Managing Beta to Improve Alpha

Keller Partners LLC


Tuesday, June 9, 2009
12:00 – 1:30 pm

What value is relative performance in times of extreme market declines? We have all participated in such discussions recently.
The uncomfortably large elephant in the room today is that investment portfolio returns actually have very little to do with the skill of the investment manager, but have everything to do with the trend of the relevant financial markets.

Keller Partners uses a trend-identification model whose output controls a dynamic hedge of beta that is implemented with swaps or inverse ETFs. Since "beta" influence is much more volatile and (largely) unpredictable: e.g., +10.2%, +22.7%, -3.4%, -33.5%, the yearly fluctuation of the market environment (beta) regularly overwhelms the contribution of the manager's alpha (if, indeed, there is any). By identifying intermediate, statistically demonstrable trends in financial markets, the firm constructs quantitative, rules-based, models designed to keep the hedging decision on the right side of an intermediate trend perhaps 60%-65% of the time. The results have placed Keller Partners in the top 5% of active managers in 2008.
WERNER E. KELLER, CFA is President of Keller Partners LLC, a research firm that develops mathematical models which analyze the trends of the securities markets. Werner began his Wall Street career over 40 years ago as an analyst with Standard & Poor’s. He subsequently held the position of Director of Research at three NYSE member firms, the last of which was Bateman Eichler, Hill Richards in Los Angeles from 1984 to 1991. In 1991, he founded Centurion Capital Management in Los Angeles, which grew to manage over $2 billion of client assets. In 2001, Centurion was acquired by General Electric Capital (now Genworth).
Werner is a student of the historical trends in finance and has always been drawn to the quantitative / technical aspects of the securities markets. He has taught courses in portfolio management and investment analysis at UCLA Extension, published several
academic articles on quantitative investment topics, and has appeared on CNN, CNBC, as well as all of the LA– based television stations. He holds a Masters of Arts degree from Northwestern University, and was awarded a CFA charter in 1978. He currently serves as an independent trustee for the more than 150 mutual funds within the Rydex Investments fund complex.
Members: $20.00
Non-Members: $50.00
Location: Omni Hotel Downtown Los Angeles
251 S. Olive Street
Parking: Hotel Valet $12
Payment Information:
Methods of payment accepted: Visa/Mastercard, American Express and Discover. If you prefer to pay by check please register online and select "purchase order" as your payment option and enter your last name as the purchase order number. Mail check to: CFA Society of Los Angeles, 350 S. Grand Ave, Suite 1680, Los Angeles CA 90071.
Credit card payments will not  be accepted, nor should be given, by phone or email.
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