RESEARCH
Read Northfield research publications, featured newsletter articles and past client conference presentations. Our research team is dedicated to advancing the most suitable analytical methodologies for best practice in the investment management industry.
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Webinar: Investor Behavior as a Long Period of Low Interest Rates Ends
October 2, 2024

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Webinar: Silent Wave Rising-Private Asset Funds for Private and Retail Investors
September 10, 2024

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Webinar: Risk and Optimization with Uncertain Portfolio Weights
August 29, 2024

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Webinar: Asynchronous Return Effects in Global Alpha and Risk Modeling
August 15, 2024

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Webinar:Integrating Derivatives in Portfolio Risk Analysis and Optimization
July 30, 2024

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Webinar: Global Returns and American Politics
July 16, 2024

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Webinar: Risk of Private Credit Markets Portfolio and Systemic
June 27, 2024

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Webinar: Drawdown Betas Measuring Drawdown Risk and Portfolio Optimization
May 9, 2024

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Webinar: US Sovereign Debt Default Risk in a Higher Interest Rate Environment
April 30, 2024

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Webinar: Optimization of Taxable Institutional Portfolios
April 16, 2024

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Webinar: Cointegration of Sector Returns
March 28, 2024

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Webinar: Why Most Tax Optimizations Are Clearly Sub-Optimal
March 14, 2024

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Webinar: Investment Performance Evaluation (Real and Simulated) Using the Effective Information Coefficient
February 27, 2024

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Webinar: From Measurement to Mastery: Elevating Forecasting Performance in Asset Management
February 13, 2024

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Webinar: The Efficient Price of Illiquidity and the Option to Wait
January 30, 2024

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Webinar: Approximating Multiperiod Optimization
January 16, 2024

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Webinar: Performance Attribution When Derivatives or Leverage Are Present
December 28, 2023

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Webinar: An Asymmetric Representation of Security Alpha for Active Management
December 6, 2023

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Webinar: How Many Bonds Make A Diversified Portfolio? Fixing DTS
November 28, 2023

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Webinar: Use and Misuse of Effective Tax Rates
November 14, 2023

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Webinar: Capturing Climate Risk for Coastal Commercial Real Estate
October 26, 2023

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Webinar: Performance Analysis of Market and Factor Timing in Active Equity Management
October 12, 2023

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Webinar: Climate Change, Real Estate and the Bottom Line
September 28, 2023

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Webinar: Dealing with Super-Concentrated Positions in Taxable Accounts
September 14, 2023

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Webinar: Marking-to-Market Private Credit
August 30, 2023

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Webinar: Expressing Alpha on Non-Linear Derivatives
August 15, 2023

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Webinar: Estimating the Probability of Equity Market Crashes
July 27, 2023

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Webinar: Optimal Wash Sale Behavior for Taxable Portfolios
July 13, 2023

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Webinar: Generalized Currency Risk and the Existence of a Risk-Free Asset
June 27, 2023

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Webinar: Private Credit Risk Part 2 - Commercial Real Estate Debt
May 30, 2023

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Online Workshop: A Plausible Short Cut for Tax Optimization and Why NOT to Use It
May 16, 2023

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Webinar: Private Credit Risk Part 1 - Commercial Lending
April 25, 2023

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Webinar: Navigating Investment Funds Manager Skill
April 18, 2023

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Webinar: Banking Crisis in Review: Implications for Public and Private Assets
March 30, 2023

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Online Workshop: Advanced Optimization with Downside Risk
March 14, 2023

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Webinar: Asset Allocation for Investors with Liabilities
February 28, 2023

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Webinar: Joint Consideration of Market Risk and Operational Risks
February 14, 2023

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Webinar: Beyond Black-Litterman - Capital Market Assumptions for Heterogeneous Investors
January 31, 2023

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Online Workshop: Realistic Scenario Analysis and Stress Testing with FASST
January 17, 2023

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Webinar: Valuation of Private Companies Using Risk, Growth, and Time
December 22, 2022

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Webinar: Tax Efficient Management for Traditional Mutual Funds
December 13, 2022

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Webinar: Stress Testing and Scenario Analysis for LP Private Equity Funds
November 29, 2022

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Webinar: A Rules-Based System to get the S&P 500 to Outperform Itself
November 15, 2022

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Webinar: The $17 Billion Question: The London Whale, Archegos, and What Will Come Next
October 27, 2022

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Online Workshop: Advanced Tax Optimization
October 13, 2022

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Webinar: Measuring Exposure for Limited Partnership Funds
September 29, 2022

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Webinar: Quantifying Economic Narratives with Media Attention - A New Approach to Asset Pricing
September 13, 2022

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Webinar: Active Returns from Passive Management: Cointegration of Sector Returns
August 30, 2022

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Webinar: Betting on Volatility: Variance Swaps and the Hall of Warped Mirrors
August 11, 2022

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Webinar: Valuing Liquidity: Estimating the Price of the Option to do "Something Else"
July 28, 2022

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Online Workshop: Northfield Tools for Addressing Estimation Error in Portfolio Construction
July 14, 2022

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Webinar: Are Equity Indices Actually Diversified
June 30, 2022

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Online Workshop: Using Northfield Tools to Distinguish Between Tracking Error and Active Risk
June 14, 2022

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Webinar: Rationalizing Equity/Bond Market Correlations in Asset Allocation
May 26, 2022

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Online Workshop: Optimal Turnover - The Tradeoff Between Alpha Decay and Transaction Related Costs
May 12, 2022

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Webinar: Sustainability as a Portfolio Level Risk Measure
April 26, 2022

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Online Workshop: Secure Data Aggregation on the Northfield NEXUS Online Platform
April 14, 2022

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Webinar: True NAV of Private Equity Funds-Alpha Generation by Limited Partners
March 29, 2022

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Online Workshop: Asset Manager Compliance with SEC Rule 18F-4
March 10, 2022

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Webinar: Inflation, Interest Rates, and Equity Valuation
February 24, 2022

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Webinar: The Alpha Lifecycle: New Research Into the Nature of Investment Alpha and What Portfolio Managers Can Do To Sustain It
February 8, 2022

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Webinar: The Other Road to Tax Efficient Investing
January 27, 2022

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Online Workshop: Reconciliation of Conflicting Risk Reports
January 13, 2022

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Webinar: Equity Style Factor Returns Revisited
December 30, 2021

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Online Workshop: Linking Value at Risk to Market Factors
December 16, 2021

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Webinar: EXPLO: A Unified Model of Investor Utility, Valuation and Liquidity
November 30, 2021

