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Tailoring Manager Allocation to Market Conditions Using Alpha Optimization: Part 2
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Tailoring Manager Allocation to Market Conditions Using Alpha Optimization: Part 2
AW2010111526
Authors: Eric A Stubbs, Ph.D., RBC Wealth Management and Enrique Jaen, Ph.D., RBC Wealth Management
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In Part 2, we extend our analysis further to solve a practical problem in manager allocation, which is how to make optimal use of new information on manager performance and market outcomes to reallocate to investment managers. We show that the specific performance outcome of a group of managers can be separated into (1) manager performance, (2) allocation performance, and (3) environmental expectations.
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