Blog Contributors

Ryan Nauman
VP, Product and Market Strategist
Stephen Berei
VP, Client Services & Implementation
Jeremy Poulin
Senior Client Consultant

Arithmetic vs. Geometric Mean Returns

Mar 12, 2013 Marc Odo
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.

Hedge Fund Style Template

Feb 27, 2013 Marc Odo
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.

Pain Index vs. Pain Ratio

Feb 12, 2013 Marc Odo
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.

Hedge Fund Tracking Template

Feb 1, 2013 Marc Odo
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.

2012 Market Review

Jan 16, 2013 Marc Odo
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.

ETF Returns: Market vs. NAV Returns

Dec 21, 2012 Marc Odo
At Zephyr Associates we occasionally get questions about the different ways to calculate ETF returns, specifically NAV returns versus market returns. Both methodologies are correct, but sometimes yield different results.

The Alpha Alphabet

Dec 4, 2012 Marc Odo
One of the most frequently used terms in finance is “alpha”. Alpha is generally accepted as meaning “manager skill”. Certainly an important concept, it is unfortunate there are so many misconceptions about what alpha is and is not. Searching the web and old textbooks sometimes makes matters worse, as there many different definitions floating around.

Spruce Up Your AllocationADVISOR Reports

Nov 20, 2012 Stephen Berei
The sister program to StyleADVISOR, AllocationADVISOR (AA) never seems to get as much credit as it deserves. The program has the ability to make several formatting edits that most of our clients are unaware of. Although not as flexible as StyleADVISOR, the program does have some useful formatting features.

Fixed Income and StyleADVISOR

Nov 5, 2012 Marc Odo
The question is often asked how to best analyze fixed income products using StyleADVISOR. First and foremost, it is worth noting that all of the return analytics - the benchmark comparisons, the modern portfolio theory statistics, the universe comparisons, etc. - are every bit as relevant when looking at fixed income strategies as they are with equity products.

Zephyr's New Home at Informa

Oct 17, 2012 Will Clemens
As we announced last week, Zephyr has been acquired by Informa PLC, and will be part of Informa Investment Solutions, a business within Informa that includes PSN and Investment Scorecard. The catalyst for our acquisition discussion was our existing partnership with PSN, Zephyr's longest-standing data partner.

A Pragmatic Approach to the Efficient Frontier

Sep 26, 2012 Marc Odo
Harry Markowitz’s idea of creating “optimal” portfolios that maximize return and minimize risk has been with us for a very long time. For many people, the manifestation of the idea of “optimal” portfolios is the efficient frontier- those portfolios that by mathematical definition have the most return per level of risk or conversely the least amount of risk per level of return.

Zephyr OnDEMAND: Bring Everyone to the Table

Sep 14, 2012 Jeremy Poulin
A few years ago at Zephyr, we took a step back and reevaluated how our clients were using StyleADVISOR. During this process, we were able to see that our asset management and advisory firm clients were often using StyleADVISOR to generate sophisticated reports for fund analytics, client meetings and marketing material.

The Style Drift Score

Aug 27, 2012 Stephen Berei
The Style Drift Score measures the change in style over time.

How to make the most of your Zephyr SMA data

Aug 9, 2012 Stephen Berei
The U.S. Zephyr SMA Database is a monthly and quarterly separately managed accounts database. There are about 10,000 products currently in the database with around 2,400 firms contributing.

The Value and Risk of VaR, pt. 2

Aug 8, 2012 Marc Odo
In a previous ZephyrCOVE post I discussed what VaR is and isn’t, some of VaR’s key assumptions, and how it has evolved. In this follow-up post I will explore how VaR is being applied to manager and portfolio analysis, which is Zephyr’s core business. That being said, all of the original points surrounding VaR raised in the previous post still apply here.

Investing in an inflationary environment (historical perspective)

Jul 30, 2012 Will Clemens
Historically low interest rates. Massive government stimulus. Rising standards of living creating commodities shortages. Turmoil in the Mid East and energy uncertainty. The recent “lost decade” for equities. Investors are rattled, and many expect an inevitable rise in interest rates, if not runaway inflation.

What's In a Five Year Number?

Jul 26, 2012 Marc Odo
Once again we are in the midst of quarter-end reporting. Across the financial industry everyone is busy preparing and analyzing performance figures through June 30th, 2012. Quite often people look to the “long-term” five year numbers. But today we aren’t looking at just any ordinary five-year number. The five years through June 30th, 2012 incorporates one heck of a wild ride.

The Value and Risk of VaR, Part 1

Jul 11, 2012 Marc Odo
With the recent hedging loss at JP Morgan swelling to the billions, the idea of Value-at-Risk is again in the spotlight. As with any risk measure, there are pros and cons. Unless one has a clear understanding of what is and isn’t being measured and the assumptions being made, VaR can misrepresent the risks of an investment.

Take Advantage of Peer Group Analysis

Jun 28, 2012 Stephen Berei
The idea behind a universe or peer group analysis is to compare a manager against its peers through the analysis of various statistical values at different percentiles or their ranking within that peer group.

How Zephyr is improving customer service

Jun 21, 2012 Jeremy Poulin
There have been great changes taking place at Zephyr Associates relating to our customer service. Over the last couple of years based on Zephyr’s “Voice of the Customer” feedback, we have been striving to create the best customer service experience possible. Take a look below at the exciting new things happening at Zephyr.

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