|
RESEARCH
Read Northfield research publications, featured newsletter articles and past client conference presentations. Our research team is led by Northfield President Dan diBartolomeo and is dedicated to advancing the most suitable analytical methodologies for best practice in the investment management industry. BROWSE NORTHFIELD PAPERS
 Northfield Research PublicationsEssays and CommentariesBooks, Book Chapters and Journal PublicationsNewsletter ArchivesClient Conference Proceedings ArchivesNORTHFIELD RESEARCH PUBLICATIONS
 Strategy Risk and the Central Paradox of Active Management 
Strategy Risk and the Central Paradox of Active Management
June 1, 2010Dan diBartolomeo
Within asset management, the risk of benchmark relative performance is typically expressed by measures such as tracking error, which describes the expectation of times-series standard deviation of benchmark relative returns. This is clearly useful measure for index fund management, where the expectation of the mean for benchmark relative return is fixed at zero. The active management case is problematic, as tracking error excludes the potential for the realized future mean of active returns to be other than the expected value. All active managers must believe their future returns will be above benchmark (or peer group average) in order to rationally pursue active management, yet it is axiomatically true that roughly half of active managers must produce below average results. Following the convention of Qian and Hua (2004), we refer to this additional portfolio risk as strategy risk. In this paper, we will first describe our two approaches to estimating the magnitude of strategy risk across asset classes and manager styles, and incorporating this information into portfolio risk assessments.
Keywords: performance, active management, strategy risk
Download Document 
Comments on the Efficacy of Sign Constraints in Portfolio Construction
Comments on the Efficacy of Sign Constraints in Portfolio Construction
January 8, 2010Dan diBartolomeo
In active management, one of the pragmatic issues of portfolio construction is whether it is commonly appropriate to overweight securities that are expected to underperform benchmark indices, or to underweight securities that are expected to outperform benchmark indices in order to improve the diversification of portfolios. After more than twenty years of observations across thousands of portfolios, we assert that sign constraints on portfolio construction are at worst benign, and often helpful. This assertion is based on a series of arguments, both theoretical and practitioner-oriented.
Keywords: sign constraints, hedging
Download Document
Equity portfolio risk (volatility) estimation using market information and sentiment
Equity portfolio risk (volatility) estimation using market information and sentiment
December 9, 2008Dan diBartolomeo, Leela Mitra, Gautam Mitra
Multifactor models are often used as a tool to describe equity portfolio risk. Naturally, risk is dependent on the market environment and investor sentiment. Traditional factor models fail to update quickly as market conditions change. It is desirable that the risk model updates to incorporate new information as it becomes available and for this reason diBartolomeo & Warrick introduce a factor model that uses option implied volatility to improve risk estimates as the market sentiment and environment changes.
Keywords: equity portfolio risk, risk forecasting, market sentiment
Download Document
Market Impact and Optimal Equity Trade Scheduling
Market Impact and Optimal Equity Trade Scheduling
October 2, 2007Dan diBartolomeo
Implementing a change in strategy for a large equity portfolio could involve not one, but potentially hundreds of concurrent large trades. Our goal is minimize the implementation shortfall as defined in Perold(1988). What is the difference in portfolio wealth between what we actually achieved, and what we could have achieved, if we could trade securities instantaneously at no cost?
Keywords: mean variance, market impact
Download Document
Applications of Portfolio Variety
Applications of Portfolio Variety
January 25, 2007Dan diBartolomeo
Investment managers spend large amounts of time and money to assess the potential volatility of their portfolios, as measured by the time series variation in returns. However, the asset management mandates of most institutional investors focus on returns relative to some benchmark index. In this context, the cross-sectional dispersion, or variety, of returns within a set of permissible securities is the predominant influence on the range of potential outcomes for active management, and hence the risk of underperforming the benchmark. In this paper, a review is done on a number of investment applications of variety including estimating the correlations of assets, risk management and performance analysis. In addition, we will also show that common equity management strategies can be characterized as active bets on the variety of returns.
Keywords: portfolio volatility, time series variation in the returns, cross sectional dispersion
Download Document
A New Approach to Real Estate Risk
A New Approach to Real Estate Risk
October 1, 2005Dan diBartolomeo, Richard Gold, Emilian Belev & Ken Baldwin
Traditionally relegated to the back of the bus by institutional investors, private equity real estate has recently been afforded larger allocations in recent years on the brute strength of its performance, rather than any theoretical justification arising out of new methodology or data. While real estate is a known diversifier, the true extent to which it increases a portfolio''s risk adjusted return is difficult to quantify. The purpose of this paper is to present a model that bridges the methodology divide between real estate risk assessment methods, and those used in securities markets. Using this approach, it is possible to assess the risk of specific properties and measure the expected contribution of such properties to the enterprise-wide risk of typical institutional portfolios.
Keywords: real estate risk, Property Risk, REIT
Download Document
Growth/Value/Momentum Returns as a Function of the Cross-sectional Dispersion of Stock Returns
Growth/Value/Momentum Returns as a Function of the Cross-sectional Dispersion of Stock Returns
January 14, 2003Dan diBartolomeo
Momentum strategies are based on the idea of buying securities ""on the way up"" and selling during declines. This is in some ways parallel to the concept of Constant Proportion Portfolio Insurance, a strategy that was conceived as a way to replicate a put option. To the extent that any long position in an option is a ""long volatility"" strategy, we can equate momentum strategies as being inherently long volatility, while value approaches rely on market convergences that are inherently short volatility. We will present empirical data on the UK and European markets in this regard, as well as review complimentary external research on the relative effectiveness of growth and value strategies within and across sector bounds.
Keywords: volatility metrics, management style
Download Document
Total Plan Risk: Integrating Assets into a Consistent Risk Framework
Total Plan Risk: Integrating Assets into a Consistent Risk Framework
November 1, 2002Dan diBartolomeo
Do We Want to Measure Risk or Manage It? - Measuring risk is an exercise in forecasting - Managing risk requires decision making - Managing risk well requires rational decision making based on an understanding of utility theory
Keywords: asset classes, risk aversion
Download Document
Portfolio Theory, Speculation, and the PRC Stock Market
Portfolio Theory, Speculation, and the PRC Stock Market
October 1, 2002Dan diBartolomeo
Active managers measure risk relative to benchmark indices. Indices are presumed to be mean-variance efficient. But if the index is efficient, active management cant work. If active management works, the index cannot be efficient. Tracking error is an inadmissible estimator of risk for active managers
Keywords: VaR (Value at Risk), confidence interval
Download Document
Measuring and Controlling Your Investment Risk
Measuring and Controlling Your Investment Risk
September 1, 2002Dan diBartolomeo
It is possible to reduce the tracking error of a socially screened portfolio to the level of an enhanced index fund (2% or so) using portfolio optimization. Portfolio optimization does a good job at predicting the realized tracking error over the next year, assuming the portfolio is periodically rebalanced.
