Case ID: 209047
Solution ID: 4290

Martingale Asset Management LP in 2008 130 30 Funds and a Low Volatility Strategy Case Solution

Case Solution

At the beginning of This summer of 2008, William (Bill) Jacques, Chief Investment Officer at Martingale Asset Management, a quantitative value-oriented investment manager in Boston, Massachusetts, was busy planning to have an approaching ending up in the audience that made cool product choices inside the firm. The goal of the meeting ended up being to evaluate the back testing and real-time investment outcomes of a brand new minimum-variance strategy inside the framework of the 130/30 fund. The performance outcome was very encouraging, but Bill still wondered when they were a fluke from the data, a direct result data mining as opposed to the reflection of the true market anomaly. He desired to discuss several possible explanations from the phenomenon, and also to decide whether Martingale should provide the strategy to the clients.

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