Rolf Banz on investment
A personal perspective on investment issues
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UBS on active management: myth busters?

By Rolf on 1 November 2017

It has again been a very long time since my last post. Sorry again. But I have now decided that it might be fun to get involved in the ongoing discussion over the merits of active management, particularly since so much of it is self-serving nonsense — incidentally on both sides. UBS has now weighed […]

Posted in Active/passive management, Essays | Tagged Alpha, Market efficiency, Small caps | 4 Responses

How to ensure poor performance

By Rolf on 10 November 2015

This “case study” is taken from a piece that I wrote for a client who found it too negative. It describes the way that many “active” equity portfolios are managed. It may seem like a caricature to some, unfortunately it is not. Thus, it is not surprising that so many fail to perform. Consider a […]

Posted in Active/passive management, Comments/ramblings | Tagged Alpha, Performance

Inequities in equities?

By Rolf on 12 February 2015

I have written about certain idiosyncrasies of Swiss capital market regulations before. Most Swiss corporations started as family firms and, for a long time, outside shareholders were considered a mere nuisance and treated accordingly. Some remnants of that attitude remain. While there is now a reasonably modern set of rules governing listed firms, there are […]

Posted in Comments/ramblings | Tagged Beliefs, Switzerland

On Piketty

By Rolf on 15 January 2015

I admit that I did not finish Piketty’s Capital in the 21st Century. If you did and liked it, you may want to stop here. I did get a bit further than the typical reader who, according to reports based on annotations on the Kindle version, made it to about page 26. I found it […]

Posted in Comments/ramblings | Tagged Empirical research, Philosophy, Statistics

James Montier – the World’s Dumbest Idea

By Rolf on 11 December 2014

I am a fan of James Montier. I find his insights into behavioural finance very interesting and mostly rather entertaining. Some of his essays, such as the one on Abu Ghraib and the Milgram experiment, are memorable if depressing. He has his obvious prejudices and his bĂȘtes noires (Milton Friedman, the CAPM, efficient markets – […]

Posted in Comments/ramblings | Tagged Asset pricing, Beliefs

The best of the best?

By Rolf on 8 October 2014

A few years ago, the Alaska Permanent Fund (APF) – Alaska’s sovereign wealth fund with assets of USD 50+ bn (website) – introduced an interesting element into their portfolio. After an exhaustive search, they appointed five asset management firms as external CIOs. They gave each about USD 500 million in a largely unconstrained mandate (the […]

Posted in Comments/ramblings | Tagged Manager selection, Pension funds, Performance | 1 Response

The Economist and CalPERS

By Rolf on 23 September 2014

After a series of posts that were rather critical of the media, it seems only fair to praise an article that makes its points succinctly. This week’s Buttonwood column in the Economist discusses hedge funds and pension deficits in the context of the decision of CalPERS to abandon hedge fund investment. It makes for rather […]

Posted in Comments/ramblings | Tagged Hedge funds, Pension funds

Bill Sharpe’s dim views on smart beta

By Rolf on 25 May 2014

Advisor Perspectives has run a story under the title Bill Sharpe: "Smart beta makes me sick". Since smart beta looks like it is going to be around for a while, Bill is likely to keep suffering for some time – if the story quotes his views correctly. But what seems to be causing Bill Sharpe […]

Posted in Comments/ramblings | Tagged CAPM, Smart beta

Did The Economist miss the point?

By Rolf on 13 May 2014

Ten days ago, a teaser on the cover of The Economist proclaimed the “Death of the fund manager”. Inside, there was a leader – which is what The Economist calls its editorials – and a lengthy article. Given the tone of the teaser, the content is hardly surprising. It berates financial intermediaries for their greed […]

Posted in Active/passive management, Investment strategy | Tagged Asset allocation, Manager selection | 1 Response

The performance of asset managers

By Rolf on 25 April 2014

I have made only one specific investment recommendation on this weblog so far and it has turned out to be rather poor advice, at least in the short term. I questioned the wisdom of investing in the Carlyle IPO almost two years ago. But Carlyle has comfortably outperformed both the market and its sector since […]

Posted in Comments/ramblings | Tagged Empirical research, Manager selection, Performance, Statistics | 2 Responses

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About this weblog and its author

Rolf Banz spent his career in the investment industry in the US, the UK and, most recently, in Switzerland. To older people, he is known as the "father of the small firm effect". This weblog consists of a series of essays and shorter pieces on a range of issues at the intersection of institutional investment and investment theory. Please see this post for a description of the objectives of the weblog and the About page for further information on the author and the site.

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