Keywords: tracking error, socially screened portfolios
Download Document
Estimating Nonlinear Effects of Management Styles in the US Equity Market
Estimating Nonlinear Effects of Management Styles in the US Equity Market
October 8, 2001Sandy Warrick
The vast majority of asset pricing models assume linear relationships between security returns and underlying factors. Among investment practitioners, models of both risk and return derived from such asset pricing models continue the assumption of linear relationships. In this paper, we report on an investment style scoring model of the US equity market that has been in practitioner use for over ten years. Returns associated with the style scores, their squares and interaction terms are investigated using both deciles analysis and via a monthly cross-sectional regression. The style scores are shown to have a high degree of statistical significance in the cross-section of US stock returns from April of 1991 to March of 2001. Identifiable time series properties are found for the coefficients describing the linear relationships to the style scores. Contrary to traditional models, return relationships are also shown for some of the second order and interaction effects for a large fraction of the cross-sections. These relationships appear to be both statistically and economically significant. We conclude from this information that practitioners ought pay substantial attention to second order and interaction effects arising from active management bets. There is also evidence that second order and interaction effects have a meaningful role in asset pricing.
Keywords: asset pricing model, style score
Download Document
Approximating the Confidence Intervals for Sharpe Style Weights
Approximating the Confidence Intervals for Sharpe Style Weights
July 13, 2000Dan diBartolomeo, Angelo Lobosco
Style analysis is a form of constrained regression that uses a weighted combination of market indices to replicate, as closely as possible, the historical return pattern of an investment portfolio. The resulting coefficients, called Sharpe style weights, are used to form inferences about a portfolio''s behavior and composition. This technique has been widely adopted in the investment industry, despite the fact that no explicit confidence interval measures have been available to describe the results. In this paper, diBartolomeo and Lobosco derive an approximation for the confidence intervals of these weights and, using Monte Carlo simulation, verify its efficacy. The estimation of these confidence intervals can help practitioners assess the statistical significance of their results and aids in determining which indices to include in the analysis. It may also encourage the use of daily return data to meaningfully reduce the size of the confidence intervals.
Keywords: style analysis, Sharpe style weights
Download Document
The Enhanced Index Fund as an Alternative to Indexed Equity Management
The Enhanced Index Fund as an Alternative to Indexed Equity Management
May 20, 2000Dan diBartolomeo
This paper examines the properties of enhanced index funds as an alternative to index funds and as an alternative to combinations of index funds and active management. Enhanced index funds are more likely to be mean-variance efficient than passive funds invested in specified market indices. Investing in enhanced funds is found to be more efficient than equally risky combinations of index funds and active management. As compared to combination strategies, enhanced index funds reduce transaction costs, reduce capitalization biases, and provide better utilization of manager forecasting skill. In addition, enhanced index strategies lower estimation risks, allowing for more precise allocations of capital across asset classes and managers.
Keywords: enhanced index fund, index fund
Download Document
Recent Advances in Management of Taxable Portfolios
Recent Advances in Management of Taxable Portfolios
May 15, 2000Dan diBartolomeo
Taxable portfolios represent a special challenge to the investment manager. To active managers, the imposition of capital gains taxes makes many strategies that they believe will be profitable on a pre-tax basis into certain losers on an after-tax basis. Both active and passive managers must deal with the imposition of capital gains taxes when portfolio positions are liquidated to meet cash withdrawal requirements. Due to the additional complications associated with taxes, managers of taxable accounts have been largely unable to achieve the decreases in labor intensity associated with quantitative strategies and automated portfolio rebalancing, both of which are very common in the pension fund arena.
Keywords: tax optimization, managing taxable equity accounts
Download Document
A View of Tobacco Divestiture by CalSTRS
A View of Tobacco Divestiture by CalSTRS
April 5, 2000Dan diBartolomeo
This study reviews the investment implications of the divestiture of tobacco stocks by the California State Teachers Retirement System. The findings of the study are that there is no compelling investment reason to divest tobacco stocks. However, there is no compelling reason to believe that the divestiture of tobacco stocks would have any negative impact on the future investment performance of CalSTRS.
Keywords: tobacco divestiture, CalSTRS
Download Document
Recent Time Variation in the Level of US Equity Security Risk
Recent Time Variation in the Level of US Equity Security Risk
March 22, 2000Dan diBartolomeo
Equity markets in the US have recently exhibited unprecedented levels in the cross-sectional dispersion of stock returns. We will examine this empirical phenomenon and its effect on the predicted volatility levels of portfolios of equity securities. The impact of related changes in predicted volatility levels are discussed in the context of investment management industry procedural conventions.
Keywords: cross-sectional dispersion of stock returns, predicted volatility levels of equity portfolios
Download Document
An Empirical Investigation of the Performance of Small Capitalization and Mid-Capitalization Equity Strategies
An Empirical Investigation of the Performance of Small Capitalization and Mid-Capitalization Equity Strategies
October 31, 1999Dan diBartolomeo
This paper reviews the historical performance of US equities classified into small capitalization and mid-capitalization categories. Returns are reviewed using two widely published sets of market indices. In addition, a detailed security level simulation is performed over an eleven-year period. Results are mixed: using one set of index data gives an economic (but borderline statistically significant) advantage to mid-cap investing while the other index shows no difference at all. Using an elaborate attribution model, the simulation tests suggest no overall difference in returns.
Keywords: small-cap equity strategy, mid-cap equity strategy, performance measurement
Download Document
Getting an Early Jump on Market Anomalies: Lessons from the Internet Stock Phenomenon
Getting an Early Jump on Market Anomalies: Lessons from the Internet Stock Phenomenon
October 25, 1999Dan diBartolomeo
As measured by published indices, internet stocks have produced an unprecedented performance in recent years. Cumulative returns exceeding 1000% in less than two years are reported. Numerous investment firms that chose not to invest in Internet stocks have badly trailed their peers in performance. This study endeavors to measure the extent of this anomaly and the risk of owning (or not owning) Internet stocks. Computing return variances around conditional means rather than sample means is explored as a method of obtaining an early warning as to the unprecedented events that unfolded.
Keywords: the risk of owning or not owning internet stocks, market anomalies
Download Document
Managing Risk Exposures of Socially Screened Portfolios
Managing Risk Exposures of Socially Screened Portfolios
September 9, 1999Dan diBartolomeo, Lloyd Kurtz
Equity portfolios whose selection of securities are subject to social responsibility screening represent different sets of economic opportunities from, and hence generally produce different returns from, those of more broadly based market indices. In this paper, we use two separate multi-factor models to demonstrate that these differences in return probably do not arise from the socially responsible behavior of the included companies, but rather from economic and sector exposures that are the implicit result of social screening of portfolio securities. It also demonstrates that the usage of such multi-factor models can reduce the differences in mean monthly return between screened and unscreened index portfolios to a minimal level, while also meaningfully reducing the differences in month to month performance.
