FERRELL CAPITAL MANAGEMENT
RESEARCH

FCM publishes Standard Deviations Research and Recommendation Reports on a semi-annual basis.

  

 
Aug 2007 Standard Deviations: From Asset Classes to Risk Buckets —
Is your Benchmark Misbehaving?
by William G. Ferrell
Bill Ferrell shares his thoughts on the differences between asset management and risk management, and shows how risk allocation is increasingly the difference between mediocre and superior results.		  
Feb 2007 Standard Deviations: The Risk Diet
by William G. Ferrell
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.		  
Feb 2006 Standard Deviations: Hedge Fund Investing — The Movie
by William G. Ferrell
Where asset allocators tend to draw pictures of their portfolio investments, we see the risk allocation process as always in motion - more like a movie.		  
Jul 2005 Standard Deviations: Portable Alpha —
Beta and Alpha - Both Important, Totally Different, Great Together
by William G. Ferrell and John D. Podewils
Conventional wisdom often differentiates Alpha from Beta by defining Alpha as “skill-based” as opposed to market-based return. While Alpha is typically generated by the skill of the manager, there are other fundamental differences between Alpha and Beta. The purpose of this paper is to describe the benefits of harnessing not only the manager skill, but importantly, the math of risk management to combine dependable portable Alpha strategies with Beta driven appreciation.		  
Apr 1998 Standard Deviations: The Power of Diversification —
Risk Allocation Mathematically Reduces Your Dependence on Being Right All the Time
by Philip S. Douthit and William G.Ferrell
This paper describes 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.		  
 
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