Raising the BAR: New Ways to Measure Risk in Bond Portfolios

July 2018 


Holdings-based analysis may provide more insight than returns-based risk measures like volatility. We introduce two new holdings-based metrics.   


Beating a bond index typically has been achieved through credit and/or duration risk or through security selection.  

  • Bond Active Risk (BAR) measures how often a manager takes extreme credit or duration risk.
  • Credit Active Share (CAS) measures how actively a manager selects individual bonds.   


Barry Gillman authored this article as Research Director of the Brandes Institute Advisory Board.

THREE-DIMENSIONAL ACTIVE SHARE

May 2018


Research that expands Active Share from a single dimension (stock-selection relative to benchmark) to a three-dimensional picture, by adding country and sector selection​.

Defined Contribution Plans: Custom Designs and Their Impact
February 2018


While Target Date Funds (“TDFs”) are popular, there may be better solutions through customizing TDFs and custom white label funds; for wealthier participants, custom SMAs may be especially useful. For these investors, there are potential benefits in being more aggressive in asset allocation between ages 65 and 75, the “power decade,” as this counterintuitive approach may boost wealth accumulation more so than in any other decade of life. 


Barry Gillman authored this article as Research Director of the Brandes Institute Advisory Board.

Defined Contribution Plans: The Way Forward
June 2017


As plan sponsors evolve the DC structure away from its original purpose as a supplementary savings plan to be more effective as a retirement plan, we examine the pros and cons of using a DB investment approach as the default option in a DC plan menu, based on the experience of a pioneering public plan in the United States. We also look at new developments worldwide to include useful information for U.S. plan sponsors on what’s working (and what’s not).


Barry Gillman authored this article as Research Director of the Brandes Institute Advisory Board.

FIXING THE PEER GROUP PROBLEM

June 2017


Peer group comparisons are a key element in asset manager evaluation and selection. But sometimes, available peer groups do not provide a good comparison for a specific fund. Even worse, for some specialized mandates, a relevant peer group may not even exist. In this article, Barry Gillman and co-authors demonstrate a practical approach that an institutional investor can use to simulate an appropriate peer group and thus determine whether a manager is performing well.


The Investors’ Dilemma
May 2016


The investors’ dilemma for institutions is the contrast between their long-term horizon obligations and the regulatory, market and behavioral pressures to think short-term. While the notion of long-term investing may sound compelling, in practice implementation has proved tough. However, some of the world’s largest institutional investors have now begun to coordinate to promote the concept and practice of long-term investing. In this article, we examine recent developments in these initiatives. 


The Investors’ Dilemma


Barry Gillman authored this article as Research Director of the Brandes Institute Advisory Board.

ACTIVE SHARE IS A FUZZY NUMBER

December 2015


Active Share has gained increasing visibility among investment managers, consultants and clients, given that it appears to provide a route to potential outperformance of a benchmark. But as with many things in life, it may not always be as cut and dried as it seems. Some managers may claim a “high Active Share” and infer this is a link to good performance, but the reality is more complex and potentially quite fuzzy!

When Active Share is Not What it Seems

November 2015


Active Share is increasingly used in the investment industry to measure the degree to which a manager makes active decisions. But Active Share is always measured relative to an index. The concentration of that index makes a big difference, so much so that there is no universal answer to whether a specific level of Active Share is high or low. We believe investors need to be aware that when a benchmark is especially concentrated, it is very hard to push Active Share to levels that are generally perceived as high. This research provides a practical framework for investors to evaluate a manager’s Active Share.


As Research Director of the Brandes Institute advisory Board, Barry Gillman co-authored this research, published by the Brandes Institute and SEB Investment Management​.