Keywords: socially responsible investing, SRI, multi-factor equity risk model
Download Document
Suitability and Optimality in the Asset Allocation Process
Suitability and Optimality in the Asset Allocation Process
September 1, 1999Paul Bolster, Sandy Warrick
Suitability is a legal concept that refers to the propriety of the match between the individual and his or her portfolio. Financial advisors and investment companies employ numerous models to profile investors and then recommend a suitable asset allocation. However, there is no guarantee that the recommended asset allocation is also optimal in a mean-variance sense. We develop a model of suitability using the Analytic Hierarchy Process (AHP) to create unique asset allocations for individual investors based on their personal attributes. We then compare the mean-variance performance of these suitable portfolios with independent portfolios generated using traditional mean-variance optimization (MVO) methodology. Our results indicate the the AHP and MVO approaches yield portfolios with risk-return attributes that are not significantly different. The AHP portfolios are more likely to underperform the MVO portfolios for individuals with very high risk tolerance. We find that minor alterations to the AHP model can further minimize any distinction from a pure MVO portfolio. Finally, we argue that sequential application of the two approaches provides superior results when compared to those generated by AHP alone.
Keywords: asset allocation, investor suitability, analytical hierarchy process, AHP
Download Document
A Radical Proposal for the Operation of Multi-Manager Investment Funds
A Radical Proposal for the Operation of Multi-Manager Investment Funds
August 20, 1999Dan diBartolomeo
This paper proposes that large investment funds that currently employ multiple active managers convert to a system of centralized management. In such a scheme, current managers would take the role of advisers to a centrally operated fund. Although first proposed by Rosenberg (1977), funds of this kind have not been implemented. Recent analytical and technological advances have removed some of the impediments to such implementation. In addition, changes in financial market conditions have increased the attractiveness of such an arrangement.
Keywords: fund of funds, multi-manager investment funds
Download Document
Quantitative Investing as a Liberal Art
Quantitative Investing as a Liberal Art
July 20, 1999Dan diBartolomeo
Investment practitioners utilizing quantitative methods are often faced with an unpleasant reality: investment decision models which have produced excellent results in back-tests and simulations may achieve very poor results when actually implemented. Four general areas of possible causation are discussed: (1.) conflict between theoretical and professional environments, (2.) failure to clearly identify the objective function, (3) the inherent limitations of back-testing and simulated trading and (4) failure to consider estimation error in applying the results of models.
Keywords: quantitative investing, back-testing simulations, estimation error
Download Document
An Equilibrium Term Structure Approach to Asset/Liability Analysis
An Equilibrium Term Structure Approach to Asset/Liability Analysis
July 1, 1999Dan diBartolomeo
The purpose of this paper is to present an alternative approach to the traditional actuarial analysis of financial intermediaries, such as pension funds and insurance companies. Rather than the usual actuarial study which establishes single value assumptions for parameters such as interest rates and inflation expectations, this approach allows for a rich set of possible future conditions which can be both state dependent and path dependent. The motivation for taking this unusual approach is the possibility that extreme economic conditions could lead to substantial underfunding of a pension plan or insurer, leading to economic strains on both the beneficiaries and the sponsoring corporation.
Keywords: asset liability analysis
Download Document
Active Returns from Passive Management
Active Returns from Passive Management
February 8, 1999Dan diBartolomeo
This paper explores the use of cointegration methods to determine advantageous country weights within an international equity portfolio. We begin by framing the active management problem as a hedging problem, wherein the liability grows over time at a rate equal to the return on a selected market index plus the desired active return premium. The statistical property of cointegration is then employed to find portfolios that are suitable long-term hedges for the liability. An empirical example utilizing country weights within the MSCI EAFE countries is provided to illustrate the mechanics of cointegration methods.
Keywords: cointegration of country indices in EAFE, active returns from passive management
Download Document
Optimization with Composite Assets Using Implied Covariance Matrices
Optimization with Composite Assets Using Implied Covariance Matrices
December 27, 1998Dan diBartolomeo
A very common but difficult problem in quantitative portfolio management is the inclusion of composite assets (e.g., a futures contract on a stock index) into a portfolio optimization framework that relies on a linear factor risk model. This paper proposes to overcome the difficulties by transforming the problem to the equivalent full-covariance matrix problem (see Markowitz). The elements of the covariance matrix used are implied from the linear factor model.
Keywords: portfolio optimization, linear factor risk model, optimization using composite assets
Download Document
Implementation of Equity Return Forecasting Methods
Implementation of Equity Return Forecasting Methods
December 20, 1998Dan diBartolomeo
The most difficult aspect of modern portfolio management is the forecasting of expected returns for the various securities in which one may invest. The need to perform this difficult task arises from the idea that investors will be most satisfied by maximizing the expected risk-adjusted returns on their portfolios, net of related costs. Stated formally, this is the familiar mean-variance utility function of Levy and Markowitz (1979).
Keywords: forecasting of expected returns, equity return forecasting methods
Download Document
A Review of Moodys Methods Used to Assign Credit Ratings to Collaterized Loan Obligations
A Review of Moodys Methods Used to Assign Credit Ratings to Collaterized Loan Obligations
August 11, 1998Dan diBartolomeo, Richard Gold, Emilian Belev & Ken Baldwin
Moody''s methodology for assigning credit quality ratings to Collateralized Loan Obligations (""CLO"") are examined. One key aspect of the process is Moody''s Diversity Score, which Moody''s has already recognized as an inadequate methodology. To compensate for this weakness, Moody''s intentionally applies a series of overly conservative input assumptions for other aspects of their analysis. It is concluded that credit quality ratings assigned by Moody''s to CLO instruments do not represent the same level of loss expectation as do the same ratings when assigned to other fixed income instruments such as corporate or municipal bonds.
Keywords: real estate risk
Download Document
Why Factor Risk Models Often Fail Active Quantitative Managers?
Why Factor Risk Models Often Fail Active Quantitative Managers?
June 23, 1998Dan diBartolomeo
It is routine among quantitatively-oriented equity portfolio managers to use some form of linear factor risk model to measure the expected variation of portfolio returns. A wide variety of linear factor risk models are available from several vendors including Northfield, BARRA, Vestek, APT Associates, etc.). Typically, the active variation from some benchmark index is often greatest concern as a metric. While the theoretical and empirical benefits of linear factor models for measuring portfolio risks are very strong, it must be admitted that from time to time, there appears to be a breakdown in the predictive ability of these models. Such breakdowns often result in dispersion of ex-post portfolio returns which is far greater than predicted by such model. It is our hypothesis that such failures arise from a simple mathematical conflict when linear factor risk models are combined with many quantitative security selection strategies. With appropriate handling of this conflict, such failures can be avoided.
Keywords: linear factor models, portfolio returns
Download Document
Risk of Equity Securities and Portfolios
Risk of Equity Securities and Portfolios
December 22, 1997Dan diBartolomeo
When we consider the risk of investing in equity securities, we really face three separate problems. The first is to come to a definition of ""risk"" that is an appropriate representation of our preferences among various possible performance outcomes. Second, to develop methodologies for measuring and forecasting the risk of equity securities and portfolios. Finally, we will take up the issue of estimation error. Whatever our definition of risk and however carefully we estimate the future risk of our equity investments, we must always be concerned about the possibility that our forecast is simply wrong. Most implementations of portfolio theory assume that both our definition of risk and our forecasts of those risks are perfect. Almost universally, we ignore the ''risk'' that our understanding of risk is itself flawed.