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Onine Workshop: Understanding Marginal Utility in the Northfield Open Optimizer
November 16, 2021

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Webinar: Three Approaches to Finding Active Manager Skill
October 26, 2021

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Online Workshop: Global Equity Model Alternative Perspectives
October 14, 2021

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Webinar: Building a Resilient US Equity Portfolio for the Post-COVID Era
September 30, 2021

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Online Workshop: WealthBalancer-A Use Case
September 16, 2021

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Webinar: Returns from Cost Centers: Quantifying Asset Owner Alpha from Better Risk Management and Trade Execution
August 31, 2021

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Online Workshop: Advanced Risk Decomposition
August 17, 2021

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Webinar: Estimation of Corporate Bond Credit Ratings
July 29, 2021

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Webinar: Tax-Aware Optimized Back-Testing Using the Northfield Optimizer and Risk Models
July 13, 2021

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Webinar: Data Sufficiency for Risk Management for Financial Institutions
June 29, 2021

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Webinar: Cryptocurrency Risk
June 15, 2021

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Webinar: The Real Economics of ESG
May 27, 2021

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Webinar: If it Walks like a SPAC, and it Quacks like a SPAC, is it Private Equity?
April 27, 2021

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Online Workshop: Representation of Illiquid Asset Exposures in the Liquid Markets
April 13, 2021

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Webinar: GameStop, Variance Swaps, and Related Failures of Hedge Fund Risk Management
March 25, 2021

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Webinar: Strategy Design and the Fallacies of Breadth
March 9, 2021

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Webinar: Private Fund Commitment Planning for Target Asset Class Allocations
February 25, 2021

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Webinar: Modeling Fixed Income Liquidity and Trading Costs
February 11, 2021

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Online Workshop: Risk Decomposition Under Parameter Uncertainty and Price Movement
January 14, 2021

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Webinar: Advances in Portfolio Customization
December 22, 2020

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Online Workshop: Portfolio Construction Under Economic Scenarios In Action
December 8, 2020

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Webinar: Constructing Private Asset Benchmarks
November 24, 2020

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Online Worshop: RAMP - A Risk Reporting Service for Asset Owners and Managers
November 12, 2020

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Webinar: Simplified Investment Performance Evaluation (SIPE)
October 29, 2020

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Online Workshop: SaaS and Risk Model Data
October 15, 2020

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Webinar: Private Real Estate Cash Flows Income: Alternatives Move Into the Mainstream
September 29, 2020

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Online Workshop: Analyzing Historical Risk in Nexus
September 8, 2020

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Webinar: A Comparison of Conditional and Regime Switching Methods for Equity Risk Models
August 27, 2020

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Online Workshop: Household Optimization for Private Wealth and Family Offices
August 11, 2020

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Webinar: Co-Investing for Limited Partners: Another Risk vs. Return Tradeoff
July 30, 2020

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Webinar: What the Coronavirus Pandemic Taught Us About Factor Returns: Real Alpha is Better than "Smart Beta"
June 25, 2020

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Online Workshop: Constructing Specialized Portfolios
June 11, 2020

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Webinar: The Four Horsemen of the Investment Apocalypse: Pandemic, War, Corruption and Climate Change
May 26, 2020

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Webinar: Asset Allocation Dislocation - Extent, Impact, Solutions
April 30, 2020

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Webinar: Estimating an Investor’s Volatility/Return Tradeoff: The Answer is Always Six
March 26, 2020

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Webinar: Multi-Period Correlations Across Public and Private Asset Classes
February 25, 2020

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Webinar: A Heuristic Approach for Delta Hedging in Discrete Time
January 30, 2020

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Webinar: Private Equity at Center Stage - Optimizing Total Portfolio Performance and Liquidity
December 10, 2019

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Webinar: Why a Total Portfolio Risk Model is not the Sum of the Specialist Models
November 21, 2019

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Webinar: On the Performance of Long-Term Momentum
October 23, 2019

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Webinar: Portfolio Construction Under Economic Scenarios
September 24, 2019

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Webinar: Methods for Joint Optimization of Multiple Related Portfolios: Householding and Beyond
August 29, 2019

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Webinar: On the Value of Portfolio Construction
July 25, 2019

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Webinar: Bad Benchmarks, Passive Investing and ETFs
June 25, 2019

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Webinar: Illiquidity Risk of Truly Illiquid Assets
May 30, 2019

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Webinar: Did the Global Financial Crisis Change Equity Markets for the Better or Worse?
April 30, 2019

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Webinar: Introducing Northfield's Global Pure Fixed Income Model
March 26, 2019

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Webinar: Dealing with Japanese, Frontier Equity Markets by Considering Non-Traditional Distributions
February 26, 2019

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Webinar: Accounting for Heterogeneity of Security Behavior with “Bottom Up” Asset Allocation
January 24, 2019

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Webinar: Dissecting Duration Times Spread
December 27, 2018

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Webinar: Why Maximizing IR is Wrong - Tracking Error and the Paradox of Active Management
November 27, 2018

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Webinar: Face Off: The Factor Model vs. the Commercial Real Estate Risk Premiums
October 30, 2018

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Webinar: The Fundamental Myths of Fundamental Models
September 27, 2018

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Online Workshop: Fulcrums, Levers, Pulleys and RAMP: The Northfield Analytics Framework and SAAS Platform - Modern tools for Risk Analytics
September 11, 2018

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Webinar: Parameterization of the Tax/Risk Tradeoff for High Net Worth Investors
August 28, 2018

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Webinar: The Second-Order Risk of Portfolio Factor Bets
July 24, 2018

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Webinar: Generating Tax Alpha
June 26, 2018

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Webinar: Maximizing RAROC: Turning the “Risk” Unit into a Profit Center
May 29, 2018

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Webinar: Return and Risk in Endogenous Time
April 26, 2018

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Online Workshop: The Northfield XRD Risk Models - A Different Perspective
April 10, 2018

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Webinar: The Liquidity Risk Time Bomb
March 27, 2018

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Webinar: Why Getting Risk Right Is Wrong
February 27, 2018

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Online Workshop: Optimization 101
February 15, 2018

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Webinar: Investment Management for Private Equity and Venture Capital General and Limited Partners: Risk, Return, and Diversification
January 23, 2018

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Webinar: Smart Beta Corporate Bond Portfolios
December 28, 2017

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Online Workshop: Complete Attribution for Quantitative Managers
December 12, 2017

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Webinar: The Lack of Market Volatility
November 30, 2017

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Online Workshop: Risk Models 101
November 16, 2017

