Style Research

Equity Performance Study

Using mutual fund holdings from the Style Research Funds Analyzer, and analysis from the Portfolio Analyzer, this webinar aims to shed light on the sources of performance of equity funds over the first half of 2012.  We will examine the main drivers of equity returns, from a country, sector and Style perspective, and investigate the extent to which these themes impacted fund performance, via both asset allocation and security selection.

Styles in Asia Pac x Japan

It is understood that Sector Investment can be a key driver of portfolio returns over time, but the benefits of Style Investment are less well documented.  Style Research has been investigating this area of investment, and an analysis of the Asia Pacific x Japan region over the last 10 years suggests that Style investing has delivered regular and progressive outperformance and at a significantly lower level of volatility risk than sector investing.  This webinar provides an overview of the findings of this research.

Style Research Markets Analyzer

The Markets Analyzer provides direct access to our 20 year database of security fundamentals and stock returns and enables users to conduct flexible analysis of portfolio characteristics and performance of theme-based investment strategies within markets and across regions.

This webinar will demonstrate how to use the Markets Analyzer both for individual queries as well as for batch run analyses and will also explain how to interpret the statistical analysis and data in the output files.  The webinar will finish with a demonstration of how to use the Markets Analyzer together with the Portfolio Analyzer to shed some light on a current finance theory debate.

Macro Factors

Style Research recently added six Macro Economic Betas to both the Portfolio Analyzer and the Markets Analyzer.  Each beta provides an estimate of the linear relationship between a stock’s share price and the macro economic factor.

This Webinar will give a beginner’s guide to Macro Economic Beta estimation.  It will highlight the issues that need to be considered when applying linear regression analysis to financial data and will discuss the interpretation of the factors.

Peer Group Comparisons

This webinar will focus of the Style trends experienced during the first quarter and their impact on fund returns. It will also look at the recent trends among product launches and how this compares to the past.

Active Share and Beyond – New Institutional Peer Group Insights

Style Research currently provides unique holdings-based Style and Risk analysis for over 5,000 institutional equity products each quarter in eVestment Analytics. For the first time, managers, plan sponsors and consultants can position individual products against industry standard peer groups using practical and institutional-strength portfolio analysis. This webinar will highlight some peer group Style and Risk findings across the eVestment Alliance Peer Group Universes.

New Style Research Funds Analyzer (SRFA)

The Funds Analyzer is receiving a significant update and this webinar will explain the most important changes. The service is benefiting from a refreshed front end, which makes better use of a user’s screen and implements some improvements in web interactivity. The product will also include an expanded dataset to reveal a great level of analysis on each fund. This includes more factors and market information. In addition, our data update process is evolving to bring data online faster.

Returns Based Style Analysis

Top-down Returns Based Style analysis represents the Style composition of portfolios from analysis of their returns alone. The technique compares a portfolio’s historic returns against the returns of Style based paradigm portfolios and calculates the combination of these paradigm portfolios that best approximates the returns of actual portfolios. The derived combination of Style paradigms then gives the portfolio’s Style characterization. This webinar discusses how to run a returns based analysis and interpret the output.

Using SRPA for Long/Short Analysis

Hedge funds can be analyzed in much the same way as long only portfolios. The mix of both positive and negative holdings is easy to examine within the Style Research Portfolio Analyzer. Using the ‘Is Hedge Fund’ option, risk can be measured against cash, and the analysis will break out long, short and net positions. This webinar will investigate how to load, set up and interpret the output for a long/short fund.

The Style Research Risk Model and the Persistence Ratio

The Style Research equity risk model provides the architecture to analyze benchmark-relative and absolute risk for long-only, 130-30 and long-short equity portfolios and funds of funds invested in any of over 100 developed and emerging markets. This webinar explains how the risk model works and how to interpret and use the results. The session continues to describe the Persistence Ratio, a statistic developed by Style Research to provide a practical indicator of the extent to which tracking error forecasts underestimate risks due to systematic trending patterns in returns and time-varying weights.

SRPA for Fixed Income & Balanced Funds

With the addition of the Fixed Income module in 2009, the Style Research Portfolio Analyzer (SRPA) allows for the analysis of Balanced funds in addition to equity and fixed income only funds. Balanced analysis includes asset class and sector breakdowns, tracking error decomposition and issuer detail combining fixed income and equity issues. This webinar describes how to set up, analyze and interpret the fixed income and balanced fund analysis.

Global Style Perspectives

Without evidence of the relevance of Style factors in providing information about security performance, Style analysis itself would be meaningless. This introduction to the Global Style Perspectives and Monthly Style Summary service describes the background testing applied to confirm the relevance of Style analytics in the major markets and regions and shows how historic, current and future patterns of Style performance can be related to economic and market cycles.

Using SRPA for Fund of Funds Risk Analysis

The fund of funds risk decomposition shows the breakdown of risk, and other statistics, when a portfolio is made up of a number of funds. For fund of funds and multi managers, it provides a summary of how the various funds interact with each other and how they contribute to the overall risk of the portfolio. In addition the manager can investigate the diversification potential of funds using the risk optimizer. This webinar will demonstrate how to create and optimise a fund of funds and interpret the specific fund of funds analysis.

SRPA Advanced Settings

The advanced tab within the batch record facilities provides a host of options allowing the user to customise the analysis. This includes setting market vs benchmark relative distribution, changing the covariance end date and adjusting the tilt deflator. This webinar will describe each of the advanced options, what they mean and when to use them.

Integrating Performance Attribution with Risk and Style analysis

The Style Research Portfolio Analyzer (SRPA) performance attribution module allows users to examine the effects of their market, sector, Style and stock selection decisions. In conjunction with the Style and risk analysis, holdings based performance attribution is extremely useful in establishing if these decisions have contributed to the funds performance. This webinar will demonstrate how to run the performance analysis and how to effectively analyze a portfolio using both ex ante and ex post analysis.