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Alpha Management

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  1. Manager selection decisions - Alpha management
    1. Introduction
    2. Indicators
    3. Customized benchmark & Alpha estimate
    4. Persistence of performance
  2. Putting the pieces together
    1. Static Core-portfolio approach
    2. Dynamic Core-portfolio approach

For each individual manager, we have estimated the risk-adjusted performance. We have measured the returns for each manager and the risks taken by each of them owing to volatility, skewness and kurtosis, VaR and downside risk. Based on the above analysis we can see that three of the five managers (B, C and E) have realized higher returns (4.44% in average vs. -4.83%) with lower risk (21.68% in average vs. 25.78%) than the commercial index. The other two (A and D) have registered lower risk (23.80% vs. 25.78%) but also worst returns (-8.01% in average vs. -4.83%). We can link the performance and the risk thanks to different ratios.

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