Investment Management 500 Boyleston Street Boston, Massachusetts 02116 MANAGER'S INVESTMENT PROCESS RISK CONSIDERATIONS Bottom-up idea generation within a sector-neutral framework, managed by a team of
More informationCh. 8 Risk and Rates of Return. Return, Risk and Capital Market. Investment returns
Ch. 8 Risk and Rates of Return Topics Measuring Return Measuring Risk Risk & Diversification CAPM Return, Risk and Capital Market Managers must estimate current and future opportunity rates of return for
More information20% 20% Conservative Moderate Balanced Growth Aggressive
The Global View Tactical Asset Allocation series offers five risk-based model portfolios specifically designed for the Retirement Account (PCRA), which is a self-directed brokerage account option offered
More informationFixed Income Perspective: Treasury Inflation Protected Securities
Fixed Income Perspective: Treasury Inflation Protected Securities Market Commentary August 2017 IN OUR VIEW, TREASURY INFLATION PROTECTED SECURITIES, or TIPS, are a misunderstood fixed income asset class.
More informationExplore your options. 440 COVERED CALL & COLLAR STRATEGIES
Explore your options. 440 COVERED CALL & COLLAR STRATEGIES 440 Investment Group 2017 440 Investment Group Mariner Holdings Mariner brings together diverse teams of experienced wealth advisory, specialty
More informationManaged Accounts Available at Charles Schwab & Co., Inc. Investment Strategy: U.S. Trust Focused Large Cap Growth Investment Style: Large Cap Growth
Managed Accounts Available at Charles Schwab & Co., Inc. Investment Strategy: U.S. Trust Investment Style: Large Cap Growth All information as of December 31, 2006 The management team seeks outstanding
More informationR ES E A R C H R E P O RT
RESEARCH REPORT DATA DRIVEN TRUST UITINVESTING.COM UIT Investing, Inc. provides the most comprehensive research for the unit investment trust industry by providing complete analysis of unit investment
More informationInvestor Goals. Index. Investor Education. Goals, Time Horizon and Risk Level Page 2. Types of Risk Page 3. Risk Tolerance Level Page 4
Index Goals, Time Horizon and Risk Level Page 2 Types of Risk Page 3 Risk Tolerance Level Page 4 Risk Analysis Page 5 Investor Goals Risk Measurement Page 6 January 2019 Investor Education Investor Education
More informationActive Management Since 2001
Active Management Since 2001 PRESENTED BY John L. Smallwood, CFP Senior Wealth Advisor Smallwood Capital Management Commonwealth Financial Network Providing Investment Management of: Fee Based Brokerage
More informationAUGUST 2017 STOXX REFERENCE CALCULATIONS GUIDE
AUGUST 2017 STOXX REFERENCE CALCULATIONS GUIDE CONTENTS 2/14 4.3. SECURITY AVERAGE DAILY TRADED VALUE (ADTV) 13 1. INTRODUCTION TO THE STOXX INDEX GUIDES 3 4.4. TURNOVER 13 2. CHANGES TO THE GUIDE BOOK
More informationTIAA-CREF Lifecycle Index Funds An easy way to save for retirement
TIAA-CREF Lifecycle Index Funds An easy way to save for retirement Building a retirement portfolio that aligns with your long-term savings goals can be a challenge. And, as you get closer to retirement,
More informationCalamos Phineus Long/Short Fund
Calamos Phineus Long/Short Fund Performance Update SEPTEMBER 18 FOR INVESTMENT PROFESSIONAL USE ONLY Why Calamos Phineus Long/Short Equity-Like Returns with Superior Risk Profile Over Full Market Cycle
More informationPowerPoint. to accompany. Chapter 11. Systematic Risk and the Equity Risk Premium
PowerPoint to accompany Chapter 11 Systematic Risk and the Equity Risk Premium 11.1 The Expected Return of a Portfolio While for large portfolios investors should expect to experience higher returns for
More informationInternational Thematic (ETFs) Select UMA Managed Advisory Portfolios Solutions
Managed Advisory Portfolios Solutions 2000 Westchester Avenue Purchase, New York 10577 Style: Sub-Style: Firm AUM: Firm Strategy AUM: International Equities $912.3 million $36.3 million Year Founded: GIMA
More informationLazard Insights. Distilling the Risks of Smart Beta. Summary. What Is Smart Beta? Paul Moghtader, CFA, Managing Director, Portfolio Manager/Analyst
Lazard Insights Distilling the Risks of Smart Beta Paul Moghtader, CFA, Managing Director, Portfolio Manager/Analyst Summary Smart beta strategies have become increasingly popular over the past several
More informationPortfolio Management
Portfolio Management Risk & Return Return Income received on an investment (Dividend) plus any change in market price( Capital gain), usually expressed as a percent of the beginning market price of the
More informationFinancial Markets & Portfolio Choice
Financial Markets & Portfolio Choice 2011/2012 Session 6 Benjamin HAMIDI Christophe BOUCHER benjamin.hamidi@univ-paris1.fr Part 6. Portfolio Performance 6.1 Overview of Performance Measures 6.2 Main Performance