Keywords: equity risk, forecasting equity risk, estimation error
Download Document
Value, Growth and Alpha Measurement Biases
Value, Growth and Alpha Measurement Biases
October 15, 1997Dan diBartolomeo
Investment practitioners often use the term ""alpha"" to describe the extent to which a portfolio''s returns have exceeded expectations. As defined by Jensen (1969), alpha was measured relative to the expectations set by the Capital Asset Pricing Model. Sometimes alpha is used to merely describe returns in excess of those over a benchmark index. Another concept which is closely aligned with the CAPM is the Security Market Line, a graphical representation of the rate of change between expected returns and beta within the CAPM.
Keywords: alpha, CAPM, security market line, measurement bias
Download Document
Time Series Properties of Valuation Models
Time Series Properties of Valuation Models
June 1, 1996Dan diBartolomeo
Since 1991, Northfield has published a series of stock selection rankings derived from five models of US equity behavior. In this paper, we review the development and design of these five models. We also show various measures of the performance of such models as predictive indicators by which investors might choose to select stocks. Finally, we explore the time series properties of the performance histories of the models and show how these properties can be used to further enhance the predictive abilities of these models.
Keywords: stock selection models, performance
Download Document
Risk Measurement Bias in the Northfield APT Model
Risk Measurement Bias in the Northfield APT Model
September 30, 1994Dan diBartolomeo, Eric R. Witkowski
This paper has two purposes. The first is to serve as a very limited empirical test of the Northfield APT equity model for potential biases in the estimation of dispersion of differential returns between a portfolio and its benchmark. The second is to serve as a pedagogical exercise to stimulate thinking on the concepts of diversification and the interaction between risk forecasting models and return forecasting models that are being simultaneously applied to the same portfolio.
Keywords: risk forecasting models, return forecasting models, Northfield APT Equity Model
Download Document
Systems and Technology for Municipal Bond Trading and Portfolio Management
Systems and Technology for Municipal Bond Trading and Portfolio Management
February 12, 1994Dan diBartolomeo
For participants in the municipal bond market, the unusual features of the municipal market make the issue of computer systems and technology both of great importance and of substantial complexity. It has also created sufficient impediments to technology adoption that the level of rigor in analytical methodology has lagged behind comparable efforts in corporate bonds and mortgage-backed securities.
Keywords: municipal bond trading, technology, option-adjusted spread, OAS
Download Document
Portfolio Optimization: The Robust Solution
Portfolio Optimization: The Robust Solution
December 21, 1993Dan diBartolomeo
Investment practitioners who use mean-variance optimization techniques for portfolio construction are often disappointed in the results. As many users of such algorithms swear at them as swear by them. The most widely noted complaint is a lack of robustness in the optimization results. Small changes in informational inputs can have a seemingly overly dramatic impact on the resulting suggested portfolio. Most of these optimization systems use a ""factor"" representation of the variance-covariance matrix of expected returns.
Keywords: portfolio optimization, portfolio construction, mean variance optimization
Download Document
Behavior of Gold Mining Equities: Gold Prices and Other Influences
Behavior of Gold Mining Equities: Gold Prices and Other Influences
November 10, 1993Dan diBartolomeo
The behavior of gold related equity securities, such as common stock in gold mining companies, has long been considered to be dominated by changes in the price of gold itself. While the gold price is the single most influential force in determining the behavior of gold mining shares, gold stocks are not nearly as sensitive to gold prices as current financial models suggest they should be. This apparent contradiction is explained by the extraordinary sensitivity of gold mining stocks to an exogenously defined measure of investor confidence. This result was first obtained using comparisons of the behavior of gold with that of gold mining stocks. It was then separately observed through a macroeconomic model of security returns in which gold price is not an included variable.
Keywords: gold related equity securities, gold mining equities, gold prices
Download Document
Estimation Error in Asset Allocation
Estimation Error in Asset Allocation
May 30, 1991Dan diBartolomeo
The purpose of any asset allocation technique is to determine, with greatest accuracy, that mix of asset classes which will produce the most satisfactory result for the owner of funds during some FUTURE investment period. Use of mean-variance (MV) optimization is a widely adopted technique for obtaining the ""most satisfying portfolio."" Inputs to MV optimization are expected mean future returns for each asset, expected volatility of returns around the future expected means and the expected matrix of correlations of all returns.
Keywords: estimation error, asset allocation
Download Document
NORTHFIELD NEWSLETTER ARCHIVES
Northfield News - Table of Contents
Northfield News - Table of Contents
January 1, 2020
This document is a listing of all prior articles covered in Northfield News.
Download Document
Northfield Newsletter - Dec. 2011
Northfield Newsletter - Dec. 2011
December 13, 2011Emilian Belev, Dan diBartolomeo, Russ Hovanec, Mike Knezevich
1. Risk Modeling of Frontier Equity Markets. By Dan diBartolomeo
2. The Euro Zone Debt Crisis vs. Northfield's Near Horizon Adaptive EE Risk Model. By Emilian Belev 3. Technical Support Tip: Northfield Portfolio Optimization Methodology. By Mike Knezevich 4. Major Revision of the Everything Everywhere Model Methodology with Test Results. By Emilian Belev 5. Partner Update: S-Network Global Indexes. By Russ Hovanec Keywords: Frontier Equity, Debt Crisis, Optimization, Everything Everywhere Model
Download Document
Northfield Newsletter - Sep. 2011
Northfield Newsletter - Sep. 2011
September 26, 2011Dan diBartolomeo, Mike Knezevich
1. Managing Portfolio Risk Over Short Horizons. By Dan diBartolomeo
2. Technical Support Tip: Marginal Utility. By Mike Knezevich Keywords: Marginal Utility, Short Horizon, Risk Assessment
Download Document
Northfield Newsletter - June 2011
Northfield Newsletter - June 2011
June 15, 2011Dan diBartolomeo, Russ Hovanec, Mike Knezevich
1. Incorporating Private Equity/Venture Capital into Enterprise-wide Risk Assessments. By Dan diBartolomeo
2. Northfield and DST Global Solutions Announce New Partnership. By Russ Hovanec 3. Technical Support Tip: Constraints. By Mike Knezevich Keywords: Enterprise-wide Risk, Constraints, Private Equity
Download Document
Northfield Newsletter - March 2011
Northfield Newsletter - March 2011
March 16, 2011Dan diBartolomeo, Rick Gold, Mike Knezevich
1. Equity Risk, Credit Risk and the Returns to Corporate Sustainability. By Dan diBartolomeo
2. Estimating Unobservable Real Estate Returns and What It Says About REIT Volatility. By Rick Gold 3. Technical Support Tip: Risk Acceptance Parameter (RAP). By Mike Knezevich Keywords: Credit Risk, REIT Volatility, Corporate Sustainability
Download Document
Northfield Newsletter - Dec. 2010
Northfield Newsletter - Dec. 2010
December 17, 2010Dan diBartolomeo, Mike Knezevich, Nick Wade
1. Portfolio-centric Algorithmic Execution of Equity Trades. By Dan diBartolomeo
2. Intra-Horizon Risk By Nick Wade 3. Technical Support Tip: Bayes-Stein Return Covariance (Return Shrinkage). By Mike Knezevich Keywords: Algorithmic Trades, Intra-Horizon Risk, Bayes-Stein
Download Document
Northfield Newsletter - Sep. 2010
Northfield Newsletter - Sep. 2010
September 28, 2010Dan diBartolomeo, Mike Knezevich, Ian Bomberowitz
1. Northfield for Everyone: Analytics for Private Wealth. By Dan diBartolomeo
2. Tech Support Tip: Multiperiod Approximation. By Mike Knezevich 3. Northfield Expansion into Latin America. By Ian Bomberowitz 4. Dan diBartolomeo featured in CFA ""Take 15"" Interview Keywords: Private Wealth, Taxable Accounts, Multiperiod Approximation