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Webinar: Really Sustainable Long-Term Investing
October 24, 2017

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Webinar: Risk Systems That Read® Redux
September 28, 2017

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Online Workshop: Northfield’s Model Blending Technology
September 14, 2017

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Webinar: Designing Quantitative Strategies
August 22, 2017

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Webinar: Fixing Active Management - Why Value Investing Works (or At Least Has Worked)
July 27, 2017

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Webinar: Active Mismanagement: Defining Optimal Portfolio Turnover
June 27, 2017

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Webinar: Use of Factor Models in the Presence of Higher Moments
May 30, 2017

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Online Workshop: Total Fund Risk Services
May 11, 2017

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Webinar: Retail Mutual Fund (mis)classification Evidence based on Style Analysis V2.0
April 26, 2017

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Online Workshop: Incorporating ESG Considerations into Optimizations
April 13, 2017

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Webinar: Risk, Uncertainty and Time Horizon: What Most Risk Models Get Wrong!
March 30, 2017

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Webinar: Minimum Variance Portfolios
February 28, 2017

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Online Workshop: Risk Tolerance in Optimizations
February 9, 2017

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Webinar: Replicating Residential Real Estate Returns with Liquid Market Instruments
January 26, 2017

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Webinar: Risk Parity, Factor Investing and US DOL Regulation of Defined Contribution Retirement Plans
December 20, 2016

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Webinar: Equity Factor Timing and Kiddie Bowling
November 29, 2016

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Webinar: Advanced Techniques for Wealth Managers and Family Offices
October 27, 2016

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Webinar: Credit Spreads - The Flipside of the Default Distribution
September 27, 2016

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Webinar: Passive Management, Market Efficiency and Long Term Return Premia
August 24, 2016

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Webinar: Estimation of Event Risk: Crashes, Brexit, and Whatever Comes Next
July 26, 2016

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Webinar: Global Wealth Management and the Panama Papers
June 30, 2016

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Webinar: Making Lifetime Investing Planning a Reality
May 24, 2016

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Webinar: Custom Hybrid Risk Models
April 28, 2016

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Webinar: Diversification and Real Estate, Part II
March 29, 2016

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Webinar: Rules-Based Style Rotation: Dynamic Switching between Smart Portfolios
February 23, 2016

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Webinar: An Optimized Approach to Scenario Driven Risk Simulations
January 28, 2016

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Webinar: Reconciliation of Default Risk and Spread Risk in Fixed Income
December 29, 2015

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Webinar: Risk Model Testing, or Horses for Courses
November 24, 2015

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Webinar: Back-testing: A Useful Tool or “Financial Charlatanism”?
October 22, 2015

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Webinar: Behavioral Aspects of Risk
September 29, 2015

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Webinar: Risk Model Testing and Regulatory Reporting
August 27, 2015

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Webinar: Diversification and Real Estate, Part I
July 28, 2015

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Webinar: Assessment of Corporate Credit and Counterparty Risk Using News Flow and Sentiment
June 30, 2015

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Webinar: Risk Systems That Read
May 28, 2015

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Webinar: The Choice of Model Factors Under Multiple Definitions of Risk
April 30, 2015

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Webinar: Optimal Deal Flow for Illiquid Assets
March 31, 2015

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Webinar: "Guaranteed" Alpha - Using Risk Budgeting to Improve Performance by Reducing Management Fees and Other Expenses
February 24, 2015

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Webinar: Alpha Estimation and the Definition of Asset Specific Risk
January 7, 2015

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Webinar: Smart Portfolios
November 20, 2014

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Webinar: Measuring Skill in Active Managers
October 1, 2014

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Webinar: Risk Management Priorities for Asset Owners - What Senior Management and Trustees Need to Know
August 26, 2014

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Webinar: Portfolio Optimization with VaR, CVaR, Skew and Kurtosis
July 16, 2014

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Asset Owner Webinar Series: Challenges Facing Asset Owners in Modeling Illiquid Assets as Part of an Overall Plan Portfolio
May 13, 2014

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Private Wealth Webinar Series: How Common Practice Falls Short of Best Practices
April 8, 2014

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Webinar: There’s More to Evaluating Risk in Real Estate Portfolios than Location, Location, Location!
March 5, 2014

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Webinar: Risk Decomposition of Investment Portfolios
January 29, 2014

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Webinar: Optimization 101
October 22, 2013

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Webinar: Liquidity Planning Tools and Strategy Capacity for Equity Markets
January 23, 2013

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Webinar: Third Generation Northfield Risk Models
November 8, 2012

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Webinar: Wealth Management, Investor Suitability, Fiduciary Requirements and Financial Regulation
September 19, 2012

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Online Workshop: How to Use the Northfield Optimizer in R and MATLAB®
April 3, 2012

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Online Workshop: Recent Product Enhancements from Northfield Research
September 13, 2011

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Webinar: A Detailed Examination of Minimum Variance and Low Volatility Equity Strategies
July 12, 2011

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Online Workshop: Optimization for Northfield Users
May 10, 2011

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Webinar: Key Elements of Risk Control for Asset Managers
March 8, 2011

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Online Workshop: Lies and Perfomance Attribution
January 25, 2011

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Webinar: Redefining Private Equity Real Estate Risk
December 7, 2010

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Webinar: The Central Paradox of Active Management
October 19, 2010

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ESSAYS AND COMMENTARIES:
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US Politics and Global Equity Returns
July 22, 2024
Northfield Presdient Dan diBartolomeo
Given the stark political contrasts between the US candidates for the presidency in terms of both domestic and foreign policy, it seemed useful to provide an analysis of the history of equity market returns conditional on which of the two major parties controlled the United States White House. Herein we will analyze the factor return history of our US Fundamental Model and our Global Equity Model over nearly thirty-five years of data during which both parties held multiple terms of control. A previous analysis of this issue, found statistically significant differences in factor returns across administrations. The current election cycle is unique in terms of the multiple criminal prosecutions (one set of felony convictions) being pursued against former President Trump, the recent attempt to assassinate the former president, and the withdrawal of President Biden in favor of Vice-President Harris. To the extent that such events may damage the international reputation of the USA, we will examine the implications using data from Corruption Perception Index, compiled annually by Transparency International.

