Research
Marginal Sharpe Ratios: or why correlation is as important as return
August 1999 -- This paper describes in depth the application of measurements of Marginal Sharpe to portfolio management.
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April 1998 – This paper will describe the practical application of Markowitz theory to a set of long/short investment strategies that contain high liquidity, minimal credit or passive market exposure and dependable low correlation. The analysis concludes that these investment strategies may be managed to a desired level of risk with all of the benefits of diversification to harvest more risk adjusted return than any known alternative. The summary identifies the key elements of a successful strategy and the essential qualifications for the manager.
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Using Risk Management Techniques to Improve Portfolio Performance
June 1997 – Most risk management techniques were originally developed for defensive purposes, but risk-based tools can be applied offensively to improve portfolio performance. Risk management allows the inclusion of asset classes and strategies that were previously excluded because they were viewed as dangerous. Risk allocation allows the portfolio manager to use an efficient frontier based on more recent and pertinent data than traditional long term lookbacks, and to manage to a targeted volatility. Risk adjusted returns provide the key to monitoring, and rewarding, a manager’s performance relative to their assigned benchmark.
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February 2007 – Equities dominate the performance of most investment portfolios, not only because their volatility is usually the highest but because the changes in volatility (volatility of volatility) are the greatest. For nearly four years, equities have shown positive returns while volatility has dropped 61% to a 45-year low. Now is the right time to put your portfolio on a risk diet and take some equity risk off the table – before volatility spikes upward. By replacing equity exposure with a professionally managed Absolute Return Strategy (ARS), you can improve future returns and reduce the stress of volatility swings in 2007 and beyond.
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White Paper: Marginal Sharpe
Please click below to send an email to request a copy of our paper covering the application of Marginal Sharpe to the CONCERT portfolio allocation algorithms.
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Bubble Movie Tutorial: William G. Ferrell
Please click here to view Bill's tutorial clarifying Bubble Movies.