Press Release – Bellmont Partners with Capital Markets Cooperative Research Centre (CMCRC)
posted on May 12th, 2014 by David
The board of directors are delighted to announce that our maiden research partnership with the CMCRC has successfully concluded. In addition to two honours theses, the research partnership resulted in a number of key findings which have been incorporated into our investment process and implemented in our Buy-Write portfolio.
Background & Objectives
CMCRC is Australia’s leading financial markets research hub. In early 2013 Bellmont Securities signed an industry partnership with the CMCRC. The partnership involved a working group of honours students, PhDs and University professors to build upon the existing research in the areas of buy-write strategies and quant based stock selection. The primary objective of the research projects was the identification and implementation of enhancements to our existing portfolios, allowing us to generate even greater returns for our investors.
The Buy-Write research focused on the dynamic management of the call option, to see whether it was possible to further improve the risk and return profile beyond that of a passive / basic implementation of the strategy – it was… We also examined alternatives regarding the re-balancing frequency to determine the optimal time period over which to write the options. Finally, we explored the resulting returns not only on the basis of standard performance and risk measures, but also using measures that take into account the inherent non-normality of returns from a Buy-Write strategy.
The quant based stock selection research examined the formation of a stock portfolio built exclusively using financial ratio data. This research builds on a number of important papers and confirms the existence of pricing anomalies which are exploitable on the Australian market. Whist the findings were not directly applicable to our Buy-Write portfolio they helped inspire the creation of the Bellmont Core Equities portfolio and have deepened our knowledge in this area.
Both areas of research were conducted in the Australian context using real data.
Special thanks to Martin Hauptfleisch, Dong Yeop Kim, Professor David Michayluk, Dr Kristoffer Glover, Dr Matthew Clifton and the Capital Markets Co-operative Research Centre for their assistance with our research.
The Capital Markets Cooperative Research Centre (CMCRC) brings together the best in innovative research and technology to the capital markets domain.
Since 2001, it provides a bridge between the practical needs of capital markets and pioneering academic research. The CMCRC was formed under the auspices of the Federal Department of Education Science and Technology CRC program (now run by Department of Industry).
It has been successful in attracting key industry and research participants as partners in the program to foster research that is both leading edge and industry relevant. A measure of its success was that its government and industry funding was doubled to $100m over 7 years in a second round of funding in 2007.
Today’s CMCRC harnesses the combined resources of approximately 40 senior researchers from the fields of finance, accounting, engineering, computer science and information systems. A similar quantum of human resources is provided by industry partners who also assist in guiding research to problems and issues that will make a significant difference in the future operations of global capital markets.
Primary Contact: David Montuoro
Telephone + 61 2 8093 6106
Secondary Contact: Peter Bell
Telephone + 61 2 8093 6101
Address: Bellmont Securities Level 2, 261 George St Sydney NSW 2000 Australia
The Capital Markets Cooperative Research Centre