Keywords: Corruption Perception Index, Democrat, President Trump, President Biden, Republican, US Factor Returns

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What Investors with (and without) Russian Exposure Need to Know
March 22, 2022
Norhtfield Research Team
As of this writing, the world has witnessed roughly three weeks of the horrific events of the Russian invasion of Ukraine. To the extent that Northfield services predominantly revolve around the risks of participating in financial markets, it is incumbent upon us to attempt a coherent analysis of this most regrettable of all human endeavors, war. In this release, we present both our opinions on various matters and references to previously released Northfield research that enrich consideration of the investment aspects of this terrible set of events.

Keywords: Cryptocurrency, European Union, Geopolitical Volatility, Stagflation, Ukraine, War

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Simplified Investment Performance Evaluation
December 22, 2021
Northfield President Dan diBartolomeo
The entire purpose of investment performance measurement is motivated by the concept of risk. If investors hold only zero risk assets their rate of return is known in advance. There would be no need to measure realized investment performance. It must therefore be true that any measurement of investment performance must be augmented by an evaluation of investment outcomes on a risk-adjusted basis. The question is how to fairly judge (and compensate) portfolio management teams (whether internal or external) for their skill in managing the financial assets. Many institutions concur with the concept that skill should be evaluated on “value added” or “risk adjusted returns.” This goal proves far more difficult than it sounds because the organizations in question may engage in broad range of activities from running high turnover long/short strategies to owning long term illiquid assets like agricultural land.

Keywords: Effective Information Coefficient, Mean-Variance Utility, Risk Expectations, SIPE

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Clean Crypto; And Why That’s Good for Investors
September 10, 2021
Peter Horne
Cryptocurrencies, of which Bitcoin and Ethereum are the most popular, are a hot topic in investment markets. It’s driven by many things – part thematics in the search for risk management in an unusual monetary policy environment, part greed driven by massive price gains, part timing as they mature into culture and the technology adoption curve, and a large part - fashion. But as these new assets, if indeed they are and remain assets, take their place inside the investment process, we cannot deny the fact that Bitcoin is also the first currency of the “dark markets” which is just a euphemism for technology enabled crime.

Keywords: Bitcoin, Crypto Exchange, Ethereum, Rube Goldberg Machine

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The US Presidential Election, Pandemics, and Long-Term Factor Returns
October 30, 2020
Northfield President Dan diBartolomeo
In the days leading up to the US presidential election, Northfield has received a number of inquiries from clients around the world asking for our views on the opportunities and risks associated with the outcome of this globally important event. While Northfield generally avoids making this sort of “crystal ball” prognostications, we thought it appropriate to provide some straightforward factual information based on our recent research, rather than decline entirely to comment on the matter.

Keywords: Democrat, Long-Term Factors, Republican, US Election

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Update on the Coronavirus Pandemic: The Status of Credit Markets
April 16, 2020
Northfield President Dan diBartolomeo
The coronavirus pandemic has evolved considerably since our last article which came out in March 2020. To summarize the developments in the interim period, we can simply say that the best-case scenarios have gotten much worse, but the worst-case scenarios have gotten much better.

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The Corona Virus Emergency: A Quantitative View
March 20, 2020
Northfield President Dan diBartolomeo
The corona virus pandemic represents an unprecedented challenge to all investors. The global situation is deeply uncertain and subject to change in conditions by the hour. However, Northfield owes it to our clients to say something we believe substantive and sensible about the crisis, rather than stay silent.

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The Economic Cost of "Good Enough" Risk Management for Asset Owners
January 10, 2019
Northfield President Dan diBartolomeo
One of the industry trends that is impacting both asset managers and asset owners is that several vendors are beginning to offer “all in one” centralized computer systems that are intended to support all functions of an investment institution including decision making (“front office”), trading (“middle office”) and operations (“back office”). The argument for these all in one systems is that there are material operating cost savings associated with consolidating many independent systems. On the other hand, several clients have expressed the view that while these systems may offer “good enough” functionality in areas such as risk assessment or transaction cost assessment, they are uncomfortable making decisions on what they believe is less than the best available analysis.

Keywords: Asset Owner, Risk Acceptance Parameter, Risk Assessment, System Consolidation

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Why the Risk Systems That Read technology is so valuable – A Tale of Two WYNNers
February 9, 2018
Dan diBartoloomeo, President,. Northfield
During the month of January 2018, the stock of Wynn Resorts (WYNN) experienced a “roller coaster” ride opening the month at about $164 and closing it near $163. During the month, WYNN hit a high of $200 per share. Examining the timeline of events provides an excellent illustration of why our new Risk Systems That Read® (RSTR) technique is such an important advance in risk analytics.

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Big Data in Investment Finance: A Cautionary Comment
January 17, 2017
Dan diBartolomeo, President, Northfield
As the availability of data on all manner of things has exploded in recent years, the investment industry has quickly embraced the concept of “big data” as the next way in which professional investment managers will gain advantage both over their peers, and over purportedly less sophisticated investors. Certainly there have been some investment entities (e.g. the Renaissance organization) that have achieved great success by purportedly recognizing patterns in the flow of events within, and exogenous to financial markets. Simple logic would suggest that the greater the scope of data available to analyze, the greater the number of useful patterns that might be discovered.

On the other hand, many organizations that have based strategies on the big data concept have dramatically underperformed expectations. Having a staff that is well versed in the investment applications of “big data” is not a guarantee of success.


Keywords: Back Test, Big Data, Data Mining, Overfitting

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Making “Robo-Investing” Work: Key Requirements
February 12, 2016
Dan diBartomomeo, President, Northfield
As the catch phrase “robo-investing” has gained popularity in the retail end of the financial services industry, the Northfield view has been an uneasy combination of satisfaction, and concern. We started using the terminology “portfolio manufacturing” twelve years ago in 2003. Just three years later in 2006 our website featured animated videos depicting an assembly line of industrial robots as an illustration of our MARS wealth management platform. Also in the 2006, the CFA Research Foundation published the book Investment Management for Private, Taxable Wealth that included a chapter devoted to automating the customization of asset allocation, security portfolio composition and trading to the needs of specific individual households.

Keywords: Asset Allocation, Householding, Mortality, Retirement, Robo-Investing

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Seeing the Big Picture: How Conflict and Corruption Impact Financial Markets
June 15, 2015
Dan diBartolomeo and Howard Hoffman, Northfield
In this study, we will explore the relationship between financial market returns and a proprietary measure of geopolitical conflict over the interval from 1900 to 2010, which we assert should be of great interest to long term investors such as sovereign wealth funds. In addition, we update the pioneering work of Shleifer and Vishny (1993) in terms of the linkage between valuation of financial markets and perceived levels of corruption across a large sample of countries from 2002 to 2012. Finally, we consider the possibility that it would be in the financial selfinterest of large asset owners to pro-actively try to reduce market volatility by making targeted donations or “impact investments” to international non-government organizations.

