Brian Kozeliski

Relative and absolute performance are of utmost concern for active managers and investors alike. However, many active managers struggle to outperform their benchmarks. In this session, Brian Kozeliski shows that even successful managers can unknowingly expose their portfolios to factors that are consistently detracting from performance, and that this detraction persists after identification. Mitigating the effects of these unintentional exposures significantly improves out-of-sample performance of otherwise successful strategies. The analysis serves as a road map for improving future performance through enhanced portfolio construction. It also helps to eliminate behavioral mistakes in manager selection, and thus the analysis is a superior method for identifying future outperforming managers. This work has ramifications for managers/portfolios looking to improve performance and wealth managers (and others) attempting to identify superior external managers.