Survival Of The Nimble

by | Apr 1, 2011 | Market Insights Alerts

The three to five years ending December 31, 2010 have challenged many active long only (and long-short) equity managers’ ability to produce alpha, particularly if their investment decisions are based on the intrinsic fundamental characteristics of individual stocks. As a manager of Entrepreneurial managers1 , the majority of whom employ this type of investment approach, FIS Group conducted research on the major factors driving the impairment of excess return observed over the last five years. Additionally, we examined whether the performance advantage of Entrepreneurial managers over their Established manager peers (by investment style and market capitalization) observed in our and others’ prior research had altered as a result of the changing macroeconomic and market environments. Our conclusions are as follows:

Performance Drivers For Emerging Managers

by | Dec 1, 2006 | Market Insights Alerts

The purpose of this study is to determine whether there are significant relationships between asset levels that traditionally determine a manager’s status as emerging and various measurements of risk-adjusted return. Those measurements include the Information Ratio, Sharpe Ratio and Sortino Ratio. Additionally, the study attempts to evaluate the impact of certain salient characteristics of the firm universe, such as portfolio concentration (as measured by average number of portfolio securities), degree of trading activity (as measured by portfolio turnover) and number of research analysts and portfolio managers.