Case ID: 209047
Solution ID: 4290

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


Noisy . This summer time of 2008, William (Bill) Jacques, Chief Investment Officer at Martingale Asset Management, a quantitative value-oriented investment manager in Boston, Massachusetts, was busy planning with an approaching winding up within the audience that made awesome product options within the firm. The aim of the meeting wound up being to judge the back testing and real-time investment final results of the completely new minimum-variance strategy within the framework from the 130/30 fund. The performance outcome was very encouraging, but Bill still wondered once they were a fluke in the data, due to data mining instead of the reflection from the true market anomaly. He preferred to go over several possible explanations in the phenomenon, also to decide whether Martingale ought to provide the strategy towards the clients.

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