Professional articles and academic papers on performance analysis. Attribution analysis seeks to compare the return from a fund with the return from a benchmark, and to explain the differences by decomposing the excess return into its component parts. Some of our most popular research on attribution analysis considers performance attribution methodology from first principles, providing... a primer on attribution analysis and models. Others white papers and reports focus on particular models, such as the Brinson Model, fixed income return attribution, equity attribution analysis, or the dissecting of hedge fund returns. A key aspect of performance is of course reporting to clients, and here the CFA provides guidance for effective investment reporting with its Principles for Investment Reporting model, known as GIPS (Global Investment Performance Standards) and encapsulated in the GIPS Handbook. A proper attribution of returns illuminates the contribution made by active managers, enabling judgements to be formed of whether excess returns have arisen from skill or luck. For most investment strategies, however, an extended period of time is required before such judgements can be made with any confidence.
This report adds institutional accounts to the mutual funds analyzed in the S&P Indices Versus Active (SPIVA) U.S. Scorecards. It also examines the impact of fees.
If indices can represent passively implemented returns in a given universe, then the risk/return profiles among various indices in the same universe should be similar. In large-cap U.S. equities, the S&P 500® and Russell 1000 have had similar risk/return profiles (9.65% versus 9.73% per year, respectively, since Dec. 31…
Institutions are continuously seeking ways to improve their portfolio's risk return profile. This paper compares and contrasts those vehicles and demonstrates that certain institutions that are comfortable with the implications of investing in those vehicles should carefully consider them.
Active managers primarily use index data to benchmark investment performance, but a new study suggests there are significant opportunities for them to derive more value from data, analytical expertise and partnerships with index providers. This Greenwich Associates report, commissioned by FTSE Russell, discusses perceptions…
Many quant managers are having a tough year. While one might blame factors in general, their returns do not tell the whole story (or even most of the story). One of the major culprits in the US is that a number of factors worked better on the short side and among small-cap names, but even that does not explain all of the…
After conducting a comprehensive study of equity hedge fund characteristics and performance going back to the 1990s, we believe the conclusions reached may help investors optimize their construction of long-term hedge fund allocations.
In the final part of our three-part video series, Andrew Prewitt, Managing Director – Investment Portfolio Management at Harbor Capital Advisors explains their considerations when monitoring portfolio performance and what actions are taken if a manager is not meeting his expectations.
Although private credit funds have rapidly grown into a standalone asset class over the last decade, little is known about the aggregate performance of these funds. To provide a first look at absolute and relative performance, we utilize the Burgiss database of 476 private credit funds with nearly $480 billion in committed…
Using the unique laboratory of university endowments, we study the effects of expertise and networks on investment performance. Using detailed information on more than 11,000 unique board members for 579 university endowments, we show that the financial expertise of an endowment’s governing board is positively correlated…
Private equity funds hold assets that are hard to value. Managers may have an incentive to distort reported valuations if these are used by investors to decide on commitments to subsequent funds managed by the same firm. Using a large dataset of buyout and venture funds, we test for the presence of reported return…
This paper focuses on funds of funds (FOFs) as a form of financial intermediation in private equity (both buyout and venture capital). After accounting for fees, FOFs provide returns equal to or above public market indices for both buyout and venture capital. While FOFs focusing on buyouts outperform public markets, they…
In the final video of the three part series featuring Nick Samuels, Head of Manager Research at Redington, we examine: The importance of factor attribution when it comes to isolating manager skill; the evidence the manager research team at Redington looks for, when it comes to recognising investment skill; and the benefits…
This study considered the performance of actively managed U.S.-based equity and fixed-income funds, and the individuals managing them since 2003. Across three statistical tests, we find no significant performance difference between male and female fund managers, nor differences in fund performance for offerings run by mixed-…
Investor experience and academic research since the global financial crisis reflects a growing realization that credit conditions can affect future macroeconomic outcomes. The authors of this paper investigate whether credit booms throughout history have had any explanatory power to account for future asset class returns.
Technological advances have expanded the application of factors. What was the realm of quantitative investors has become more accessible, bringing greater transparency and potential insight into portfolio characteristics and performance drivers.
In a recent paper, “Demystifying Illiquid Assets – Expected Returns for Private Equity,” Ilmanen, Chandra and McQuinn (of AQR) give a perspective on the past, present, and expected future performance of private equity. They conclude that “private equity does not seem to offer as attractive a net-of-fee return edge over…
We survey the properties of commercial real estate (CRE) as an asset class.We first illustrate its importance relative to the US economy and to other assetclasses. We then discuss CRE ownership patterns over time. While the aca-demic literature has emphasized Real Estate Investment Trusts (REITs), abouttwo…
Investors increasingly look for private equity managers to provide opportunities for coinvesting outside the fund structure, thereby saving fees and carried interest payments. In this paper we use a large sample of buyout and venture capital coinvestments to test how such deals compare with the remaining fund investments. In…