Download Document
Northfield Newsletter - June 2010
Northfield Newsletter - June 2010
June 23, 2010Dan diBartolomeo, Mike Knevevich
1. Equity Risk, Credit Risk, Default Correlation and Corporate Sustainability. By Dan diBartolomeo.
2. Northfield Celebrates Our Silver Anniversary. By Dan diBartolomeo 3. Technical Support Tip: Calculating Risk Using Northfield Flat Text Files. By Mike Knezevich. Keywords: Equity Risk, Credit Risk, Default Correlation, Corporate Sustainability
Download Document
Northfield Newsletter - March 2010
Northfield Newsletter - March 2010
March 31, 2010Dan diBartolomeo, Mike Knezevich
1. Using News as a State Variable in Assessment of Financial Market Risk. By Dan diBartolomeo
2. Technical Support Tip: Estimation Error Adjustment-Covariance Blend. By Mike Knezevich 3. Harry Markopolos book on the Madoff Fraud and Northfields role now available Keywords: Estimation Error, Market Risk, Covariance Blend
Download Document
Northfield Newsletter - Dec. 2009
Northfield Newsletter - Dec. 2009
December 15, 2009Emilian Belev, Dan diBartolomeo, Mike Knezevich, Anish Shah
1. When Immovable Objects Meet Irresistible Forces: Risks in Real Estate, CMBS, Infrastructure and Public Pensions. By Dan diBartolomeo
2. Short-Term US Equity Model Updated. By Anish Shah 3. Newly Enhanced sEENIAC Released to Clients. By Emilian Belev 4. Technical Support Tip: Bayes Adjust. By Mike Knezevich and Anish Shah Keywords: Real Estate Risk, Bayes Adjust,
Download Document
Northfield Newsletter - Aug. 2009
Northfield Newsletter - Aug. 2009
August 26, 2009Dan diBartolomeo, Mike Knezevich, Anish Shah
1. Recent Variation in Forecast Risk Values - By Dan diBartolomeo
2. Technical Support Tip: Reshaping Alpha as a Cross-Sectional Forecast - By Mike Knezevich and Anish Shah Keywords: time horizon, information coefficient
Download Document
Northfield Newsletter - May 2009
Northfield Newsletter - May 2009
May 6, 2009Dan diBartolomeo, James Williams
1. The Biggest Release of Product Enhancements in Northfield History - By Dan diBartolomeo
2. Dan diBartolomeo Featured in Risk Professional Magazine 3. Technical Support Tip: New Optimization Features - By James Williams Keywords: Near Horizon risk model, estimation error, Optimizer, alpha scaling
Download Document
Northfield Newsletter - Jan. 2009
Northfield Newsletter - Jan. 2009
January 22, 2009Dan diBartolomeo, Emilian Belev, James Williams
1. Credit Risk Modeling at Northfield - By Dan diBartolomeo
2. Performance Attribution of Market Neutral Portfolios - By Dan diBartolomeo 3. Recent Enhancements to the EE Model - By Emilian Belev 4. Technical Support Tip: Using MS Excel Files in NisBatch 2008 - By James Williams Keywords: credit ratings, Everything Everywhere (EE) model
Download Document
Northfield Newsletter - SPECIAL EDITION - Oct. 2008
Northfield Newsletter - SPECIAL EDITION - Oct. 2008
October 27, 2008Dan diBartolomeo, Anish Shah
1. Northfield Research and the Global Financial Crisis - By Dan diBartolomeo
2. Putting the Crisis in Perspective for Investors - By Dan diBartolomeo 3. Short Term Risk from Long Term Models - By Anish Shah Keywords: global financial crisis, short-term model
Download Document
Northfield Newsletter - Sep. 2008
Northfield Newsletter - Sep. 2008
September 11, 2008Dan diBartolomeo, James Williams
1. Estimation of a Global Liquidity and Trading Cost Model - by Dan diBartolomeo
2. Technical Support Tip: Using the New BACKTEST Command in NisBatch2008 - by James Williams Keywords: market impact model, BACKTEST command
Download Document
Northfield Newsletter - June 2008
Northfield Newsletter - June 2008
June 13, 2008Dan diBartolomeo, Mike Knezevich
1. Thirteen Questions Risk Models Can Answer for Asset Managers and Their Clients - By Dan diBartolomeo
2. Technical Support Tip: Transitioning to NisOpt 2008 Timetable - By Mike Knezevich Keywords: asset managers, Optimizer 2008
Download Document
Northfield Newsletter - March 2008
Northfield Newsletter - March 2008
March 4, 2008Dan diBartolomeo, Mike Knezevich
1. Fat Tails, Liquidity Limits and IID Assumptions - By Dan diBartolomeo
2. Technical Support Tip: Transitioning to NisOpt 2008: Working with Existing Project files - By Mike Knezevich Keywords: fat tails, independent and identical distribution (IID), Optimizer 2008
Download Document
Northfield Newsletter - Nov. 2007
Northfield Newsletter - Nov. 2007
November 29, 2007Dan diBartolomeo, Mike Knezevich
1. Liability Driven Investing - By Dan diBartolomeo
2. Optimizer Computational Enhancements - By Dan diBartolomeo 3. Technical Support Tip: Transitioning to the New Optimizer - By Mike Knezevich Keywords: Liability Driven Investing (LDI), Optimizer 2008
Download Document
Northfield Newsletter - Aug. 2007
Northfield Newsletter - Aug. 2007
August 22, 2007Dan diBartolomeo, Mike Knezevich
1. Firmwide Risk: The Everything Everywhere Concept is Being Realized By Dan diBartolomeo
2. The Equity Risk Premium, CAPM and Minimum Variance Portfolios. By Dan diBartolomeo 3. Technical Support Tip: Increasing Asset Coverage using EEniac. By Mike Knezevich Keywords: everything everywhere, EE model, CAPM, EENIAC
Download Document
Northfield Newsletter - May 2007
Northfield Newsletter - May 2007
May 3, 2007Russ Hovanec, Emilian Belev, Mike Knezevich, Dan diBartolomeo
1. Motivation for EEniac and a Development History - By Russ Hovanec and Emilan Belev
2. Technical Support Tip: Cash Constraint in a Long-Short - By Mike Knezevich 3. Northfield Goes Hollywood! New Videos for ART and MARS - By Dan diBartolomeo. Keywords: everything everywhere model, cash constraint, optimizer
Download Document
Northfield Newsletter - Jan. 2007
Northfield Newsletter - Jan. 2007
January 25, 2007Dan diBartolomeo, Mike Knezevich
