Global asset manager Russell Investments has launched a new broad emerging markets fund that aims to provide investors with greater access to opportunities in small cap and frontier markets for significant active returns
The standard deviation of the active returns will be applied to the most recent 12 rolling returns observations as of the study's evaluation date for all three returns computation periods.
However, notwithstanding the fund's high cost of active portfolio management (high standard deviation of active returns), its consistent industry-best figures for active returns across the 3 returns horizons result in high information ratios for Coconut Fixed Income Fund.
When the fund benchmark is chosen as the reference portfolio, the spread volatility becomes the fund's tracking error, which is a measure of the relative risk (with respect to the benchmark) a manager accepts in order to generate positive active returns (Gupta, Prajogi, and Stubbs, 1999), as well as a tool for both an ex post performance evaluation and an ex ante definition of the fund's investment policies (Blitz and Hottinga, 2001).
Funds with lower absolute active returns ([absolute value of [R.
e] is the arithmetic mean of the active returns e, and M is the factor for periods less than a year.
Table 1 Comparison of absolute and active returns Portfolio Absolute Return of the Active Return Return Benchmark Portfolio A -5% -10% +5% Portfolio B 3% +7% -4% Table 2 Hedge fund categories: December 1997 Mean and standard deviation of returns (1990-1997) 1990-1997 Category Number Assets Mean return (US$ billions) (%) Event driven 120 8.
It does this by explaining active returns
purely in terms of the differences of returns within groupings (such as the differences among industry returns within a sector and the differences among bond yields due to different maturities, durations or convexities among groupings), supplemented only by pure trade effects.
By employing a quantitatively driven, bottom-up approach to portfolio construction, the managers will conduct a comprehensive analysis of all the relevant data, risk management and sophisticated modeling in an effort to achieve positive active returns
In October 2005, in conjunction with the local quantitative investment team in Australia, the ARC unveiled SSgA's Global Alpha Plus strategy, designed to provide institutional investors with more efficient active returns
in global equity markets.
BOSTON -- State Street Global Advisors (SSgA), the investment management arm of State Street Corporation (NYSE:STT) and the largest institutional fund manager in the world, today announced the launch of its new Global Alpha Plus Strategy, designed to provide institutional investors with more efficient active returns
in global equity markets.
Chapter 10: Using a long-short portfolio to neutralise market risk and enhance active returns