Martingale Asset Management Lp in 2008, 130/30 Funds, and a Low Volatility Strategy

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Case

Reference no. 9-209-047

Subject category: Finance, Accounting and Control

Authors: Luis M Viceira (Harvard Business School); Helen H Tung (Harvard Business School)

Published by: Harvard Business Publishing

Originally published in: 2008

Version: 18 June 2012

Length: 22 pages

Data source: Field research

Topics: Capital markets; Investment management; Mutual funds; Stocks; Hedge funds; Asset management; Financial markets

Share a link: https://casecent.re/p/83981

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Abstract

In early July of 2008, William (Bill) Jacques, Chief Investment Officer at Martingale Asset Management, a quantitative value-oriented investment manager in Boston, Massachusetts, was busy preparing for an upcoming meeting with the group that made new product decisions within the firm. The objective of the meeting was to review the backtesting and real-time investment results of a new minimum-variance strategy within the framework of a 130/30 fund. The performance results were very encouraging, but Bill still wondered if they were a fluke of the data, a result of data mining rather than the reflection of a true market anomaly. He wanted to discuss several possible explanations of the phenomenon, and to decide whether Martingale should offer the strategy to its clients.

Location:

United States

Industries:

Mutual funds; Asset management; Hedge funds

Other setting(s):

2008