1. Portfolio Analysis of Investment Funds with Undisclosed Holdings - By Dan diBartolomeo 2. Technical Support Tip: Converting Marginal Variance (MV) to Marginal Standard Deviations (MSD) - By Mike Knezevich (with special thanks to Anish Shah)
Keywords: style analysis, marginal standard deviations
Download Document
Northfield Newsletter - Sep. 2006
Northfield Newsletter - Sep. 2006
September 15, 2006Dan diBartolomeo, Mike Knezevich
1. The How and Why (Not?) of What If Part II (scenario analysis) - By Dan diBartolomeo
2. Technical Support Tip: Ensuring Identifier Consistency - By Mike Knezevich Keywords: scenario analysis, optimizer, identifier types
Download Document
Northfield Newsletter - May 2006
Northfield Newsletter - May 2006
May 31, 2006Dan diBartolomeo, Christine Milne
1. New Methods for Dealing with Estimation Error in Optimization - By Dan diBartolomeo
2. The How and Why (Not?) of What If Part I (scenario analysis) - By Dan diBartolomeo 3. Technical Support Tip: How to Use The Excel Run0 Add-In NER0 - By Christine Milne Keywords: estimation error, scenario forecasting and analysis, Optimizer, NERO
Download Document
Northfield Newsletter - Feb. 2006
Northfield Newsletter - Feb. 2006
February 6, 2006Dan diBartolomeo, Howard Hoffman
1. Northfield and the High Net-Worth Investor - By Dan diBartolomeo
2. Technical Support Tip: Concentrated Position Portfolios - By Howard Hoffman 3. Northfield Product Updates Keywords: tax alpha, tracking error, Northfield product updates
Download Document
Northfield Newsletter - Oct. 2005
Northfield Newsletter - Oct. 2005
October 4, 2005Dan diBartolomeo, Sandy Warrick, Jennifer Gerber, Howard Hoffman
1. A Unified Approach to Monitoring and Evaluating Investment Managers - By Dan diBartolomeo and Sandy Warrick 2. Modeling Short-Sale Transactions in Optimization - By Dan diBartolomeo 3. Technical Support Tip: How to Use Penalties - By Jennifer Gerber and Howard Hoffman
Keywords: composite asset, ART, CUSUM
Download Document
Northfield Newsletter - May 2005
Northfield Newsletter - May 2005
May 26, 2005Dan diBartolomeo, Christine Milne
1. Optimization of Multiple Related Accounts - By Dan diBartolomeo 2. Stress Testing of Risk Estimates - By Dan diBartolomeo 3. Technical Support Tip: Industry and Sector Mapping - By Christine Milne
Keywords: Multiple Disciplinary Account (MDA), NFA resampling, industry files
Download Document
Northfield Newsletter - Feb. 2005
Northfield Newsletter - Feb. 2005
February 1, 2005Dan diBartolomeo, Sandy Warrick, Howard Hoffman
1. Using CUSUM Methods for Monitoring External Asset Managers - By Dan diBartolomeo and Sandy Warrick 2. Technical Support Tip: Open Performance Attribution: How to Run a Quarterly Attribution - By Howard Hoffman
Download Document
Northfield Newsletter - Nov. 2004
Northfield Newsletter - Nov. 2004
November 1, 2004Dan diBartolomeo, Jennifer Gerber
1. Investment Style and the Choice of Risk Model Specification - By Dan diBartolomeo 2. Technical Support Tip: Open Performance Troubleshooting Tips - By Jennifer Gerber
Keywords: expected return variance, Open Performance Attribution troubleshoot
Download Document
Northfield Newsletter - July 2004
Northfield Newsletter - July 2004
July 1, 2004Sandy Warrick, Dan diBartolomeo, Jennifer Gerber
1. Style Analysis with Confidence Intervals and Negative Weights - By Sandy Warrick 2. Technical Support Tip: Choosing Risk Acceptance Parameter - By Dan diBartolomeo & Jennifer Gerber
Keywords: style analysis, PACO, Risk Acceptance Parameter (RAP)
Download Document
Northfield Newsletter - Feb. 2004
Northfield Newsletter - Feb. 2004
February 1, 2004Dan diBartolomeo, Christine Milne
1. Non-Linear Transaction Costs in the Open Optimizer - By Dan diBartolomeo 2. Revised Northfield Risk Models are Here - By Dan diBartolomeo 3. Technical Support Tip: Using Composite Assets - By Christine Milne
Keywords: portfolio effect, composite assets
Download Document
Northfield Newsletter - Nov. 2003
Northfield Newsletter - Nov. 2003
November 1, 2003Dan diBartolomeo, Jennifer Gerber, Howard Hoffman
1. Dealing with Non-Vanilla Assets in the Everything Everywhere Model - By Dan diBartolomeo 2. Technical Support Tip: Extracting Output Reports from the Optimizer - By Jennifer Gerber and Howard Hoffman
Keywords: Everything Everywhere (EE) model, Optimizer, output reports
Download Document
Northfield Newsletter - July 2003
Northfield Newsletter - July 2003
July 1, 2003Dan diBartolomeo, Robert Kelley, Tracy Licklider
1. Open Performance Attribution Released to Users - By Dan diBartolomeo, Robert Kelley and Tracy Licklider 2. Active Risk Budgeting Using Northfield Systems - By Dan diBartolomeo 3. Major Enhancements Made to the Northfield Everything Everywhere Model.
Keywords: Open Performance Attribution software, risk budgeting, Everything Everywhere (EE) model
Download Document
Northfield Newsletter - April 2003
Northfield Newsletter - April 2003
April 1, 2003Dan diBartolomeo, Sandy Warrick, Richard Michaud and Robert Michaud
1. Northfield Risk Models: The Next Generation - By Dan diBartolomeo 2. New Features in PACO - By Sandy Warrick 3. Issues on Resampled Efficiency - By Richard Michaud and Robert Michaud
Keywords: hybrid modeling, mean-variance portfolio efficiency
Download Document
Northfield Newsletter - Dec. 2002
Northfield Newsletter - Dec. 2002
December 1, 2002Dan diBartolomeo, Nick Wade
1. Extreme Events, VaR, Parkinson Volatility and Coherence - By Dan diBartolomeo 2. Convertible Bonds in the Everything Everywhere Model - By Nick Wade
Keywords: Parkinson Volatility, convertible bonds
Download Document
Northfield Newsletter - Sep. 2002
Northfield Newsletter - Sep. 2002
September 1, 2002Dan diBartolomeo, Sandy Warrick
1. Asset Class Correlations from the Bottom Up Using the Northfield Everything Everywhere Model - By Dan diBartolomeo and Sandy Warrick 2. PACO: Out with the Old, In with the New (and Improved!)