Keywords: Death by Conflict, Geopolitical Conflict, Market Returns, World Events

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Risk Management for Public Pension Funds: Still Trying to Not Waste the Crisis
April 21, 2014
Dan diBartolomeo, President, Northfield Information Services
John Minahan, Senior Lecturer in Finance, MIT Sloan School of Management
With the additional stresses created by the financial crises of recent years, the collective economic soundness of the thousands of US public pension funds has come under increasing scrutiny. Many of the concerns focus on issues of risk management, and the extent to which failures in risk management could lead to broad systemic problems across the public pension landscape. In this paper, we examine both the conceptual basis of risk management for pension funds, and the current state of common practice. We find that the current state of practice is routinely focused on the wrong areas, giving priority to those aspects of the problem that are most readily addressed, rather than those issues of greatest economic importance.

Keywords: Full Funding, GASB, Pension Fund, Plan Sponsor, Risk Management

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The Near-Death Experience of Quant Asset Management
July 8, 2013
Dan diBartolomeo, President, Northfield
While stock market levels have recently reached new all time highs, the assets under management of “quant” equity managers has remained substantially reduced from levels achieved before the Global Financial Crisis. A Blackrock report puts assets under management (AUM) down 35% and anecdotal comments from practitioners from other firms suggest than in some areas like “long/short global equity” the percentage decline may be up to 80%. The use of the term “quant” has been struck from the marketing materials of most asset managers and replaced with substitutes such as “disciplined,” “structured” or the newly minted “quantamental.” There has been a widespread loss of faith in quant investment methods and those who use them.

Keywords: Fundamental Asset Management, Quantitative Asset Management, Quantamental

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Five Easy Steps to Fixing the Rating Agencies
November 3, 2011
Dan 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

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The Tech 40 and Influencing Institutional Investing
April 29, 2011
Dan 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. 

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A Retrospective on the Global Financial Crisis
November 22, 2010
Dan 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.

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Comments on Decision Based Performance Attribution
September 25, 2010
Dan 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

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Northfield News - Table of Contents
January 1, 2025
This document is a listing of all prior articles covered in Northfield News.

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Investor Behavior as a Long Period of Low Interest Rates Ends
October 2, 2024
David Buckle, Chairman of the Institute for Quantitative Research (INQUIRE)
The environment of very low interest rates has finally come to an end. Whether it has worked as a policy experiment remains to be seen, but it seems that central bankers have missed/underestimated a key feature of investor behavior.

In this webinar, we explore how investors behave, especially when retirement planning, in a low interest rate environment and illustrate how the basic economic models miss this feature. We consider the impact of this on investment strategies and conclude with thoughts about market performance in the future.


Keywords: Efficient Frontier, Global Financial Crisis, Inflation Rates, Low Interest, Monetary Policy

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Northfield Newsletter - September 2024
Taxable Portfolio Management Revisited
Second Article: Exchange Traded Derivatives Now Automated in ACES
September 24, 2024
Northfield's Dan diBartolomeo and Daniel Mostovoy
1. Taxable Portfolio Management Revisited. By Dan diBartolomeo
2. Exchange Traded Derivatives Now Automated in ACES. By Dan diBartolomeo
3. Tech Tip: ACES Features and Capabilities-A Deep Dive. By Daniel Mostovoy

Keywords: ETF, Optimizer, Portfolio Rebalance, SaaS,Tax Aware,

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Northfield Newsletter - July 2024
Performance and Risk with AI, or the Performance and Risk of AI - More than a Choice of Prepositions
Second Article: The "Long" Short or Why Demographics May No Longer Be Real Estate's Friend
July 1, 2024
Northfield's Dan diBartolomeo, Richard Gold and Steve Dyer
1. Performance and Risk with AI, or the Performance and Risk of AI More than a Choice of Prepositions. By Dan diBartolomeo
2. The “Long” Short or Why Demographics May No Longer Be Real Estate’s Friend. By Richard Gold
3. Tech Tip: Realistic Scenarios in FASST on NEXUS. By Steve Dyer

Keywords: Artificial Intelligence, Birth Rates, Scenario Analysis, SEC Rule 3497990, Stress Testing

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Northfield Newsletter - March 2024
The Office New Genre: A Suspense Drama, or an Outright Horror?
Second Article: Investment Performance Evaluation (Real and Simulated) Using the Effective Information Coefficient
March 20, 2024
Emilian Belev, Richard Gold and Dan diBartolomeo
1. The Office New Genre: A Suspense Drama, or an Outright Horror? By Emilian Belev, Richard Gold and Dan diBartolomeo
2. Investment Performance Evaluation (Real and Simulated) Using the Effective Information Coefficient. By Dan diBartolomeo

Keywords: Active Manager, EIC, Illiquid Assets, Mortgage, Real Estate, Sharpe Ratio

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Northfield Newsletter - December 2023
A Generalized Model of Currency Risk for Frontier Markets in the Everything, Everywhere Model
Second Article: Crypto Review 2023
December 22, 2023
Dan diBartolomeo, Peter Horne
1. A Generalized Model of Currency Risk for Frontier Markets in the Everything, Everywhere Model. By Dan diBartolomeo
2. Crypto Review 2023. By Peter Horne
3. Joint Optimization of Multiple Accounts (aka “Householding”). By Dan diBartolomeo
4. Introducing Nexus - Cloud-Based Access (with API) to All Northfield Analytical Software Applications Is Open for Business.

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Northfield Newsletter - September 2023
Climate Risk for Coastal Commercial Real Estate
September 15, 2023
Dan diBartolomeo, Richard Gold, Emilian Belev
1. Climate Risk for Coastal Commercial Real Estate By Dan diBartolomeo, Richard Gold and Emilian Belev
2. Technical Support Tip: A Plausible Short Cut for Taxable Portfolio Transition. By Dan diBartolomeo

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Northfield Newsletter - June 2023
Why Banks Fail and What to Do About It
June 6, 2023
Northfield President Dan diBartolomeo
1. Why Banks Fail and What to Do About It. By Dan diBartolomeo
2. Tech Tip: Really Fast Optimization. By Dan diBartolomeo
3. The Everywhere in in Everything, Everywhere is Realized, and More

Keywords: Composite Assets, FASB 157, Global Financial Crisis, Optimization, Silicon Valley Bank

