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  • August 2008 (Revised June 2012)
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Martingale Asset Management LP in 2008, 130/30 Funds, and a Low-Volatility Strategy

By: Luis M. Viceira and Helen Tung
  • Format:Print
  • | Language:English
  • | Pages:22
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Abstract

In early July of 2008, William (Bill) Jacques, Chief Investment Officer at Martingale Asset Management, a quantitative value-oriented investment manager in Boston, Massachusetts, was busy preparing for an upcoming meeting with the group that made new product decisions within the firm. The objective of the meeting was to review the backtesting and real-time investment results of a new minimum-variance strategy within the framework of a 130/30 fund. The performance results were very encouraging, but Bill still wondered if they were a fluke of the data, a result of data mining rather than the reflection of a true market anomaly. He wanted to discuss several possible explanations of the phenomenon and to decide whether Martingale should offer the strategy to its clients.

Keywords

Volatility; Asset Management; Stocks; Financial Strategy; Investment Funds; Product Development

Citation

Viceira, Luis M., and Helen Tung. "Martingale Asset Management LP in 2008, 130/30 Funds, and a Low-Volatility Strategy." Harvard Business School Case 209-047, August 2008. (Revised June 2012.)
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About The Author

Luis M. Viceira

Finance
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