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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The Power of Diversification: Risk Allocation Mathematically Reduces Your Dependence on Being Right All the Time

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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Portfolio Risk Diet

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.

Please provide us with information describing your interest in CONCERT Funds and this topic:

admin1@ferrellcapital.com

Bubble Movie Tutorial: William G. Ferrell

Please click here to view Bill's tutorial clarifying Bubble Movies.