Uncovering the Dynamics of Carmignac Patrimoine

Tools and techniques to identify long term style and short term exposures of a complex investment strategy

Abstract

The largest mutual fund in Europe, Carmignac Patrimoine, has generated impressive relative returns in the recent financial market downturn over 2007-2009 and has over twenty-one years of consistently steady risk-adjusted performance―especially in down markets. This case study provides insight into the manager’s return behavior and risk characteristics by applying return-based style analysis (RBSA) using MPI’s proprietary Dynamic Style Analysis (DSA) technique. Specifically, the analysis reveals how quantitative analysis and sophisticated returns-based analysis techniques can be used to better understand fund behavior, anticipate performance, and improve the overall selection and due diligence process when analyzing investment funds.