About this event

Understanding why an equity strategy outperforms or underperforms goes beyond simply observing historical returns. Investors need a deeper, risk-aware perspective to determine whether past performance is likely to persist, if strategic adjustments are required, and whether unintended risks are influencing outcomes.

Our latest case study, “Risk-Aware Performance Analysis of Equity Portfolios,” provides a data-driven framework to address these questions using our Scientific Portfolio platform. We conduct a comparative analysis of:

• A rules-based passively managed strategy that deviates from the cap-weighted benchmark –we assess whether performance is primarily driven by systematic risk factors and which of those risks (if any) have been rewarded.
• An actively managed (discretionary) fund –we attempt to differentiate between skill and luck, quantifying specific risk and examining the stability of potential alpha.

Key Insights for Investors:

• How a factor-based risk model separates systematic vs. specific performance drivers.
• Techniques to detect and monitor unintended risks.
• Evaluating skill vs. luck in actively managed funds.
• Leveraging out-of-sample simulations to assess performance stability and potential outliers.