Jess Gaspar

Quant Corner: Understanding Active Risk and Tracking Error

Posted by Jess Gaspar on Nov 7, 2016

Topic: Asset Allocation | Investment Strategy | Risk Management

Investors frequently focus on the total return they experience in their portfolios. In periods when absolute returns are high, they feel good; in periods when absolute returns are low, they feel bad. Yet good performance and bad performance should not be evaluated in a vacuum, they should be evaluated relative to the risks undertaken in their portfolios.

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The Fiduciary Case for Carbon Exposure Management Now

Posted by Commonfund Institute, Jess Gaspar on Oct 18, 2016

Topic: Investment Strategy | Responsible Investing

The year 2015 featured a wealth of global warming headlines: the December Paris Agreement on climate change, the Pope’s Encyclical, the collapse of oil prices, the Obama administration’s Clean Power Plan, France’s mandatory carbon reporting and the New York Attorney General’s subpoena of Exxon Mobil. It was also the warmest year on record.

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Active Management Fatigue and What to Do About It

Posted by John Delano, Jess Gaspar, Kristofer Kwait on Jun 14, 2016

Topic: Asset Allocation | Investment Strategy

Active management has struggled for several years, raising questions about whether active management can ever outperform again. Traditional active manager style tilts, like value and size, have detracted from performance in recent periods. Over the long run, these tilts tend to mean revert around positive trends, creating reasons to be optimistic about active management’s prospects. On the other hand, only 30 percent of managers truly deliver positive alpha after controlling for typical active management style tilts.

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Quant Corner: What color is the little red schoolhouse?

Posted by Jess Gaspar on Aug 17, 2015

Topic: Investment Strategy | Risk Management

Welcome to the first installment of Quant Corner - where we take a closer look at investing and share insider tips, tricks from the trade, and break down common investing myths. Which brings us to the first topic: Dollar allocations ≠ risk allocation.

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Quant Corner – Dollar Allocation ≠ Risk Allocation

Posted by Jess Gaspar on Aug 17, 2015

Topic: Industry Knowledge | Risk Management

DOES A 70/30 PORTFOLIO HAVE 70 PERCENT OF ITS RISK IN EQUITIES? While this question may appear to channel the old joke ”Is the little red schoolhouse red?”, the answer is clearly that a 70/30 portfolio does not have 70 percent of its risk in equity. In fact, it has nearly 100 percent of its risk in equity. This first installment of Quant Corner explains why that is the case, and why investors should resist the temptation to move away from a fully diversified portfolio.

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Passive Indexing is no Panacea

Posted by Jess Gaspar on Feb 2, 2013

Topic: Industry Knowledge

Passive indexing has been a particularly appealing strategy to investors over the last few years. This is for good reason. Diversified exposure within a market . . .

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