Kushal Kshirsagar - Quaffers.org
Kushal Kshirsagar - Quaffers.org
Kushal Kshirsagar - Quaffers.org
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A MATTER OF PERSPECTIVE:A CASE STUDY ON MONITORING FUND RISKKUSHAL KSHIRSAGAR, PH.D.MAY 2010
ONE PERSPECTIVE…Total Annualized Return, %-1 0-2-3-6-5-4-10 -9-8-7-11-10.3-9.3Performance01/02/08 - 04/01/10-5.8-8.1-8.8-8.201/02/08 - 04/01/10-6.7Laudus RosenbergGoldman:Strc US EqVanguard Gro & IncJanus INTECH RM CoreT Rowe Price I US Str RsM<strong>org</strong> Stan Div GroRussell 1000 IndexCreated with mpi Stylus (Data: Lipper)Total Annualized Return, %30252015105021.8 22.1Performance01/02/09 - 04/01/1028.623.6 23.3 24.001/02/09 - 04/01/1028.3 Laudus RosenbergGoldman:Strc US EqVanguard Gro & IncJanus INTECH RM CoreT Rowe Price I US Str RsM<strong>org</strong> Stan Div GroRussell 1000 IndexCreated with mpi Stylus (Data: Lipper)2© 2010 Markov Processes International LLC.
ONE PERSPECTIVE…CONTD.Sharpe Ratio543210-1-2-366 Day Rolling Sharpe Ratio02/06/08 - 04/01/10-402/06/08 06/30/08 12/31/08 06/30/09 04/01/10Laudus RosenbergGoldman:Strc US EqVanguard Gro & IncJanus INTECH RM CoreT Rowe Price I US Str RsM<strong>org</strong> Stan Div GroRussell 1000 IndexCreated with mpi Stylus (Data: Lipper)4© 2010 Markov Processes International LLC.
ONE PERSPECTIVE…CONTD.Excess Information RatioCalmar Ratio66 Day Rolling Performance Statistics02/06/08 - 04/01/1064Excess2Laudus Rosenberg0Goldman:Strc US Eq-2Vanguard Gro & Inc-4Janus INTECH RMCoreT Rowe Price I US Str Rs-6M<strong>org</strong> Stan Div Gro-8Russell 1000 Index-10-12-1402/06/08 12/31/08 08/17/09 04/01/1087654321066 Day Rolling Calmar Ratio2008 - 2010-12008 2008 2008 2009 2010Created with mpi Stylus (Data: Lipper)Calmar RatioLaudus RosenbergGoldman:Strc US EqVanguard Gro & IncJanus INTECH RMCoreT Rowe Price I US Str RsM<strong>org</strong> Stan Div GroRussell 1000 IndexCreated with mpi Stylus (Data: Lipper)Excess(MAR) Loss RatioTotal Omega Ratio66 Day Rolling Downside Statistics15.8Laudus Rosenberg14.413.0Goldman:Strc US Eq11.6Vanguard Gro & Inc10.2Janus INTECH RMCore8.8T Rowe Price I US Str Rs7.4M<strong>org</strong> Stan Div Gro6.0Russell 1000 Index4.63.21.80.4-1.0-2.4-3.802/06/08 12/31/08 04/01/102.92.72.52.32.11.91.71.51.31.10.90.70.50.366 Day Rolling Downside Statistics0.002/06/08 12/31/08 08/17/09 04/01/10Created with mpi Stylus (Data: Lipper)Laudus RosenbergGoldman:Strc US EqVanguard Gro & IncJanus INTECH RMCoreT Rowe Price I US Str RsM<strong>org</strong> Stan Div GroRussell 1000 IndexCreated with mpi Stylus (Data: Lipper)5© 2010 Markov Processes International LLC.
ANOTHER PERSPECTIVE…• Thoughtful peer analyses• Less reliance on boilerplate ratios• Identify factors that drive risk and return• Motivated by economic logic – not just data• Where do alphas come from?6© 2010 Markov Processes International LLC.
ANOTHER PERSPECTIVE…CONTD.1.21.11.066 Day Rolling BetaLaudus RosenbergGoldman:Strc US EqVanguard Gro & IncJanus INTECH RM CoreT Rowe Price I US Str RsM<strong>org</strong> Stan Div GroBeta0.90.80.70.602/06/08 07/31/08 12/31/08 06/30/09 04/01/10Created with mpi Stylus (Data: Lipper)8© 2010 Markov Processes International LLC.
ANOTHER PERSPECTIVE … CONTD.Weight, %100500100500100500Laudus RosenbergGoldman:Strc US EqVanguard Gro & IncFactor Exposures100Janus INTECH RMCore50011/01/07 06/30/08 12/31/08 06/30/09 04/01/10Russell 1000 IndexRussell "Alpha Factor"Created with mpi Stylus (Data: Lipper)9© 2010 Markov Processes International LLC.
ANOTHER PERSPECTIVE … CONTD.Performance12/31/08 - 10/01/09Total Annualized Return, %22201816141210864211.313.714.7 14.820.816.219.7Laudus RosenbergGoldman:Strc US EqVanguard Gro & IncJanus INTECH RM CoreT Rowe Price I US Str RsM<strong>org</strong> Stan Div GroRussell 1000 Index012/31/08 - 10/01/09Created with mpi Stylus (Data: Lipper)10© 2010 Markov Processes International LLC.
OPEN QUESTIONS• Why did Tracking Error appear to spike in ‘08 and ‘09?• Why did beta appear to spike down?• Why did exposure to the alpha factor appear to increase?• Did any of the above impact performance?• Could the unusual risk profile have been detected 2009:Q3?11© 2010 Markov Processes International LLC.
ANOTHER PERSPECTIVE…CONTD.1.21.11.066 Day Rolling BetaLaudus RosenbergGoldman:Strc US EqVanguard Gro & IncJanus INTECH RM CoreM<strong>org</strong> Stan Div GroBeta0.90.80.70.602/29/08 06/30/08 12/31/08 06/30/09Created with mpi Stylus (Data: Lipper)12© 2010 Markov Processes International LLC.
ANOTHER PERSPECTIVE…CONTD.Excess Annualized StdDev, %11109876543210Tracking Error (66 day rolling window)02/29/08 06/30/08 12/31/08 06/30/09Laudus RosenbergGoldman:Strc US EqVanguard Gro & IncJanus INTECH RM CoreM<strong>org</strong> Stan Div GroRussell 1000 IndexCreated with mpi Stylus (Data: Lipper)13© 2010 Markov Processes International LLC.
Thank YouInternational HeadquartersMarkov Processes International, LLC (MPI)25 Maple Street, Suite 200Summit, New Jersey 07901U.S.A.Tel: +1 908 608 1558info@markovprocesses.comwww.markovprocesses.com
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