sf-20040219-fosheim.pdf by Jon Fosheim

Terry Marsh paper published in the Financial Analysts Journal entitled “Flight to Quality and Asset Allocation in a Financial Crisis”.

This method takes the par yield curve for the beginning and ending dates of the period into consideration to find the implied return of synthetic treasury securities. Then via minimization processes we find the movements of the yield curve of the beginning date that best explains the return of those…

It is well known that portfolio return can be decomposed into two parts: one that is perfectly correlated with the benchmark (beta), and another that is uncorrelated (alpha). Separating the two components is critical for distinguishing between stock selection skill (alpha) and market timing (beta)

Quantitative finance relies on a number of assumptions about the behavior of markets. The degree to which these assumptions approximate the reality may or may not lead to accurate analysis and forecasting. The speaker will examine these assumptions in a historical context and discuss how to make them better, or at least less dangerous, when…

Sovereign Correlation Methodology (by Vojislav Sesum, PhD, Moody’s Analytics) The recent financial crisis has led to considerable concerns about the impact of sovereign credit risk on credit portfolios. This talk describes methodology for calculating the asset correlations between various sovereign credit exposures as well as the correlations between sovereign credit exposures and…

There are two information revolutions underway in trading and investing.    Most of the headlines focus on structured quantitative market information at ever higher frequencies. The other technology revolution in trading and investing is driven by qualitative, textual and relationshipinformation.  This is important for people who make their living in finance on scales longer…

Goal-Driven Investing: Assuring a sustainable standard of living in retirement GDI is a very powerful approach for •Helping clients think through their priorities and identify their lifetime goals, which can be summarized in the Household Balance Sheet •Keeping clients focused on what is important, namely achieving their goals efficiently rather…

 Russell’s Investment Division’s observations led to a growing awareness of the importance of stability variables in explaining market behavior and investment manager returns  Adding this third dimension transforms the traditional style box into the style cube  The stability style dimension includes risk factors that are separate from traditional growth/value and cap…

Jose Menchero, MSCI Barra, Global Cross-Sectional Volatility Analysis, 2010 Summary CSV represents the opportunity for active management CSV can be attributed to individual factors Styles, countries, and industries dominate over different periods The relative strength of countries versus industries can be measured by the Diversification Potential (DP) or MAD Countries…