Outperformance Ain’t Alpha
Outperformance and alpha are not exactly the same thing. So, how do we explain the difference?
Manager Selection
Manager Selection: The Power of Payoff
The most important portfolio manager skill metric is often overlooked. I often hear fund managers say, “I only need to get it right slightly more than 50% of the time.” What they ...
Decision Attribution: Portfolio Manager Skill vs. Past Performance
A portfolio manager’s job is to make decisions — all day, every day. Some of those decisions result in trades, but many more do not. So, an important question for a portfolio manager ...
Active vs. Passive Revisited: Six Observations
Two institutional managers I know — one at a Fortune 500 defined benefit pension fund and another at a municipal pension fund and later an endowment — believe in going all-in on ...
Quant Screening: Three Questions for Investment Managers
Evaluating investment managers is a challenging endeavor. Why else would asset owners expend so much time and resources, often with the aid of consultants, to conduct manager ...
How Do Performance Metrics Correlate? Might Fund Managers Cherry-Pick?
Portfolio managers report their risk-adjusted performance using Sharpe, Treynor, information, and Sortino ratios, among other popular metrics. Of course, with various measures to ...
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