Saturday, July 3, 2010

June 2010 Update

Hi. Its been awhile since I posted to the NZARA blog so I thought it was time to give you a quick update.

The core NZARA group remains intact although more geographically disparate with members partially emigrating their businesses as a result of the growing due diligence pressures. The news has been good overall with those having made the commitment benefiting in increased assets under management. It is clear there are still benefits to having a presence in NZ with operational staff remaining here. We expect this trend to continue.

The Ernst & Young Absolute Return Index (see chart below) is down slightly for the year - essentially treading water in 2010 but we now have close to a 3 year track record - and what a track record it is - annualizing at over 15% through one of the more difficult trading environments of the last few decades. See the Index Performance page at http:/

We have some congratulations to offer one of our individual members, Tony Cooper, an expert quantitative analyst (and principal) with Double Digit Numerics who won first place in the US-based National Association of Active Investment Managers (NAAIM) Wagner Award for Advancements in Active Investment Management. Tony's paper focuses on alpha generation and risk smoothing using volatility of volatility. The paper produces a formula for the optimal leverage of an investment in any given market volatility environment. Tony's success led to being interviewed live on CNBC in the US. Congratulations Tony!