Uncovering the Dynamics of Carmignac Patrimoine

Tools and techniques to identify long term style and short term exposures of a complex investment strategy Abstract The largest mutual fund in Europe, Carmignac Patrimoine, has generated impressive relative returns in the recent financial market downturn over 2007-2009 and has over twenty-one years of consistently steady risk-adjusted performance―especially in down markets. This case study […]

December 01, 2010

Tools and techniques to identify long term style and short term exposures of a complex investment strategy

Abstract

The largest mutual fund in Europe, Carmignac Patrimoine, has generated impressive relative returns in the recent financial market downturn over 2007-2009 and has over twenty-one years of consistently steady risk-adjusted performance―especially in down markets. This case study provides insight into the manager’s return behavior and risk characteristics by applying return-based style analysis (RBSA) using MPI’s proprietary Dynamic Style Analysis (DSA) technique. Specifically, the analysis reveals how quantitative analysis and sophisticated returns-based analysis techniques can be used to better understand fund behavior, anticipate performance, and improve the overall selection and due diligence process when analyzing investment funds.

Read the full article

Sign in or register to get full access to all MPI research, comment on posts and read other community member commentary.