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RaisePartner e-news November 08
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Quant as a leverage for managers' expertise
Some Global Macro strategies suffered only limited drawdowns, despite unprecedented market turmoils. This month, learn more about the specificities of such strategies, and how quant models can help macro managers leverage their fundamental analysis.
The RP Quant Global Macro Index is a concrete example of how systematic models can live through the crisis when used with the right risk-driven allocation model.
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RaisePartner provides software components and web services for investment professionals.
Through our customized solutions for portfolio optimization and risk analysis, our goal is to help our clients enhance their investment process by bringing together the best of quantitative and qualitative approaches.
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RP Quant Global Macro Index
 | | The RP Quant Global Macro Index does not suffer large drawdowns despite the current crisis, as opposed to the HFRI Macro Index.
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HFRI Macro Index |
RP Quant Global Macro Index |
| Annualized mean return* |
7,6% |
9,0% |
| Annualized volatility* |
5,6% |
2,5% |
Annualized Sharpe ratio*
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0,8 |
2,4 |
Learn more here.
*Statistics based on monthly returns from June 06 to October 08
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 The Quant Corner
 Global Macro strategies
Global Macro hedge funds have the widest mandate of all hedge fund strategies, as managers take positions in any market, currency or instrument. It is the least constrained and most flexible of all Hedge Fund strategies. In this article, we focus on the differences between Global Macro and CTA's, the main advantages and drawbacks of Global Macro strategies and the role of quantitative approaches as a leverage for Global Macro managers' intu
... read more
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 RP Market Watch
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 | | 20-Nov-2008 |
Skewness, hope and bubbles
As economists Joseph Golec and Maurry Tamarkin have shown*, studies of horse race betting have empirically established a long shot anomaly. That is, low-probability / high-variance bets (long shots) provide low mean returns and high-probability, while low variance bets provide relatively high mean returns. Because bettors willingly accept low-return / high-variance bets, researchers conclude that bettors are risk lovers. In their study, Gole ... read more |
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 | | 13-Nov-2008 |
100 seconds to convince at the GAIM conference
We got the chance to present our RP Quant Global Macro strategy at the latest GAIM conference in Geneva, November 12th. This Quickfire showcase consisted in a 100-second talk to explain how our investment strategy differs from others, without using any charts or figures. The strategy was then graded by a jury.Our CEO François Oustry captivated the audience and got a 10/10 on the strategy (see transcript of the speech below).“I a ... read more |
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 | | 02-Nov-2008 |
VIX hits an all-time high in October 08
The CBOE volatility index (VIX) is the most widespread benchmark for stock market volatility. This “investor fear gauge”, quoted in percentage, gives a reliable snapshot of the expected near-term stock volatility based on the S&P500 option prices.Since its creation in 1993, this index has been used as a trustful barometer of the investor’s anticipations and anxiety. Looking back at its historical quotations since 1996, ... read more |
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RaisePartner
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75001 Paris
France
Tel : +33 1 4450 4050
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RaisePartner Inc.
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New York, NY 10006
United States
Tel : +1 646-496-0170
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