Blog Contributors

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

Confidence Bands: Next-Generation Monte Carlo

Jun 21, 2012 Marc Odo
One of the problems with traditional Monte Carlo projections is that it is very iterative process. After establishing the investor’s wealth goals and cash flows, a single portfolio with a forecasted return and risk is chosen. The Monte Carlo process is run and thousands of possible outcomes are calculated.

Get a Handle on Zephyr Universes

Jun 6, 2012 Stephen Berei
There is not one end all, be all method in which one can construct a universe or peer group. One approach is to build universes on fund or SMA performance. For example, one could build his/her universe using Returns-Based Style Analysis (RBSA), R-Squared, or Tracking Error. A second approach could be to base the universes off the reported fund holdings. At Zephyr, we use RBSA to construct our universes with the methodology described below.

Uploading Custom Returns: StyleADVISOR and Zephyr OnDEMAND play well with Excel

May 23, 2012 Jeremy Poulin
Have you ever felt limited by other financial programs when working with your custom data? Or, does the process take too long for your busy schedule? Well, this is a problem that we have solved in StyleADVISOR and Zephyr OnDEMAND with the help of Excel.

Breaking Down the Exposure Allocation of an Active Fund

May 9, 2012 Will Clemens
Bruce Berkowitz’s Fairholme Fund earned big headlines at the close of Q1, as his stock picking prowess was cited as the source of a 31% return for the quarter and presumably put his fund back on track to continue its long term outperformance versus the S&P 500.

Hedging for 13 Basis Points

Apr 24, 2012 Will Clemens
A hedge fund is commonly defined today as "an aggressively managed portfolio of investments that uses advanced investment strategies", according to Investopedia. But before this general definition took hold, hedge funds, or "hedged funds", were vehicles that focused on hedging, or providing some protection and diversification when markets went down or otherwise didn't perform as planned.

The Style Benchmark Explained

Apr 10, 2012 Stephen Berei
The Style Benchmark is a combination of indexes that best defines the style of a manager. In other words, it is the combination of indexes that best replicates the historical behavior of the manager by providing the lowest tracking error to the manager.

Beyond The Style Box: Unconstrained Returns Based Style Analysis

Mar 27, 2012 Marc Odo
One question we get at Zephyr is, “Is it possible for a manager to fall ‘outside the style box’? "Shouldn’t a high-momentum growth manager or a deep value manager fall beyond the corner indices?” The answer is yes, there is a way you can have managers plot outside the box.

8.2: Practical Uses of the New Features

Mar 15, 2012 Stephen Berei
It’s always exciting for us to release new versions of our programs because it gives us the opportunity to unveil what our development team has been working on over the past several months or longer. We strive to include additional features in our products that we not only believe are useful and practical for our clients as well as (and most importantly) features that our clients specifically request.

Staggering Across the 2011 Finish Line

Feb 6, 2012 Will Clemens
Predicting the weather in Boston for next week is very difficult, but you can generally bet it will hot and humid most of the summer, cold and windy much of the winter, and you should always have a contingency plan because the weather tends to not cooperate.

Manager Narratives in the Zephyr MA Database

Jan 13, 2012 Marc Odo
Did you know Zephyr Associates collects narrative information in the Zephyr Managed Accounts Database? This information comes standard with your Zephyr subscription and is available to all of our subscribers. Participating managers provide information on firm history, buy/sell discipline, portfolio construction process, and many other firm- and product-level fields.

RDR – Applying an Institutional Investment Approach to the Retail Sector

Dec 30, 2011 Stephen Berei
Throughout Europe important structural changes are being made to the retail investment advice industry. In the UK, this is being implemented under what the Financial Services Authority (FSA) calls the Retail Distribution Review or RDR, an initiative that will be enforced starting December 31st, 2012. The FSA’s key objective is to give consumers confidence that the advice and products they buy are best suited to their requirements.

Above and Beyond The Efficient Frontier?

Dec 14, 2011 Marc Odo
A frequent question we receive at Zephyr is, “I’m using AllocationADVISOR, and the portfolios I entered appear above the efficient frontier. How is that even possible?”

Periodic Returns Graph in StyleADVISOR

Dec 1, 2011 Stephen Berei
Is a periodic returns graph possible in StyleADVISOR? YES! With some outside-of-the-box thinking we can create it. You can only graph ONE manager in this graph and it will be a bar chart.

Active Share: What It Is and Isn't

Nov 17, 2011 Marc Odo
Over the last year or so there has been a lot of buzz around the idea known as “Active Share”. Proposed by Cremers and Petajisto, simply put Active Share is a way to measure the degree of deviation from a passive benchmark from a holdings-based perspective.

Blending Managers with Short History

Nov 3, 2011 Stephen Berei
I’ve had this question come up a lot lately and I’d like to address it here. Some managers just don’t have a lot of history. This can cause a blended portfolio utilizing these managers to have a short history as well. When a blend is created in StyleADVISOR it will default to the common period; you do have the option to set the begin date prior to the common period, but that is just avoiding the issue rather than providing a solution.

Life Cycle Funds and Returns Based Style Analysis

Oct 21, 2011 Marc Odo
Although a relatively new development, the idea of Target Date, Lifecycle, or Glide-Path mutual funds has found a willing and enthusiastic audience in the defined contribution world. While the idea of offering plan participants a well-diversified investment appropriate to their goals and needs via a single investment is certainly appealing, the growth of this type of product has been a challenge for those attempting to independent, objective performance analysis.

Updated Market Cycles Template Available

Oct 6, 2011 Marc Odo
The good news is Zephyr has updated our popular “Market Cycles” template and we’ve made it available for download in our Template Library. The bad news is the update was made to incorporate the recent summer swoon in the markets.

Alpha Star

Sep 23, 2011 Stephen Berei
I think this statistic is one that may not be so popular, but could prove to be very useful. The statistic is a measure of risk-adjusted excess return first introduced by Richard C. Marston in 2004.

Understanding Tail Risk: Skewness & Kurtosis

Sep 2, 2011 Marc Odo
Over the last decade or more there has been an increased awareness of “tail risk”- those extreme events in the market that have an outsized impact upon an investment. By definition, tail events are supposed to be infrequent, but these shocks are happening much more frequently and are more extreme than a lot of investors anticipated.

The Risk-Free Rate And Default Risk

Aug 4, 2011 Marc Odo
Over the last half-century, many of the developments and models used in finance assume the presence of a “risk-free rate”. This rate of return is used as a reference point or springboard for a vast array of analysis,

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