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Northrfield Newsletter - March 2023
Investment Performance Analysis When the Distribution of Returns is Non-Normal
March 24, 2023
1. Investment Performance Analysis When the Distribution of Returns is Non-Normal. By Dan diBartolomeo
2. Technical Support Tip: Runtime Messages. By Steve Dyer

Keywords: Normal Distribution, Optimization Loop, Sharpe Ratio, Tracking Error, Volatility

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Northfield Newsletter - December 2022
Is There a “Crowded Trade” Basis for Push Back Against ESG Investing?
Second Article: Cryptocurrency Meets OFAC in 2022
December 19, 2022
Dan diBartolomeo, Peter Horne, Mike Knezevich, William Zieff
1. Is There a “Crowded Trade” Basis for Push Back Against ESG Investing? By Dan diBartolomeo and William Zieff
2. Cryptocurrency Meets OFAC in 2022. By Peter Horne
3. Tech Tip: The Northfield Private Equity Processor. By Mike Knezevich

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Northfield Newsletter - September 2022
Valuing Liquidity: Pricing the Option to Do Something Else
Second Article: Understanding How Risks Combine in Multi-Asset Class Portfolios
September 26, 2022
1. Valuing Liquidity: Pricing the Option to Do Something Else. By Dan diBartolomeo
2. Understanding How Risks Combine in Multi-Asset Class Portfolios. By Dan diBartolomeo
3. Tech Tip: Risk Decomposition by Security Position

Keywords: CAPM Model, Credit Rating, Merton, VaR, Volatility,

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Northfield Newsletter - June 2022
Assessment of Cryptocurrency Risk for Institutional Investors
June 24, 2022
Dan diBartolomeo
1. Assessment of Cryptocurrency Risk for Institutional Investors. By Thomas J. Blackburn, Dan diBartolomeo, and William Zieff
2. Technical Support Tip: Revisions to the “Wash Sale” Rule During Tax Optimizations

Keywords: Bitcoin, Cryptocurrency, Stable Coins, Taxable Optimization, Wash Sale

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Northfield Newsletter - March 2022
Inflation, Interest Rates and Equity Evaluation
Second Article: The Ukraine Crisis Puts the Focus on Crypto
March 16, 2022
1. Inflation, Interest Rates and Equity Evaluation . By Dan diBartolomeo
2. The Ukraine Crisis Puts the Focus on Crypto . By Peter Horne
3. Everything Everywhere Model Approaching 100% Goal

Keywords: Cryptocurrency, EUPS Model, Inflation, Modigliani-Miller Theorem, Putin Regime

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Northfield Newsletter - December 2021
Introducing Northfield Online
Second Article: Northfeld Value at Risk (VaR)
December 21, 2021
Dan diBartolomeo, Mike Knezevich
1. Introducing Northfield Online. By Dan diBartolomeo
2. Northfeld Value at Risk (VaR). By Mike Knezevich
3. IAQF/Northfield Financial Engineer of the Year Award Announcment
4. Northfield Partner Updates

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Northfield Newsletter - September 2021
Returns from Cost Centers: Quantifying Asset Owner Alpha from Better Risk Management and Trade Execution Management
Second Article: Clean Crypto; And Why That’s Good for Investors
September 10, 2021
Dan diBartolomeo, Peter Horne
1. Returns from Cost Centers: Quantifying Asset Owner Alpha from Better Risk Management and Trade Execution Management. By Dan diBartolomeo
2. Clean Crypto; And Why That’s Good for Investors. By Peter Horne
3. Technical Support Tip: Understanding the Wash Sale Rule for Taxable Securities

Keywords: Asset Owner, Cryptocurrency, Optimization, Risk Management, Trade Execution, Wash Sale Rule ,

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Northfield Newsletter - June 2021
Joe Biden and Taxable Portfolio Management
June 16, 2021
Dan diBartolomeo, Mike Knezevich
1. Joe Biden and Taxable Portfolio Management. By Dan diBartolomeo
2. Technical Support Tip: Northfield WealthBalancer Use Case. By Mike Knezevich

Keywords: Analytical Hierarchy Process, Biden, Life Balance Sheet, Tax Alpha,

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Northfield Newsletter - March 2021
The Complex Effect of Retail Investor Speculation on Hedge Funds and Institutional Investors
March 16, 2021
Dan diBartolomeo, Mike Knezevich
1. The Complex Effect of Retail Investor Speculation on Hedge Funds and Institutional Investors. By Dan diBartolomeo
2. 2020 IAQF/Northfield Financial Engineer of the Year Award Announced.
3. Technical Support Tip: Representation of Illiquid Asset Exposures in the Liquid Markets. By Mike Knezevich
4. Enhanced Coverage of Commodities in Northfield Risk Models.

Keywords: AMC Entertainment, GameStop, Hedge Fund, Illiquid Assets, Real Estate

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Northfield Newsletter - December 2020
Simplified Investment Performance Evaluation
Second Article: Returns Based Performance Attribution
December 15, 2020
Dan diBartolomeo, Mike Knezevich

1. Simplified Investment Performance Evaluation By Dan diBartolomeo
2. Returns Based Performance Attribution By Dan diBartolomeo
3. Technical Support Tip: Incorporating Scenario Analysis in an Optimization By Mike Knezevich

Keywords: Efficient Information Coefficient, Performance Attributions, SIPE, Scenario Analysis

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Northfield Newsletter - September 2020
Enhanced Coverage of Emerging and Frontier Markets Puts the “Everywhere” in the Everything, Everywhere Model
Second Article: Northfield Risk Model Data from the Cloud
September 10, 2020

1. Enhanced Coverage of Emerging and Frontier Markets Puts the “Everywhere” in the Everything, Everywhere Model By Dan diBartolomeo
2. Northfield Risk Model Data from the Cloud By Peter Horne and Daniel Mostovoy
3. Technical Support Tip: The Why of Statistical Factors-Better to Know Than Not to Know By Mike Knezevich

Keywords: Blind Factors, Multi-Asset Class Model, Software as a Service, Statistical Factors

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Northfield Newsletter - June 2020
Conditional Risk Forecasts During the Covid-19 Pandemic
Second Article: The Slightly Schizophrenic World of Risk Parity
June 17, 2020

1. Conditional Risk Forecasts During the Covid-19 Pandemic By Dan diBartolomeo
2. The Slightly Schizophrenic World of Risk Parity By Dan diBartolomeo
3. Technical Support Tip: The Impact of Covid 19 on Equity Risk Forecast. By Mike Knezevich

