Case 3: Martingale Asset

Suggested Questions to Case 3: Martingale Asset

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Questions

1. What is Martingale’s investment philosophy? What is their view on market efficiency?

2. How does Martingale select stocks? What signals are incorporated?

3. What are short extension funds? How does Martingale use them? Are they costly to implement?

4. What is the risk anomaly in Equities? What are the implications for market efficiency?

5. Describe typical performance characteristics of minimum variance portfolios. How do they compare to the benchmark portfolios?

6. What is a back-test? How do asset managers use them? What is datamining?