http://blog.stocktwits.com/5-things-we-learned-from-kyle-bass/
2. 'Risk Parity' strategy shows strain
http://www.ft.com/intl/cms/s/0/8542e88e-cea6-11e5-92a1-c5e23ef99c77.html#axzz3zfwok1Cd
Last year was a terrible one for “risk parity”, once one of the hottest strategies in the investment world, as losses mounted and some analysts blamed it for exacerbating market turbulence. So far 2016 has offered little respite.
...
But the performance started to sag in 2014, and nosedived last year, ruining its reputation for resilience in almost any conditions. The Salient Risk Parity index slumped 12 per cent in 2015 and JPMorgan’s gauge of risk parity fund performance fell more than 8 per cent.
...
Even pioneers of the strategy have suffered a bad time. Bridgewater’s “All Weather” risk parity fund lost 7.7 per cent last year and is down about 10 per cent net of fees since July 2014, according to a person familiar with the matter.
....
Adding to the woes(Commodity), bonds — a big part of risk parity portfolios — have failed to act as a suitable counterweight for the once seemingly bulletproof strategy.
....
“Rates have historically done well in environments like this, but last year we got nothing out of it,” says Mr Knight....“This is a world where there are some purists, and the theory underpinning risk parity is strong, so there aren’t that many that change their approach,” he says. “I don’t consider myself a purist, and there are some regimes that aren’t that risk parity friendly.”
...
The crucial question is whether this bout of underperformance is an unpleasantly long but still temporary blip, the start of a new risk parity-unfriendly market regime, or even a symptom of something more broadly awry in the fundamental assumptions underpinning the strategy.
Industry insiders are still confident it is the first, and are hopeful that a turnround beckons. Bridgewater’s All Weather fund is still “a much better ‘sleep at a night’ portfolio than any single asset class and most portfolios”, argues an executive at the hedge fund.
Similarly, Mr Mendelson at AQR says that apart from some minor implementation tweaks he has not changed anything as a result of market movements. “Systematic investing does best when you run a consistent process that doesn’t change in response to short-term fluctuations,” he argues.
3. 스마트베타, 패시브와 액티브 모두의 대안
http://m.thebell.co.kr/m/newsview.asp?svccode=00&newskey=201602010100002350000145
4. Hedgeable
https://www.hedgeable.com/hedgeable-investment-philosophy-white-paper#capm
...
Eliminating 75% of the losses during these two periods has an immense effect on portfolio growth, adding more than $1 million over 25 years. For a hard-working American investing for retirement, that extra $1 million can significantly boost their standard of living.
MPT based index investing will never achieve this kind of loss reduction; an MPT philosophy inherently accepts all losses and thus represents a huge opportunity cost for long-term investors.
...
Contrary to what the MPT zealots have made the public believe, managers have been able to achieve the kind of loss reduction shown above. Consider the tangible example of the performance of Bridgewater Associates’ Pure Alpha Fund (the firm where Hedgeable CEO Mike Kane began his career) versus the S&P:
Bridgewater produced a return that nearly doubled that of the S&P with about half the volatility, and a (-14.18%) max drawdown, thus cutting out 75.03% of the losses. Bridgewater is an alternative manager that invests in futures, options, and other vehicles that are typically only purchased for wealthy or sophisticated investors. But what if we could echo this sort of risk-managed profile by using large, liquid ETFs and stocks instead of complicated ultra-high-net-worth instruments? Later in this paper, we will explore how Hedgeable has disrupted the market by making that possible and available to everyone.
...
5. ‘Robo-advisers’ try to calm investor nerves
http://www.ft.com/intl/cms/s/0/3a44af14-c6ec-11e5-808f-8231cd71622e.html#axzz3zfwok1Cd
Daniel Egan, director of behavioural finance and investing at New York-based Betterment, said the firm had received higher volumes of calls and emails in recent weeks, and was trying to ease concerns by providing “very personalised, very positive” notifications when customers log in.
6. Which robos got off to the fastest start in 2016?
http://www.investmentnews.com/article/20160115/FREE/160119956/which-robos-got-off-to-the-fastest-start-in-2016
2016 1월 현재 로보어드바이져 AUM 2015 01과 비교
댓글 없음:
댓글 쓰기