Instead, the report authors believe "the lit match taken to active returns
last quarter was likely the massive reversal - by the market, by sectors, by styles and by stocks - occurring within the quarter.
Solid active returns
in growth equity are available from a number of managers.
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
Yet sophisticated investors are, to a large extent, sidelined by their mandates to maximize active returns
subject to benchmark tracking error.
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.
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).
e] is the arithmetic mean of the active returns
e, and M is the factor for periods less than a year.
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