How do allocators use Goose?

January 2, 2017
By
G Team
,

This article describes the major use cases of the Goose framework and technology platform.

Goose helps institutional investors actively manage their book of active managers and strategies based on scientific performance prediction. Our engagements take on different forms depending on the investor’s objectives and institutional structure, but most can be summarized by a handful of use cases:

·       Predict future performance of prospective managers

·       Monitor and predict future performance of existing managers

·       Increase managers’ awareness of their skill profile

·       Predict future performance of prospective systematic strategies

·       Monitor and predict future performance of existing systematic strategies

Predict future performance of prospective managers

For allocators, sourcing and evaluating prospective managers, internal or external, is one of the most important but also disparate and time consuming tasks. Goose provides streamlined analysis of new managers and delivers objective and rigorous insights regarding value-add, skill vs. luck, and predictions on future persistence in a consistent framework from one manager to the next.

Monitor and predict future performance of existing managers

Most allocators with significant capital to deploy must evaluate the performance of a large number of external and/or internal managers on an ongoing basis to ascertain if any adjustments are warranted, which is a daunting dynamic prediction exercise. Once a manager is set up in the platform, Goose keeps track of the relevant context for each and systematically updates the predictive analysis to reflect recent performance for all managers in the book to guide upsizing and redemption decisions.

Increase managers’ awareness of their skill profile

Allocators are at times able to influence a manager’s investment behavior through informal feedback or a formal change of mandate. Goose provides allocators with an up-to-date profile of the strengths and weaknesses of every manager to facilitate data-driven discussions about amplifying strengths and muting weaknesses to increase future value-add.

Predict future performance of prospective systematic strategies

Allocators that invest directly in systematic strategies, including “smart beta” or “risk premia” strategies, are faced with the omnipresent risk that a strategy is overfitted and will not perform as claimed going forward. Goose provides a powerful test of backtest overfitting that is immune to manipulation and yields statistically significant conclusions in as few as three months of live performance.

Monitor and predict future performance of existing systematic strategies

Some allocators with significant capital to deploy have a large book of internal and/or external systematic strategies with disparate objectives and must ascertain on an ongoing basis if any adjustments are warranted, which is a daunting dynamic prediction exercise. Once a strategy is set up in the platform, Goose keeps track of the relevant context for each and systematically updates the predictive analysis to reflect recent performance for all strategies in the book to guide upsizing and redemption decisions.