Keywords: Composite Asset function, asset allocation
Download Document
Northfield Newsletter - May 2002
Northfield Newsletter - May 2002
May 1, 2002Dan diBartolomeo, Sandy Warrick
1. Making Covariance-Based Portfolio Risk Models Sensitive to the Rate at which Markets Reflect New Information - By Dan diBartolomeo and Sandy Warrick
Keywords: implied volatility, NIS product enhancements
Download Document
CONFERENCE AGENDA ARCHIVES
London 2011
London 2011
November 17, 2011Download Documents:
Click document title to download.
Asia Seminars 2011
Asia Seminars 2011
October 12, 2011Download Documents:
Click document title to download.
Săo Paulo 2011
Săo Paulo 2011
September 29, 2011Download Documents:
Click document title to download.
Workshop: Recent Product Enhancements from Northfield Research-September 2011
Workshop: Recent Product Enhancements from Northfield Research-September 2011
September 13, 2011Download Documents:
Click document title to download.
Webinar: A Detailed Examination of Minimum Variance and Low Volatility Equity Strategies-July 2011
Webinar: A Detailed Examination of Minimum Variance and Low Volatility Equity Strategies-July 2011
July 12, 2011Download Documents:
Click document title to download.
Williamsburg 2011
Williamsburg 2011
June 24, 2011Download Documents:
Click document title to download.
Newport 2011
Newport 2011
June 3, 2011Download Documents:
Click document title to download.
Workshop: Optimization for Northfield Users-May 2011
Workshop: Optimization for Northfield Users-May 2011
May 10, 2011Download Documents:
Click document title to download.
Webinar: Key Elements of Risk Control for Asset Managers-March 2011
Webinar: Key Elements of Risk Control for Asset Managers-March 2011
March 8, 2011Download Documents:
Click document title to download.
Workshop: Lies and Perfomance Attribution-January 2011
Workshop: Lies and Perfomance Attribution-January 2011
January 25, 2011Download Documents:
Click document title to download.
Webinar: Redefining Private Equity Real Estate Risk-December 2010
Webinar: Redefining Private Equity Real Estate Risk-December 2010
December 7, 2010Download Documents:
Click document title to download.
London 2010
London 2010
November 9, 2010Download Documents:
Click document title to download.
Webinar: The Central Paradox of Active Management-October 2010
Webinar: The Central Paradox of Active Management-October 2010
October 19, 2010Download Documents:
Click document title to download.
Asia Seminars 2010
Asia Seminars 2010
September 22, 2010Download Documents:
Click document title to download.
Colorado Springs 2010
Colorado Springs 2010
August 30, 2010Download Documents:
Click document title to download.
Newport 2010
Newport 2010
June 4, 2010Download Documents:
Click document title to download.
Asia Seminars 2009
Asia Seminars 2009
November 18, 2009Download Documents:
Click document title to download.
London 2009
London 2009
November 6, 2009Download Documents:
Click document title to download.
Venice 2009
Venice 2009
June 1, 2009Download Documents:
Click document title to download.
Asia Seminar 2008
Asia Seminar 2008
December 4, 2008Download Documents:
Click document title to download.
Northfield/ClariFi Seminar 2008
Northfield/ClariFi Seminar 2008
October 27, 2008Download Documents:
Click document title to download.
Newport 2008
Newport 2008
June 6, 2008Download Documents:
Click document title to download.
London 2008
London 2008
April 24, 2008Download Documents:
Click document title to download.
Squaw Creek 2008
Squaw Creek 2008
March 26, 2008Download Documents:
Click document title to download.
Naples 2008
Naples 2008
January 24, 2008Download Documents:
Click document title to download.
Asia Seminar 2007
Asia Seminar 2007
December 4, 2007Download Documents:
Click document title to download.
Key Largo 2007
Key Largo 2007
October 24, 2007Download Documents:
Click document title to download.
London 2007
London 2007
June 21, 2007Download Documents:
Click document title to download.
Newport 2007
Newport 2007
June 8, 2007Download Documents:
Click document title to download.
Hedge Fund Seminar 2007
Hedge Fund Seminar 2007
March 8, 2007Download Documents:
Click document title to download.
Asia Seminar 2006
Asia Seminar 2006
November 23, 2006Download Documents:
Click document title to download.
Greenbrier 2006
Greenbrier 2006
October 23, 2006Download Documents:
Click document title to download.
Newport 2006
Newport 2006
June 9, 2006Download Documents:
Click document title to download.
Stowe 2006
Stowe 2006
March 26, 2006Download Documents:
Click document title to download.
Montebello 2005
Montebello 2005
July 18, 2005Download Documents:
Click document title to download.
Newport 2005
Newport 2005
June 11, 2005Download Documents:
Click document title to download.
User Seminars 2004 (Boston, Chicago, New York and San Francisco)
User Seminars 2004 (Boston, Chicago, New York and San Francisco)
September 1, 2004Download Documents:
Click document title to download.
Scottsdale, AZ 2004
Scottsdale, AZ 2004
May 1, 2004Download Documents:
Click document title to download.
Stowe, VT 2003
Stowe, VT 2003
March 1, 2003Download Documents:
Click document title to download.
Europe, 2002
Europe, 2002
October 1, 2002Download Documents:
Click document title to download.
Yosemite, 2002
Yosemite, 2002
May 1, 2002Download Documents:
Click document title to download.
Coronado, CA 2001
Coronado, CA 2001
December 1, 2001Download Documents:
Click document title to download.
Key West, FL 2000
Key West, FL 2000
December 1, 2000Keywords: likjuhyfgtdsvcxza
Download Documents:
Click document title to download.
Miami, FL 1999
Miami, FL 1999
December 26, 1999Download Documents:
Click document title to download.
Santa Barbara, CA 1998
Santa Barbara, CA 1998
October 31, 1998Download Documents:
Click document title to download.
Jekyll Island, GA 1997
Jekyll Island, GA 1997
January 1, 1997Download Documents:
Click document title to download.
Greenbrier, WV 1996
Greenbrier, WV 1996
October 24, 1996Download Documents:
Click document title to download.
ESSAYS AND COMMENTARIES
Five Easy Steps to Fixing the Rating Agencies
Five Easy Steps to Fixing the Rating Agencies
November 3, 2011Dan diBartolomeo, President, Northfield
One of the largest contributing factors to the Global Financial Crisis of 2008-2009 was the huge number of fixed income instruments with very high ratings (e.g. AAA) that were either severely downgraded or went into actual default.
