Portfolio management is both complex and simple. It involves many steps and processes that leads to intended results: delivering excess returns within some risk budget. Each steps and processes is important and one needs to look at and improve each sub-system. Such Quantitative Equity Portfolio...

Most Quant PMs have observed that while their alpha strategy delivers good returns, performance attribution have an unexpected behavior. It shows that while they are making money on Common Factor bets, they are systematically losing money on stock specific bets. The negative stock specific drift...

Active Share is not a very useful measure of activeness. It has the benefit of being model independent. Conditional on a fixed Active Risk budget, Expected Alpha decreases with increasing Active Share contradicting the widely held belief that higher Active Share is better. With a good optimizer,...

Survivorship bias is present and part of our due diligence process. Whether a manager's performance database is “free of survivorship bias” or not, the typical use of the database by investors and consultants induce such effect and may lead them to improper conclusions and decisions. The...