Tag Archives: mutual fund analysis

Beyond Correlation: Using Active Style™ to Understand and Display Fund Performance

To say that the post-Financial Crisis, Fed-fueled investing climate is one of markedly high correlations has become platitudinous. Managers of U.S. equity mutual funds know this all too well; the ability of the S&P 500 to explain their returns has risen to very high historical levels, with the average large blend fund exhibiting an R2 […]

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American Funds Growth Fund of America: A Short-Term Analysis

An October 15th WSJ article, “When ‘Focused’ Funds Falter”, finds many prominent stock-picker funds among some of the worst performing this year. Of such funds, Fairholme Fund (-27.6% YTD through Oct 13), a subject of one of our previous blog posts, is one of the most notable – along with Bill Miller’s Legg Mason Opportunity […]

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Fairholme (FAIRX) circa 2011: Two sides of the coin

Bruce Berkowitz’s fund has gotten a lot of media attention lately. Investors point to significant financial sector exposure and investments in AIG, BofA, Citi and St. Joe stock in particular as a drag on the fund’s 2011 results. While admitting on the conference call that the fund’s performance this year was “horrible” and the health […]

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Carmignac Patrimoine: Defensive Strategy Pays Off

Carmignac Patrimoine, the €24 billion flagship fund of French manager Carmignac Gestion, is back in the spotlight due to its good performance this summer. Despite the turbulence in European financial market, the fund rose 2.56% while its benchmark (50% MSCI AC World+50% Citi WGBI) lost -3.19% from June to August this year. Our cumulative return […]

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Global Emerging Markets Equity

Global Emerging Markets Equity funds’ performance varies significantly across the category, with the best 5% of the funds in the universe outperforming the market (pegged to MSCI Emerging Market Index) by approximately 22% and the worst 5% underperforming by approximately 16% over the last 52 weeks (ending October 1, 2010).What role do favourable style allocations […]

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Further Analysis of the Laudus Rosenberg Fund

Michael Markov and Kushal Kshirsagar In our previous post below (referenced in a story from Jeff Sommer of The New York Times) we performed an analysis of the Laudus Rosenberg US Large Cap mutual fund (sub-advised by AXA Rosenberg) that indicated a significant change in the fund’s risk profile occurred as early as 2008. Our […]

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Seeing Through Walls – Bringing Greater Transparency to Hedge and Mutual Fund Analysis

A review of traditional applications of Returns-Based Style Analysis (RBSA) and the details of a new proprietary Dynamic Style Analysis (DSA) methodology developed by MPI to provide hedge fund and hedge fund of fund managers with an unprecedented view into the workings of individual funds for due diligence, performance analysis and risk management. Click here […]

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