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Goose Research

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.

Don't mistake attribution analysis for 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.

The paradoxical rise of backtest-squared

Yoshiki Obayashi
February 1, 2018

Statistical methodologies for measuring and minimizing overfitting in backtests are nice in theory, but I find limited practical value in any test of overfitting that is based on backtested data (backtest-squared!). There is too much missing and asymmetric information to estimate the impact of multiple testing with meaningful precision, and backtests-squared may just take overfitting to the next level.

Management fees are not the problem

Yoshiki Obayashi
January 1, 2018

There is nothing wrong with paying a high price for rare and valuable talent. Our society happily rewards the likes of Roger Federer, Adele, and Elon Musk with tremendous wealth for their singular craft. In principle, the same should apply to talented investment managers, so what explains the ongoing war on fees?

Someone please explain why factors are special

Yoshiki Obayashi
December 1, 2017

What distinguishes factors from any other systematic strategy out there? In my opinion, nothing. I'm making a neutral statement here; they're not better or worse. Some factors come with very interesting stories, but that should not exempt them from a rigorous empirical test of the truth.

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Index Research

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.

JGB VIX Market Commentary Feb 2018

John C. White
March 1, 2018

S&P/JPX JGB VIX kicked off the month with a muted tone as the Bank of Japan (BoJ) performed an unlimited fixed rate buying operation on February 2nd to reverse the trend of rising longer-dated yields.

JGB VIX Market Commentary Jan 2018

February 1, 2018

S&P/JPX JGB VIX jumped higher intra-month on the back of a surprise reduction by the Bank of Japan (BoJ) to their regular long-dated JGB buying operations.

JGB VIX Market Commentary Dec 2017

John C. White
January 1, 2018

S&P/JPX JGB VIX came off intra-month lows of 1.38 to jump almost 20% over 3 trading sessions as 10-year JGB futures plummeted ahead of the Bank of Japan’s regularly scheduled monetary policy announcement on December 21st.

JGB VIX Market Commentary Nov 2017

John C. White
December 1, 2017

S&P/JPX JGB VIX started November off at near-term lows (November 2nd close 1.30) to rise over 30% over the course of the month. Lows coincided with Prime Minister Shinzo Abe’s re-election in parliament and reappointment of his cabinet after his ruling coalition’s strong electoral win last month.

JGB VIX Market Commentary Oct 2017

John C. White
November 1, 2017

S&P/JPX JGB VIX came off the highs of the month (October 3rd close 2.03) to finish at 1.40 as uncertainty around a possible change in Japan’s overall political landscape and near-term lower house election results were resolved.

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