Your SlideShare is downloading. ×
  • Like
Risk Managed Fund Process
Upcoming SlideShare
Loading in...5
×

Thanks for flagging this SlideShare!

Oops! An error has occurred.

×

Now you can save presentations on your phone or tablet

Available for both IPhone and Android

Text the download link to your phone

Standard text messaging rates apply

Risk Managed Fund Process

  • 137 views
Published

 

  • Full Name Full Name Comment goes here.
    Are you sure you want to
    Your message goes here
    Be the first to comment
    Be the first to like this
No Downloads

Views

Total Views
137
On SlideShare
0
From Embeds
0
Number of Embeds
0

Actions

Shares
Downloads
0
Comments
0
Likes
0

Embeds 0

No embeds

Report content

Flagged as inappropriate Flag as inappropriate
Flag as inappropriate

Select your reason for flagging this presentation as inappropriate.

Cancel
    No notes for slide

Transcript

  • 1. Risk Managed Fund Summary
  • 2. Investment Selection – Process Overview Optimal Mix (Model 3) Re-iterative process, if necessary Qualitative review per Search Objectives and Interview. Includes ratio analysis. Find most efficient mix subject to risk tolerance. (Model 2) Best Peer Alpha - Minimize by eliminating those with high correlation yet lower performance to each other. Reduce to less than 100. (Model 1) Initial Screens – 4 Year Management Tenure; Best Fit Alpha >0; Correlation to Benchmark Index – Best Fit R2 >.65 Reduce from 49,000 to 4,000 Overall Objective: (a) Select set of 11-12 Active or Passive Managers for Fully Diversified Portfolio; or (b) select single manager.
  • 3. • Returns Search Objectives • Consistent out performance of benchmark • Consistent out performance versus peers • Downside protection; substantial upside participation • Risk-Controlled Approach • Lower volatility of Composite, good diversifiability of unsystematic risk • Good risk-adjusted returns • Superior Kurtosis, Treynor, and Sortino ratios with Positive Skew. • External Diversification across Other Pension Assets • Internal Default diversification within Fund • Depth of Team • Experienced and consistent team • Limited exposure to “star” Manager – prefer Team Approach • Personal commitment to strategy. No style drift. • Process/Strategy • Discipline to style/process • Appropriate amount of assets under management • Sound approach whether Bottom-up or Top-Down • Depth of Firm • Going Concern/Stable Organization • Commitment to Strategy • Research capabilities – value-added • Competitive Fees • No 12(b)-1 Fees • Only Class A or Better quality, oldest share class.
  • 4. Monitoring • Dynamic financial and economic time series inherently exhibit some form of instability or nonstationarity. Thus daily data of correlation coefficients are collected and tested for nonstationarity. • Funds that are not covariance stationary are replaced so that you are never left with a portfolio with highly correlated components.
  • 5. Initial Screens • Best Fit Alpha > 3% • Base Currency US dollar • Use the oldest share class and highest quality, i.e. Institutional trumps Class A which trumps Class B. • Inception Date <7/1/2005 • Opened to New Investors
  • 6. Intrepid Small Cap (ICMAX) versus Best Fit Index Russell Mid-Cap Best Fit Alpha = 13.34% annualized
  • 7. -10.5% Correlation 0.87 +12.9%
  • 8. Annualized RAR Return-ITD* Volatility Risk Managed Acct (0.049) -2.7% 1.8% Ciba DB ex Risk Managed (0.130) -5.8% 2.2% S&P 500 (0.360) -10.5% 3.4% * Annualized from Inception-to-date: From May 5th, 2006