Rather than try to fix the ratings “business,” we believe the appropriate immediate course of action is to simply put in place some basic rules that would ensure that credit ratings as currently available would be a sufficiently competent metric of creditworthiness. Investors don’t need to fix the rating business or related regulations. They simply need the ratings to be done with sufficient quality so as to be meaningful measures of economic risks borne by lenders. In this regard we have a series of five suggestions: Keywords: Financial Crisis, Fitch, Moody's, Standard and Poor's
Download Document
The Tech 40 and Influencing Institutional Investing
The Tech 40 and Influencing Institutional Investing
April 29, 2011Dan diBartolomeo, President, Northfield Information Services
It recently came to my attention that I had been named by Institutional Investor magazine as one of the “Tech 40.” The honor is bestowed upon the forty executives with the greatest influence on financial technology used by the institutional investing community.
Download Document
A Retrospective on the Global Financial Crisis
A Retrospective on the Global Financial Crisis
November 22, 2010Dan diBartolemeo, President, Northfield Information Services
In a New York Times article Warren Buffett thanked the US Government for what he characterized as reasonably effective handling of what come to be known as the “Global Financial Crisis.”
While the handling of the crisis may not have been ideal, we will never know how bad the situation of the world economy might have become in the absence of such action.
Download Document
Comments on Decision Based Performance Attribution
Comments on Decision Based Performance Attribution
September 25, 2010Dan diBartolemeo, President, Northfield Information Services
Question: How can performance attribution procedures be adjusted to reflect the specific strategies being employed for a particular fund?
Comments on Decision Based Performance Attribution
Download Document
BOOKS, BOOK CHAPTERS AND JOURNAL PUBLICATIONS
Applications of Portfolio VarietyApproximating the Confidence Intervals for Sharpe Style Weights
Approximating the Confidence Intervals for Sharpe Style Weights
Dan diBartolomeo and Angelo Lobosco, Financial Anaysts Journal, July/August 1997
Request Document
Asset Allocation for High Net-Worth Investors
Asset Allocation for High Net-Worth Investors
Dan diBartolomeo, Global Perspectives on Investment Management, 2006
Request Document
Asset/Liability Management for the Private Client
Asset/Liability Management for the Private Client
Dan diBartolomeo, CFA Institute Conference Proceedings Quarterly, March 2011
Request Document
The Discretionary Wealth Hypothesis in an Arbitrage-Free Term Structure Approach to Asset-Liability Management
The Discretionary Wealth Hypothesis in an Arbitrage-Free Term Structure Approach to Asset-Liability Management
Dan diBartolomeo, Asset and Liability Management Handbook, 2011
Request Document
DSI Catholic Values 400
DSI Catholic Values 400
Dan diBartolomeo and Lloyd Kurtz, Journal of Investing, Fall 2005
Request Document
Equity Portfolio Risk Estimation Using Market Information and Sentiment
Equity Portfolio Risk Estimation Using Market Information and Sentiment
Dan diBartolomeo, Gautam MItra and Lila Mitra, Quantitative Finance, December 2009
Request Document
Equity Risk, Default Risk, Default Correlation and Corporate Sustainability
Equity Risk, Default Risk, Default Correlation and Corporate Sustainability
Dan diBartolomeo, Journal of Investing, Winter 2010
Request Document
Fat Tails, Tall Tales and Puppy Dog Tails
Fat Tails, Tall Tales and Puppy Dog Tails
Dan diBartolomeo, Professional Investor, Autumn 2007
Request Document
Investment Management for Private Taxable Wealth
Investment Management for Private Taxable Wealth
Dan diBartolomeo, Jeffrey Horwitz and Jarrod Wilcox, CFA Foundation, 2006
Request Document
Investment Performance Measurement and the Probability Distribution of Pension, Assets, Liabilities and Surplus
Investment Performance Measurement and the Probability Distribution of Pension, Assets, Liabilities and Surplus
Dan diBartolomeo, Journal of Performance Measurement, Spring 1997
Request Document
Just Because We Can Doesn't Mean We Should: Use of Daily Data in Performance Attribution
Just Because We Can Doesn't Mean We Should: Use of Daily Data in Performance Attribution
Dan diBartolomeo, Journal of Performance Measurement, Spring 2003
Request Document
Life Cycle Funds: Investment Policy, Portfolio Construction and Rebalancing
Life Cycle Funds: Investment Policy, Portfolio Construction and Rebalancing
Dan diBartolomeo, Risk and Performance Measurement, 2006
Request Document
The Long-Term Performance of a Social Investment Universe
The Long-Term Performance of a Social Investment Universe
Dan diBartolomeo and Lloyd Kurtz, The Journal of Investing, Fall 2011
Request Document
Making Covariance-based Portfolio Risk Models Sensitive to the Rate at which Markets Reflect New Information
Making Covariance-based Portfolio Risk Models Sensitive to the Rate at which Markets Reflect New Information
Dan diBartolomeo and Sandy Warrick, Linear Factor Models in Finance, 2005
Request Document
Managing Investment Portfolio Risk (Really!)
Managing Investment Portfolio Risk (Really!)
Dan diBartolomeo, Investments and Wealth Monitor, March 2011
Request Document
Measuring Investment Skill Using the Effective Information Coefficient
Measuring Investment Skill Using the Effective Information Coefficient
Dan diBartolomeo, Journal of Performance Measurement, Fall 2008
Request Document
Mutual Fund Misclassification: Evidence Based on Style Analysis
Mutual Fund Misclassification: Evidence Based on Style Analysis
Dan diBartolomeo and Erik Witkowski, Financial Analysts Journal, 1997
Request Document
News Analytics in a Risk Management Framework for Asset Managers
News Analytics in a Risk Management Framework for Asset Managers
Dan diBartolomeo, The Handbook of News Analytics in Finance, 2011
Request Document
Portfolio Management Under Taxes
Portfolio Management Under Taxes
Dan diBartolomeo, Advances in Portfolio Construction and Implementation, 2003
Request Document
The Risk of Equity Securities and Portfolios
The Risk of Equity Securities and Portfolios
Dan diBartolomeo, CFA Research Foundation Equity Specialization Readings, 1997
Request Document
Socially Screened Portfolios: An Attribution Analysis of Relative Performance
Socially Screened Portfolios: An Attribution Analysis of Relative Performance
Dan diBartolomeo and Lloyd Kurtz, Journal of Investing, Fall 1996
Request Document
Systems and Technology for Municipal Bond Trading and Portfolio Management
Systems and Technology for Municipal Bond Trading and Portfolio Management
Dan diBartolomeo, The Handbook of Municipal Bonds, 1994
Request Document
Using News as a State Variable in Assessment of Financial Market Risk
Using News as a State Variable in Assessment of Financial Market Risk
Dan diBartolomeo, The Handbook of News Analytics in Finance, 2011
Request Document
|