Keywords: Covid 19, Factor Decomposition, Pandemic, Risk Parity

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Northfield Newsletter - April 2020
Addressing Climate Change Risks
April 8, 2020
Dan diBartolomeo, Steve Dyer
1. Addressing Climate Change Risks By Dan diBartolomeo
2. Technical Support Tip: Higher Moments and Non-Normal Distributions in Risk Analysis and Optimization By Steve Dyer

Keywords: Climate Change, Kurtosis, Skew, Warming Paths

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Northfield Newsletter - January 2020
The Impact of Net Outflows on Asset Allocation Policy for Pension Funds with Illiquid Assets
January 7, 2020
Dan diBartolomeo, Steve Dyer
1. The Impact of Net Outflows on Asset Allocation Policy for Pension Funds with Illiquid Assets By Dan diBartolomeo
2. 2019 IAQF/Northfield Financial Engineer of the Year Award Announced
3. Technical Support Tip: Using Bootstrap Scenario Analysis for Asset Allocation By Steve Dyer

Keywords: Asset Allocation, Bootstraping, Illiquid Assets, Pension Bailouts, Scenario Analysis

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Northfield Newsletter - October 2019
Portfolio Risk and Optimization Inclusive of Higher Moments
Second Article: GERARD – Spanning the World of Real Estate
October 1, 2019
Dan diBartolomeo, Steve Dyer, Rick Gold, Emilian Belev

1. Portfolio Risk and Optimization Inclusive of Higher Moments. By Dan diBartolomeo
2. GERARD – Spanning the World of Real Estate. By Rick Gold and Emilian Belev
3. Technical Support Tip: Constraints in Householding Optimizations. By Steve Dyer

Keywords: Higher Moments, Householding, GERARD, Mean Variance Portfolio Optimization, Real Estate

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Northfield Newsletter - June 2019
Householding: The Holy Grail of Wealth Management
June 26, 2019
Dan diBartolomeo, Steve Dyer

1. Householding: The Holy Grail of Wealth Management. By Dan diBartolomeo
2. Technical Support Tip: Incorporating ESG Strategies Into Optimizations. By Steve Dyer

Keywords: ESG, Household Optimization, Social Screening, Taxable Optimization, Wealth Balancer

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Northfield Newsletter - March 2019
Multi-Generational Investment Planning in WealthBalancer
Second Article: A Pure Fixed Income Risk Model and Related Enhancements
March 21, 2019
Dan diBartolomeo, Lalitha Raman

1. Multi-Generational Investment Planning in WealthBalancer. By Dan diBartolomeo
2. A Pure Fixed Income Risk Model and Related Enhancements. By Dan diBartolomeo
3. Technical Support Tip: Optimization, the Incongruence of Setting a Minimum Assets Constraint, and How to do it Anyway. By Lalitha Raman

Keywords: Householding, Minimum Asset Constraint, Municipal Bond, UCITS, WealthBalancer

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Northfield Newsletter - Dec. 2018
Considerations Relevant to Sustainable Investing
December 13, 2018
Dan diBartolomeo, Daniel Mostovoy
1. Considerations Relevant to Sustainable Investing . by Dan diBartolomeo
2. Technical Support Tip: NISASP, OFX, RAMP, RAT and Other Fun New Northfield Acronyms What They Stand for and Why You Should Care. by Daniel Mostovoy

Keywords: ESG, Merton, NISASP, Risk Assessment and Monitoring Process, Sustainability

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Northfield Newsletter - Sepember 2018
The Fundamental Myths of Fundamental Models
Second Article: Replicating Expected Commercial Real Estate Performance Using Liquid Market Instruments
September 25, 2018

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Northfield Newsletter - June 2018
Centralized Portfolio Management
June 22, 2018
Dan diBartolomeo, Lalitha Raman
1. Centralized Portfolio Management. by Dan diBartolomeo
2. Technical Support Tip: Proxy Records. by Lalitha Raman

Keywords: Active Manager, Bouchey and Pritmani, CPM, Journal of Asset Management, Proxy Record, Taxable Accounts.

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Northfield Newsletter - April 2018
Why Getting Risk RIght is Wrong
April 13, 2018
Dan diBartolomeo, Jason MacQueen
1. Why Getting Risk Right is Wrong. By Dan diBartolomeo
2. Technical Support Tip: Picking the Right Model: The Northfield XRD Equity Risk Models. By Jason MacQueen

Keywords: Anthropic Principle, Currency Factors, Estimation Error, Market Volatility, Style Factors, XRD Models

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Northfield Newsletter - January 2018
The Lack of Market Volatility
Second Article: Why Location Still Matters for Real Assets – Integrating Public and Private Market Information
January 8, 2018
1. The Lack of Market Volatility By Dan diBartolomeo
2. Second Article: Why Location Still Matters for Real Assets – Integrating Public and Private Market Information. By Rick Gold
3. Technical Support Tip: Northfield Bootstrap Scenario Analysis. By Steve Dyer

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Northfield Newsletter - September 2017
Private Equity Risk: The Tale of Enervest
September 21, 2017
Dan diBartolomeo, Lalitha Raman

Keywords: Enervest, Hotelling Theory, Illiquids, Parkinson Volatility

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Northfield Newsletter - June 2017
Risk Model Testing and Regulatory Reporting
June 27, 2017
1. Risk Model Testing and Regulatory Reporting. By Dan diBartolomeo
2. Technical Support Tip: Risk Decomposition Reporting. By Steve Gaudette
3. UCITS 5/10/40 Rule Functionality Added to the Northfield Optiomizer

Keywords: Model Risk, Optimization, Risk Decompostion, R-Square, UCIT

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Northfield Newsletter - April 2017
Risk, Uncertainty and Time Horizon: What
Most Risk Models Get Wrong!
Second Article: The Resident Elephant in the Real Estate Room
April 4, 2017
1. Risk, Uncertainty and Time Horizon: What Most Risk Models Get Wrong! By Dan diBartolomeo
2. The Resident Elephant in the Real Estate Room. By Rick Gold and Emilian Belev
3. Technical Support Tip: PRISM Risk Reporting. By Lalitha Raman Krishnan

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Northfield Newsletter - Dec. 2016
Credit Risk Systems That Read
December 15, 2016
1. Credit Risk Systems That Read By Dan diBartolomeo
2. 2016 IAQF/Northfield Financial Engineer of the Year Award Announced
3. Technical Support Tip: EENIACWEB. By Lalitha Raman Krishnan

