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Goose Research

True Value Add - Part One

Yoshiki Obayashi
February 7, 2019

Let’s stop the debate on how to pick the right benchmark index for an active manager. It can’t be answered because it’s the wrong question to be asking. Current approaches to quantifying the value added by active managers are so deeply flawed that we must go back to first principles to correct course.

What's Your PPR?

Yoshiki Obayashi
January 2, 2019

If you are responsible for evaluating and allocating capital to active managers, then you have arguably the hardest and most impactful job in the world of investing: managing a portfolio of managers, i.e. being a “manager PM.” There needs to be a rigorous framework to value, and language to discuss, the work of manager PMs.

Mandate and the montroid

Yoshiki Obayashi
May 15, 2018

A precise and tight investment mandate is the bedrock of performance measurement. Evaluating managers without properly accounting for their mandate is like scouting athletes without knowing for what sport. A deep understanding of how investment mandates impact performance allows allocators to quantify the true value added by active managers.

Attribution is not prediction

Yoshiki Obayashi
April 1, 2018

Allocators must take care not to mistake descriptive analysis for prediction. Just because something involves numbers and metrics does not make it “Moneyball for investors.” Common attribution-style analysis is silent on the degree to which past outcome was achieved by skill or luck, and whether it will persist in the future.

Alpha is not a measure of skill

Yoshiki Obayashi
March 1, 2018

An allocator invests in a manager with three straight years of positive alpha, and then it suddenly disappears. Perhaps this has happened more often than some care to remember. If alpha were a measure of skill, then we are in the midst of an everlasting pandemic of once-skilled managers losing their touch overnight. I don't think that's what's happening.

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Index Research

JGB VIX Market Commentary Aug 2018

John C. White
September 1, 2018

After last month’s sudden upward jolt, the S&P/JPX JGB VIX kicked off August at intramonth high levels.

JGB VIX Market Commentary Jul 2018

John C. White
August 1, 2018

The S&P/JPX JGB VIX began the month at an all-time historical low (1.11) and remained near that levelfor three weeks. Then late in the day on July 20, 2018, there were several news reports that the Bank of Japan (BoJ) would be debating policy changes at their upcoming Monetary Policy Meeting (July 30-31, 2018). As measured by the S&P/JPX JGB VIX, this sent shockwaves through the markets in the trading sessions to follow and, as a result, the BoJ performed defensive operations to keep yields from skyrocketing ahead of the meeting.

JGB VIX Market Commentary Jun 2018

John C. White
July 1, 2018

S&P/JPX JGB VIX continued to break new ground to the downside in June and finished the month at all-time low levels (6/29 close 1.13), a leading indicator that the Bank of Japan’s (BoJ) quest to stamp out volatility has so far been successful. 

JGB VIX Market Commentary May 2018

John C. White
June 1, 2018

The S&P/JPX JGB VIX began the month in a relatively tight range, as the underlying JGB market followed other global bond markets. 

JGB VIX Market Commentary Apr 2018

John C. White
May 1, 2018

Despite the general downtrend, the S&P/JPX JGB VIX got a strong intra-month boost, as 10-Year U.S. Treasury Bond yields approached the symbolic 3% level and global inflationary pressures caused JGBs to weaken.

JGB VIX Market Commentary Mar 2018

John C. White
April 1, 2018

S&P/JPX JGB VIX started the month off with a jolt from Bank of Japan (BoJ) Governor Haruhiko Kuroda’s comments regarding a possible exit from current monetary policy in fiscal year 2019.

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