Returns Analysis
We
use factor models to assess the significance and
consistency of abnormal returns relative to selected
benchmarks and examine a wide range of performance
criteria to assess the degree to which investment
performance is the result of manager skill.
Style
Analysis
We
use statistical models to assess the components of
strategy style and identify style drift where it occurs.
Factor
Models
We
apply single and multi factor APT models to assess the
performance characteristics of the strategy in relation
to a number of explanatory factors.
Contingent
Claims Models
We
model the returns process using non-linear
contingent-claims models, if appropriate. The is
particularly important is assessing the performance of
derivatives based strategies, or strategies such as
merger arbitrage or convertible arbitrage that have
elements of embedded optionality.
Strategy
Testing
We
create a number of test datasets designed to examine the
performance of the strategy under various market
scenarios. This gives greater insight into the
detailed workings of the strategy and its likely
performance under future market conditions.
