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David Scarozza

A Cost Effective Approach to Hedge Fund Allocations: Part 2

Posted by David Scarozza on Oct 11, 2018

Topic: Hedge Funds

Investors often pay “2 and 20” for hedge funds that deliver significant market return (beta), not manager skill (alpha). We seek “alpha-only” strategies in hedge funds while sourcing beta exposure more cost-effectively. Relative to peers, we advocate for a lower asset allocation to hedge funds.

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A Cost-Effective Approach to Hedge Fund Allocations: Part I

Posted by David Scarozza on Oct 1, 2018

Topic: Hedge Funds

Hedge funds are not an asset class. Hedge funds do, however, warrant a slice of an institution’s asset allocation pie – but not for beta exposure. We aim for pure alpha from our hedge funds and believe that the return, risk and correlation characteristics we can get from following this approach merit a strategic allocation of capital to hedge funds. Our approach to hedge fund usage is atypical in the industry. Broadly speaking, the institutional investing community accesses..

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Equity Portfolio Construction – Through a Risk Factor Lens

Posted by David Scarozza on Jun 28, 2018

Topic: Equities | Investment Strategy | Risk Management

At Commonfund, we aim to build multi-manager, active risk equity portfolios with a clear objective of consistent outperformance versus passive policy benchmarks. Our approach is to take intentional and measured “risk away from the benchmark” by allocating to a variety of managers who employ active risk strategies...

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How Much Beta is in Your Equity Portfolio?

Posted by David Scarozza on Jul 18, 2017

Topic: Asset Allocation | Equities | Investment Strategy | Risk Management

It’s undeniable that every active equity manager’s chief competitor these days is the passive alternative against which its investors measure their performance. This is as true for a singularly focused equity mandate manager as it is for an organization like Commonfund, who assembles multi-manager active risk equity portfolios that seek to exploit the potential advantage of scouring the globe in pursuit of strategies that offer both the possibility for excess returns and excess return source diversification.

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What do the Cable Television and Hedge Fund Industries Have in Common?

Posted by David Scarozza on Feb 28, 2017

Topic: Asset Allocation | Hedge Funds | Investment Strategy | Risk Management

These industries may seem an odd pairing, but both are in the midst of a disruption-led, industry-wide rationalization process. The two industries share in common a historically evolved “bundling” price structure, heavily favoring the sellers, that is breaking down due to the recent proliferation of distribution alternatives. This is giving consumers the option to be far more choosey about the prices they are willing to pay for varying levels of content.

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A False Sense of Diversification?

Posted by David Scarozza on Nov 29, 2016

Topic: Asset Allocation | Equities | Investment Strategy

As we have undergone the process of re-underwriting all of Commonfund’s equity managers and funds over the last 6 months, we have tackled anew the age old question of how many funds does one multi-manager equity portfolio require to offer appropriate levels of diversification? While there is no single universally appropriate answer, our research has indicated that, upon closer inspection, many multi-manager equity portfolios may not be quite as diversified as intended from a potential excess return perspective.

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