Bull & Bear Masters
Excellence in Risk Management Amid Market Swings
By PSN Product Manager, Nick Williams
Bull & Bear Masters is one of the most interesting PSN Top Gun award categories. The reward is highly focused on risk management and outperformance of the assigned style benchmark, while maintaining correlation to the market benchmark. This is an important distinction. It is common for managers to gain alpha by pursuing adjacent asset classes that are performing better in given markets while the capture ratios require strategies to gain more in good markets while losing less in down markets. This hurdle has proven extremely challenging in recent quarters as market volatility over the past 3 years has generated some powerful swings that few managers were able to avoid.
The result of these conditions were universes that had fewer than 10 managers able to generate the required Down Captures - less than 100 achieved by outperforming the benchmark when the benchmark is down. While all the PSN Top Guns awards highlight the best managers using stringent quantitative measurements, we thought we would highlight the universes where only a very few managers were able to meet our requirements.
To win a Bull & Bear Masters, a manager must meet all of the criteria below and be ranked in the top 10 based on the ratio of Up Capture divided by Down Capture.
Be Gips compliant
Have an R-squared of .8 to its style benchmark for 3 years
An Upside capture greater than 100 for the last 3 years. Upside capture measures the return of a manager divided by the return of the benchmark during periods when the benchmark return was positive.
A Downside capture less than 100 for the last 3 years. Downside capture measures the return of a manager divided by the return of the benchmark during periods when the benchmark return was negative.
Strategies are ranked based on their ratio of upside to downside capture
View Winners by Clicking the Image Below.
