Webinar Masterclass: The fundamental law of mismanagement (Fully Booked)
Thu 28 Apr 16 at Webinar,

Please note that this event will be simultaneously run as an event that you can attend, in person, within the City of London AND as a webinar that you can access from your desk. Please use this page to book on to the webinar or click here to book to attend the event in person.

Active managers often claim superior risk-adjusted performance because they invest in many securities, use many factors to forecast return, trade frequently and optimise without constraints. Many long-short, hedge, and unconstrained strategies are based on these four principles of portfolio design.


Such claims are due to applications of Grinold’s (1989) Fundamental Law of Active Management, by Grinold and Kahn (1995, 1999) and Clarke, deSilva, and Thorley (2002, 2006). In particular, Grinold and Kahn state:  “It takes a modest amount of skill to win (the investment game) as long as that skill is deployed frequently and across a large number of stocks.”

At this event, Richard will show that the Grinold formula treats asset management as a casino game that ignores estimation error and the role of constraints essential for properly defining portfolio optimality in practice. He will show, with simple examples, why the four principles fail, followed by a rigorous simulation proof to confirm that all four fund fundamental law characteristics are essentially invalid and self-defeating. These flawed principles have been taught in academic and professional journals and promoted in conferences for 20 years and likely adversely impact many hundreds of billions of dollars or more in contemporary investment practice.

Please use this page to book on to the webinar. We will send you the link to access the webinar closer to the time.
Speakers
Richard Michaud
President and Chief Executive Officer, New Frontier


Dr. Richard Michaud's research and consulting has focused on asset allocation, investment strategies, global investment management, optimisation, stock valuation, and trading costs. He earned a PhD in Mathematics from Boston University and has taught investment management at Columbia University. He is the author ofEfficient Asset Management: A Practical Guide to Stock Portfolio Optimisation and Asset Allocation(Harvard University Press, 1998 and Oxford University Press, 2008) and many refereed academic and professional articles.

Richard is the co-holder of four US patents in portfolio optimisation and asset management. He is a Graham and Dodd Scroll winner for his work on optimisation, an advisory board member of theJournal Of Investment Management, and a former editorial board member of theFinancial Analysts Journaland theJournal Of Investment Management.

When and where?

Date
Thursday 28 April 16

Time
Registration: 12:55
Event: 13:00 - 14:00

Location
Webinar, ,
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Nearest tube station
n/a
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Price
Member - £0
Non-member - £50
CPD

This is eligible for 1 CPD hour