• Italy Finished (“Azzurri Finito”)

    November 22, 2017
    Diversification, Global

    The world’s most widely viewed sporting event, the FIFA World Cup, reached 3.2 billion views, with one billion on the final game alone, in 2014. Dating back to 1930, it’s a time when players all over the world sport their home-country colors and multimillion-dollar TV contracts are inked (Fox acquired the $425M rights to the 350-hour programming in the U.S. for the 2018 World Cup).

  • How to Evaluate Managed Futures Funds

    November 16, 2017
    Managed Futures, Portfolio Construction

    We are frequently asked how investors should analyze the performance of managed futures strategies. This is quite challenging due to the diversity of the strategies employed, and the non-constant exposure, both long and short, across one or more asset classes (i.e., stocks, bonds, commodities and currencies). Because of the lack of consistent exposure, a standard benchmark like the S&P 500 Index is sub-optimal, to say the least, but there are ways to suss out a manager’s value add.

  • Investors, and the media alike, have been sounding the alarm about the “unprecedented” low levels of volatility that U.S. equity markets have experienced this year. Either implicitly or explicitly, the over-arching theme is that volatility is cheap, it can’t go lower and it makes no sense…so we must be on the precipice of another 2008. After all, the last time volatility was this low was 2006/2007 and since we know what happened in 2008, watch out for 2018!

  • Clearing Up Some Misconceptions

    November 02, 2017
    Alternatives, Alternatives Education

    While this is a bit of self-promotion, I recently wrote an article for Investment Advisor’s November issue, concerning the daunting challenge facing advisors today. That is, how to generate real returns sufficient to meet the needs of clients over the next decade or so, given stretched valuations across all major asset classes, while protecting against the inevitability of bear markets and black swans.

  • Our philosophy regarding equities is based in large part on the notion that prices reflect investors’ beliefs regarding expectations of future earnings. When those expectations change, prices move in response to the new sentiment. With constantly changing information, even well-informed investors face difficulties identifying the relevant signals on numerous stocks simultaneously. Another cornerstone of our philosophy is that investors rely on perceived experts when making decisions. In the case of equities, those experts are often sell-side analysts. What those analysts say about the companies they cover can significantly impact prices. Even more powerful, is what they expect in terms of future earnings. Our quantitative models rely heavily on these data points. Naturally, we care a great deal about estimate changes.