reports
- Thomas Raffinot
Don’t Buy Winners: Lucky versus Skilled Portfolio Managers
Hiring recent outperforming managers and firing recent underperforming managers turns out to be 180 degrees wrong.Millesime-IS applies two different approaches to select the skilled funds managers. The aim of both methods is to identify the “skilled†managers but exclude at the same time the “lucky†ones.The illustration consists of 50 European Convertible funds that should beat the ECI Index We tailor our products to your needs: do not hesitate to contact us.
Treasure Hunter: Reward your Risk (FTSE 100)
The low volatility anomaly highlights that investors are not rewarded for bearing risk: low risk stocks tend to outperform their risky peers.The latest methods to build diversified portfolios (Minimum variance, Equal Risk Contributions (ERC), Risk Parity) take advantage of the low volatility anomaly. Fundamentally those techniques completely ignore expected returns and focus only on risk.However, the devil is in the details: it seems that much of the anomaly can be explained by the poor performa...
Financial Compass (euro area)
Regime shifts, if well handled, present opportunities for gain: regime-based asset allocation, hedging or investment strategies can significantly improve any portfolio risk-adjusted returns.The Financial Compass provides the state of the equity market by using a powerful class of machine-learning algorithms known as “Hidden Markov Models (HMM)": navigating financial markets regime shifts has never been so easy.
Financial Compass (United Kingdom)
Regime shifts, if well handled, present opportunities for gain: regime-based asset allocation, hedging or investment strategies can significantly improve any portfolio risk-adjusted returns.The Financial Compass provides the state of the equity market by using a powerful class of machine-learning algorithms known as “Hidden Markov Models (HMM)": navigating financial markets regime shifts has never been so easy.
Financial Compass (United States)
​Regime shifts, if well handled, present opportunities for gain: regime-based asset allocation, hedging or investment strategies can significantly improve any portfolio risk-adjusted returns. The Financial Compass provides the state of the equity market by using a powerful class of machine-learning algorithms known as “Hidden Markov Models (HMM)": navigating financial markets regime shifts has never been so easy.
Treasure Hunter: Reward your Risk (Euro Stoxx 50)
​The low volatility anomaly highlights that investors are not rewarded for bearing risk: low risk stocks tend to outperform their risky peers.The latest methods to build diversified portfolios (Minimum variance, Equal Risk Contributions (ERC), Risk Parity) take advantage of the low volatility anomaly. Fundamentally those techniques completely ignore expected returns and focus only on risk.However, the devil is in the details: it seems that much of the anomaly can be explained by the poor per...
Treasure Hunter: Reward your Risk (Small Caps, UK)
The low volatility anomaly highlights that investors are not rewarded for bearing risk: low risk stocks tend to outperform their risky peers.The latest methods to build diversified portfolios (Minimum variance, Equal Risk Contributions (ERC), Risk Parity) take advantage of the low volatility anomaly. Fundamentally those techniques completely ignore expected returns and focus only on risk.However, the devil is in the details: it seems that much of the anomaly can be explained by the poor performa...
Treasure Hunter: Reward your Risk (Small Caps, euro area )
The low volatility anomaly highlights that investors are not rewarded for bearing risk: low risk stocks tend to outperform their risky peers.The latest methods to build diversified portfolios (Minimum variance, Equal Risk Contributions (ERC), Risk Parity) take advantage of the low volatility anomaly. Fundamentally those techniques completely ignore expected returns and focus only on risk.However, the devil is in the details: it seems that much of the anomaly can be explained by the poor performa...
Treasure Hunter: Reward your Risk (S&P 500)
The low volatility anomaly highlights that investors are not rewarded for bearing risk: low risk stocks tend to outperform their risky peers.The latest methods to build diversified portfolios (Minimum variance, Equal Risk Contributions (ERC), Risk Parity) take advantage of the low volatility anomaly. Fundamentally those techniques completely ignore expected returns and focus only on risk.However, the devil is in the details: it seems that much of the anomaly can be explained by the poor performa...
Les swap spreads américains, banalisation de l’irrationnel
Millesime-IS s'intéresse à l'évolution des swaps spreads américains. Ces derniers semblent s’installer durablement en territoire négatif, ce qui est économiquement absurde. N'hésitez pas à nous contacter pour tout renseignement complémentaire.
True Detective: Hedge Funds diversification (United States)
In a low yield environment, especially when markets are volatile, diversification is key to dampen overall portfolio risk as well as preserve its capital value. Hedge Funds are said to provide exposure to non-traditional return drivers which may diversify risks. But, hedge funds are not an asset class but rather a collection of heterogeneous investment strategies.Millesime-IS’ investigation reveals hedge funds strategies that could help you achieve better risk-adjusted returns from a strategic...
True Detective: Hedge Funds diversification (United Kingdom)
In a low yield environment, especially when markets are volatile, diversification is key to dampen overall portfolio risk as well as preserve its capital value.Hedge Funds are said to provide exposure to non-traditional return drivers which may diversify risks. But, hedge funds are not an asset class but rather a collection of heterogeneous investment strategies.Millesime-IS’ investigation reveals hedge funds strategies that could help you achieve better risk-adjusted returns from a strategic ...
True Detective: Hedge Funds diversification (Euro area)
In a low yield environment, especially when markets are volatile, diversification is key to dampen overall portfolio risk as well as preserve its capital value.Hedge Funds are said to provide exposure to non-traditional return drivers which may diversify risks. But, hedge funds are not an asset class but rather a collection of heterogeneous investment strategies.Millesime-IS’ investigation reveals hedge funds strategies that could help you achieve better risk-adjusted returns from a strategic ...
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