Mar 12, 2013
At Zephyr we occasionally get questions regarding returns in StyleADVISOR vs. AllocationADVISOR. Specifically, clients notice that the annual returns do not match. This is by design, as StyleADVISOR uses geometrically-compounded returns and AllocationADVISOR uses arithmetically averaged returns. StyleADVISOR is used primarily for historical, ex-post analysis of what a manager or index’s performance has been. AllocationADVISOR, on the other hand, is used for establishing a strategic plan going forward. For those different roles, different calculation methodologies are recommended.
Feb 27, 2013
Zephyr has recently developed a template that attempts to apply Bill Sharpe’s returns-based style analysis methodology to the world of hedge funds. Sharpe originally developed this multi-factor optimization process in an attempt to replicate as much of an active manager’s return patterns as possible by using the right combination of passive benchmarks.
Feb 12, 2013
Although people have found Zephyr’s pain index and pain ratio to be very useful in their understanding of capital preservation risk, there remains some confusion between the two. Hopefully this blog post will clear up any lingering ambiguity.
Feb 1, 2013
For those who want a deeper-dive into hedge funds, specifically for those who want to know more about the style of a hedge fund, we have developed two additional templates for your use. The first template compares a hedge fund’s returns against different, single benchmarks, a number of times over.
Jan 16, 2013
Much of the data used in this write-up was sourced from one of our capital market overview templates. We have a self-writing version available for download that looks at the raw data and, using If/Then code, is able to write out a general summary of the markets.