More informationGlobal Thematic (ETFs) Select UMA Managed Advisory Portfolios Solutions
Managed Advisory Portfolios Solutions 2000 Westchester Avenue Purchase, New York 10577 Style: Sub-Style: Firm AUM: Firm Strategy AUM: Global Equities $912.3 million $53.9 million Year Founded: GIMA Status:
More informationDividend ETFs: Going Behind the Curtain
Dividend ETFs: Going Behind the Curtain Market Commentary 2018 WITH INTEREST RATES AT GENERATIONAL LOWS, exchange-traded funds (ETFs) that focus on dividend-paying securities have become a more prominent
More informationTactical Core Equity Portfolio Strategy Global core equity portfolio strategy that seeks to outperform equity markets while minimizing volatility
EquityCompass Tactical Core Equity Portfolio Strategy Global core equity portfolio strategy that seeks to outperform equity markets while minimizing volatility Approved for public distribution Investment
More informationFund Scorecards FAQ Morningstar's Due Diligence Reports
? FAQ Morningstar's Due Diligence Reports Due Diligence Reports 1 January 2017 Contents 1 Description 2 Frequently Asked Questions Michael Laske Manager Research & Due Diligence Reports Product Manager
More informationUniwersytet Ekonomiczny. George Matysiak. Presentation outline. Motivation for Performance Analysis
Uniwersytet Ekonomiczny George Matysiak Performance measurement 30 th November, 2015 Presentation outline Risk adjusted performance measures Assessing investment performance Risk considerations and ranking
More informationFortigent Alternative Investment Strategies Model Wealth Portfolios Fortigent, LLC.
Fortigent Alternative Investment Strategies Model Wealth Portfolios Important Disclaimers The information provided is for educational purposes only and is not intended to be, and should not be construed
More informationSTRATEGIC PORTFOLIOS. Overview
STRATEGIC PORTFOLIOS Overview Strategic Overview Tower Square Management was created in 2015 to draw upon the internal talent and thought leadership of Cetera Financial Group and deliver expanded opportunities
More informationIMPORTANT DISCLOSURES
Expand Your Reach. IMPORTANT DISCLOSURES This presentation is for educational purposes only and is not intended to project the performance of any specific investment. May not be suitable for all investors.
More informationQ Performance Report
Q1 2018 Performance Report Generated by: NASDAQ: TIPRX (A Shares) Investing in the Fund involves risks, including the risk that you may receive little or no return on your investment or that you may lose
More informationTwo Ways of Investing
Two Ways of Investing Individuals may invest in individual assets like stocks and bonds, or Individuals may buy shares in investment companies. These companies, in turn, invest the funds in various assets,
More informationThe purpose of this paper is to briefly review some key tools used in the. The Basics of Performance Reporting An Investor s Guide
Briefing The Basics of Performance Reporting An Investor s Guide Performance reporting is a critical part of any investment program. Accurate, timely information can help investors better evaluate the
More informationUser Guide. investmentpro 2018/09/15
User Guide investmentpro 2018/09/15 1 Table of Contents Using Quick Search for Managed Indexed Accounts 3 Using Advanced Search for Managed Indexed Accounts 4 Sorting Your Search Results for Managed Indexed
More informationCapital Idea: Expect More From the Core.
SM Capital Idea: Expect More From the Core. Investments are not FDIC-insured, nor are they deposits of or guaranteed by a bank or any other entity, so they may lose value. Core equity strategies, such
More informationq merrill edge guided investing strategy profile CIO Moderately Conservative ETF Core Tax Aware
Overview This Strategy seeks to provide diversified exposure among three major asset classes for a client's account with a moderately conservative target asset allocation. In normal market conditions,
More informationThe Many Flavors of Yield
The Many Flavors of Yield Market Commentary October 2017 MUTUAL FUNDS ARE REQUIRED by the Securities and Exchange Commission (SEC) to use a standard formula when communicating average fund yields to investors.
More informationTrading Volatility: Theory and Practice. FPA of Illinois. Conference for Advanced Planning October 7, Presented by: Eric Metz, CFA
Trading Volatility: Theory and Practice Presented by: Eric Metz, CFA FPA of Illinois Conference for Advanced Planning October 7, 2014 Trading Volatility: Theory and Practice Institutional Use Only 1 Table
More informationFundamentally weighted index strategies: A primer on asset allocation in three core asset classes
strategies: A primer on asset allocation in three core asset classes 1 2 3 Key takeaways strategies can serve as a complement to traditional cap-weighted index strategies. Combining fundamentally weighted
More information