A Growing, Broad, Global Market

presenterbelchManagement

Nov 18, 2013 (3 years and 8 months ago)

68 views

1

Private & Confidential

A Growing, Broad, Global Market

Institutional Clients:


Pension Funds, Endowments & Insurance Cos.


Central Banks and Social Security Systems


Retail: Private Wealth Management


Investment Managers:


Hedge Funds and Fund of Funds


Asset Management Companies

Trillions of dollars in assets


not always effectively managed

2

Private & Confidential

1. Key to Success


Effective Decisions



Good

management = must make many decisions well



Must make these decisions in an
informed manner



Process, transparency and governance are critical



AlphaEngine: Bring state
-
of
-
the
-
art to investor’s desktop


Measure


Risk


Evaluate


Performance




Outperform


Benchmark





Determine

Benchmark



Set


Objectives

Annual

Daily

Monthly

Monthly

3

Private & Confidential


1. Portfolio =Many Decisions

Asset

Allocation

Sector/

Regional

Style

Selection

Manager
Selection

Cash/

Currency = 20%

Equity = 40%

By Market

(Local, US etc.)

Large Stocks/

Small Stocks

By Market

(Local, US, Euro)

Govt./Agency etc.

Bonds = 40%

P o r t f o l i o

Mgr

A

Mgr

B

Mgr

C

Mgr

D

Mgr

E

Mgr


F

Bank 1

for
Deposits

Bank 2

for
Deposits

4

Private & Confidential

AlphaEngine
-

Features

AlphaEngine
TM

facilitates optimal portfolio construction:


Asset allocation:


Tactical Asset Allocation process at the total fund level


Style/Sector/Market allocation strategy within an asset class


Evaluating of rebalancing relative to other alternatives


Implement risk budgeting framework to improve returns for a given portfolio risk.


Improve manager allocations/manage cash flows relative to static manager allocations.

5

Private & Confidential

Ensure Decisions Generate Returns

Excess Return = 0.5%

Excess Return = 0.5%

Excess Return = 0.5%

Total Excess = 2%

Local Bonds

Foreign bonds

Mortgage/

Corporate

Government

Bonds

Bonds

Total Portfolio

Equities

Currency

Cash

1
-
mo LIBOR

Asset allocation strategy


Country allocation strategy


Sector allocation strategy


+

+

Manager Excess Return = 0.5%

+

Internal/External Managers


6

Private & Confidential

Local Bonds

Foreign bonds

Mortgage/

Corporate

Government

Bonds

Bonds

Total Portfolio

Equities

Currency

Cash

1
-
mo LIBOR

Naïve Rebalancing

Let Portfolio Drift


Sector allocation strategy


Internal/External Managers


Use Attribution to Improve Decisions

Excess Return = 0.5%

Excess Return =
-

0.5%

Excess Return =
-

0.5%

Total Excess = 0%

+

Manager Excess Return = 0.5%

+

Too much focus on
manager selection

7

Private & Confidential

Rules: Convert Ideas into Good Process

Good decisions add returns and reduce risk

Rule Criteria:

IF ((
Price of Gold Today > Price of Gold a Year Ago
))



THEN Allocate more to Cash

ELSEIF ((
Price of Gold Today < Price of Gold a Year Ago
))



THEN Allocate less to Cash

ELSE


Do Nothing

Investment Idea:

Cash vs Bonds:

Apparently, the price of gold is a good indicator of whether funds should
be invested in cash or higher duration assets (bonds). Rising gold prices are good for cash relative to bonds.


Performance Statistics:

Excess Annualized Return: 0.61%

Risk: 0.94%

Information Ratio: 0.65

Max Drawdown:
-
1.24% on 3/31/1999

Success Ratio: 61.1%

Confidence in Skill: 97.95%



Example:

*Purely hypothetical example and not an investment recommendation

8

Private & Confidential


Deliver Detailed Reports Through Web

Performance Measures

Benchmark



Strategy

Return

%



6.47



9.25

Cum. Return

%



36.79



55.64

Risk

%



2.28



5.58

Return / Risk Ratio



2.84



1.66

Excess



2.78



18.85



3.55



0.78

Success ratio of the rule
%
Average returns when positive
%
Average returns when negative
%
Max. consecutive periods of
positive returns
Max. consecutive periods of
negative returns
Max. relative loss for a period
%
70
56.67
1.51
0.86
-
1.02
-
0.60
7
7
4
5
-
2.54
-
1.99
Success ratio of the rule
%
Success ratio of the rule
%
Average returns when positive
%
Average returns when positive
%
Average returns when negative
%
Average returns when negative
%
Max. consecutive periods of
positive returns
Max. consecutive periods of
positive returns
Max. consecutive periods of
negative returns
Max. consecutive periods of
negative returns
Max. relative loss for a period
%
Max. relative loss for a period
%
70
70
70
56.67
56.67
56.67
1.51
1.51
1.51
0.86
0.86
0.86
-
1.02
-
1.02
-
1.02
-
0.60
-
0.60
-
0.60
7
7
7
7
7
7
4
4
4
5
5
5
-
2.54
-
2.54
-
2.54
-
1.99
-
1.99
-
1.99
Strategy
Strategy
Strategy
Excess
Excess
Excess
9

Private & Confidential

PortRate



Under Development


Customize analysis to clients’ objectives


Evaluates performance of funds/managers on multiple
metrics and combinations


Clients can:


Rate and select individual funds/managers


Create fund
-
of
-
funds


Manage dynamic manager allocations (with
AlphaEngine

)

Optimize fund manager selection