Trendrating White Papers

  • AMC - New Direction for an Actively Managed Certificate

    Arun Soni – Global Head of Strategy
    Markets exhibit significant return dispersion in all types of market conditions and this cross-sectional dispersion in returns should make a compelling case in support of active management as the opportunities to outperform underlying benchmarks is real.

  • Extracting Performance from Return Dispersion in Equity Markets

    Arun Soni – Global Head of Strategy
    Equity markets exhibit signicant return dispersion in all phases and Trendrating’s assertion is that this cross-sectional dispersion in returns makes a compelling case in support of active management as the opportunity to outperform underlying benchmarks is real.

  • Market Return Dispersion & Opportunities For Active Managers

    Arun Soni – Global Head of Strategy
    Markets exhibit significant return dispersion in all types of market conditions and Trendrating’s assertion is that this cross-sectional dispersion in returns makes a compelling case in support of active management as the opportunities to outperform underlying benchmarks is real. Yet according to SPIVA, 80% of US active funds and 79% of European funds underperform their respective benchmarks.

  • Performance Risk Management

    Arun Soni – Global Head of Strategy
    Portfolio risk management is generally confined to volatility management & market risk management. Whilst these measures of risk are of significant importance for the portfolio management function, they are measures of deviation from an underlying benchmark in the case of volatility management, or of probability of loss in the case of market risk management. We introduce the notion of Performance Risk Management that provides a framework for capturing the risk of absolute or negative portfolio performance.

  • TCR - Trend Capture Rating & Dynamic Risk Management

    Arun Soni – Global Head of Strategy
    This paper presents a 15 year analysis of the time varying rating of a Global Market Portfolio and its linkage to returns over subsequent holding periods we also document the same for the Developed Europe & USA regional market portfolios.

  • Trend Capture Driven Risk Control – Developed Europe Large Caps (2008-2010)

    Arun Soni – Global Head of Strategy
    Trend Capture is a powerful tool for risk control as it facilitates significant drawdown reduction during Bear Market phases that limits losses so that the investment portfolios begin their ascent from a higher point when uptrends resume.  We present an analysis for the period January 01, 2008 through December 31, 2010 on a universe of large cap European  stocks to demonstrate the significant performance uplift that investors would have gained from using Trendrating.

  • Trend Capture Driven Risk Control – Developed US Large Caps (2008-2010)

    Arun Soni – Global Head of Strategy
    Trend Capture is a powerful tool for risk control as it facilitates significant drawdown reduction during Bear Market phases that limits losses so that the investment portfolios begin their ascent from a higher point when uptrends resume. We present an analysis for the period January 01, 2008 through December 31, 2010 on a universe of large cap US stocks to demonstrate the significant performance uplift that investors would have gained from using Trendrating.

Academic White Papers

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