R-Squared Research

	Guaranteed Active Manangement Jason MacQueen Relative to other businesses, traditional investment management is very strange. The Manager builds and owns the process, but the Investor takes on the “equity” risk. The Owner/Manager should (surely?) want equity participation in his own process. Potential Client/Investors should have the choice of providing debt or equity capital
	The Structure of Risk Models Jason MacQueen Nobody builds stock risk models because they care about individual stock risk. If they did, they wouldn’t use the same model for 20,000 different stocks, but would use 20,000 different models, one for each stock. We use the same risk model for all stocks because we care about portfolio risk.
	Markowitz was Wrong! Jason MacQueen Managing risk is not the same as minimising risk. Risk is defined as the variance of return, to have excess returns you necessarily have to have take on risk. This presentation explores the distinctions between good risk and bad risk, and the impacts on the portfolio construction.
	Are Your Returns Just from Skill? Richard J Young This presentation aims to demonstrate that a major tool for portfolio manager when seeking to improve performance is a Portfolio Management Risk Model. Addressing how this differs from the model used by an institution's risk department, and quantify the sizable improvements in performance that are likely for a manager with skill.
	The Polyphemus Perspective Jason MacQueen Most managers today use multi-factor models, having long ago abandoned the hopelessly naive CAPM model. However single factor models do provide insight. This presentation looks at how single factor models are calculated and their uses.
	Managing Risk to Enhance Return Frances Cowell The aims of risk management for investment managers are to ensure that the risk in the portfolio is aligned with the sources of active return in normal markets over months or years while protecting against extreme losses at reasonable cost. The goal is to enhance active returns for a given level of risk.
	Alpha - The Most Abused Term in Finance Jason MacQueen Delusional Active Management: Almost all active managers claim to add ‘Alpha’ with their investment process. This Alpha is usually attributed to their ‘Stock Selection’ skills. This is nearly always Just Plain Wrong!
	Case Studies in Risk Management Jason MacQueen This presentation describes a number of actual cases where Risk Management has been used to improve the performance of managed funds. It reviews the following cases including Global Emerging Markets exposure contro, Portfolio Risk Management, Managing the risk of a Fund of Funds, Maximising the returns due to a manager’s skill and Efficiently managing the risk of a trading book.
	Frankenstein's Model Richard J Young There are advantages and disadvantages of models built using cross-sectional regressions (like Barra) and time series models. This presentation explores those differences and introduces a bootstrapped approach to combining them into a unified methodology so as to get the advantages of both.
	Pitfalls and Problems in Random Portfolio Generation Richard J. Young The creation of truly random portfolios in n dimensions bounded by p general linear constrains allow the testing and investigation of the investment space without bias. However the creation of such portfolios is both very difficult and very computationally intensive. This presentation looks at some of the problems of random portfolio generation, and methods of simplification that do not destroy the essential usefulness of the pseudo-random portfolios created.
	To Optimise or Not to Optimise? Jason MacQueen This presentation aims to cover the problems with optimisation. Including input senstivity, the tendancy to error-maximise and the fact that optimisation almost always delivers counter-intuitive results and constraints are usually required to produce an acceptable solution. Because of this, many portfolio managers have very little faith in these “quant techniques”.