Keywords: Credit Risk, EENIACWEB, Firm Level Risk, News Flows

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Northfield Newsletter - September 2016
Market Efficiency, Multi-Period Optimization and Long-Term Investing
September 20, 2016
1. Market Efficiency, Multi-Period Optimization and Long-Term Investing. By Dan diBartolomeo
2. Northfield Short-Term XRD Equity Risk Models now Available. By Jason MacQueen
3. Technical Support Tip: Adding a New Client to WealthBalancer. By Steve Dyer

Keywords: Markowitz, Multi-Period Optimization, Short-Term Model, WealthBalancer

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Northfield Newsletter - June 2016
Risk Assessment of Alternative Investments
Second Article: Custom Risk Models
June 15, 2016
Dan diBartolomeo, Steve Dyer, Jason MacQueen
1. Risk Assessment of Alternative Investments. By Dan diBartolomeo
2. Custom Risk Models. By Jason MacQueen
3. Technical Support Tip: Round Lots in Optimizations. By Steve Dyer

Keywords: Alternative Assets, Custom Models, Factor Based Investing, Real Estate, Rounding Algorithm

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Northfield Newsletter - March 2016
An Optimized Approach to Scenario Driven Risk Simulations
March 18, 2016
Dan diBartolomeo, Steve Dyer
1. An Optimized Approach to Scenario Driven Risk Simulations By Dan diBartolomeo
2. Technical Support Tip: Running a Taxable Optimization in the Northfield Optimizer. By Steve Dyer
3. Northfield Staff Profiles: Steve Dyer, Dick Glidden, Alexey Lapin

Keywords: Bootstrapping, Resampling, Risk Assessment, Scenario Analysis, Tax Aware

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Northfield Newsletter - Dec 2015
Making “Robo-Investing” Work: Key Requirements
December 18, 2015
Dan diBartolomeo, Steve Dyer
1. Making “Robo-Investing” Work: Key Requirements By Dan diBartolomeo
2. Technical Support Tip: Understanding Blind Factors. By Steve Dyer
3. Northfield Staff Profiles: Ian Bomberowitz, Lalitha Raman, Richard Young

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Northfield Newsletter - Sep. 2015
Too Big to Fail or Too Complex to Run?
September 23, 2015
Dan diBatolomeo, Steve Dyer
1. Too Big to Fail or Too Complex to Run? By Dan diBartolomeo
2. Technical Support Tip: Model Testing and Validation. By Steve Dyer
3. Northfield Staff Profiles: Richard Pearce, Arun Soni, James Williams

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Northfield Newsletter - June 2015
Risk Systems That Read
June 17, 2015
1. Risk Systems That Read. By Dan diBartolomeo
2. Technical Support Tip: Best Practices for Limiting Names in Your Optimization. By Steve Dyer
3. Northfield Staff Profiles: Jason MacQueen, Russ Hovanec, Christopher Kantos.

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Northfield Newsletter - March 2015
Untying Gulliver: Optimal Deal Flow for Illiquids
March 18, 2015
Emilian Belev, Richard Dawson, Steve Dyer, Richard Gold
1. Untying Gulliver: Optimal Deal Flow for Illiquids. By Emilian Belev and Richard Gold
2. Technical Support Tip: Issuer Risk. By Steve Dyer
3. The Northfield Portfolio Risk Management System - PRISM. By Richard Dawson
4. Northfield Staff Profiles: Ghazanfer Baig, Emilian Belev, Mike Knezevich

Keywords: Appraisal Based, CAPM, Illiquid Assets, Issuer Risk, Modern Portfolio Theory, Stock Specific Risk

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Northfield Newsletter - Dec. 2014
Controversial Issues in Quant Asset Management
December 19, 2014
Dan diBartolomeo, James Williams
1. Controversial Issues in Quant Asset Management.
By Dan diBartolomeo
2. Technical Support Tip: Northfield Excel Add-in. By James Williams
3. Northfield Staff Profiles: Nick Cutler, Rick Gold, Nick Wade
4. Northfield acquires the asset management risk model business of R-Squared Risk Management

Keywords: Alpha Model, Back-test, Leveraged Index, Quant Asset Management

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Northfield Newsletter - Sep. 2014
On a Positive Definition of Asset Specific Risk
September 25, 2014
Dan diBartolomeo and Steve Dyer
1. On a Positive Definition of Asset Specific Risk.
By Dan diBartolomeo
2. Technical Support Tip: Sources of Statistical Error in Portfolio Risk Estimates.
By Steve Dyer

Keywords: Asset Specific Risk, Firm Specific Risk, Portfolio Risk Estimate, Stock Specific Risk

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Northfield Newsletter - June 2014
Definition and Decomposition of Risk of Investment Portfolios
June 19, 2014
Dan diBartolomeo, Steve Dyer
1. Definition and Decomposition of Risk of Investment Portfolios.
By Dan diBartolomeo
2. Technical Support Tip: Analytical Considerations for Security Coverage, Model Inclusion, and Classifications.
By Steve Dyer

Keywords: ADR, Factor Variances, GDR, Markowitz-Levy Paradigm, Risk Decomposition, Standard Deviation

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Northfield Newsletter - March 2014
Optimal Retirement Policy: Funding and Spending
March 20, 2014
Emilian Belev, Dan diBartolomeo, Steve Dyer, Rick Gold
1. Optimal Retirement Policy: Funding and Spending.
By Dan diBartolomeo
2. The Pitfalls of an Index-Based Approach to Managing Real Estate Investment Risk. By Rick Gold and Emilian Belev
3. Technical Support Tip: Demystifying Optimization Using the Optimization Log. By Steve Dyer

Keywords: Analytical Hierarchy Process, Discretionary Wealth Hypothesis, Optimization, Real Estate Risk, Retirement

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Northfield Newsletter - Dec. 2013
Incorporating Commodities into a Multi-Asset Class Risk Model
December 13, 2013
T.J. Blackburn, Dan diBartolomeo, Steve Dyer, Rick Gold
1. Incorporating Commodities into a Multi-Asset Class Risk Model.
By Dan diBartolomeo and T.J. Blackburn
2. Cost of Constraints in Optimization. By Dan diBartolomeo
2. Technical Support Tip: New Real Estate Anaysis Tool. By Steve Dyer and Rick Gold

Keywords: Commodities, Constraints, Lagrange Multiplier, Mulit-Asset Class Risk Model, Private Equity Real Estate

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Northfield Newsletter - Sep. 2013
Introduction of Northfield's RAMP Risk Consulting Service
September 24, 2013
Dan diBartolomeo, James Williams
1. Introduction of Northfield's RAMP Risk Consulting Service.
By Dan diBartolomeo
2. Technical Support Tip: Using the Horizon Blending Feature. By James Williams

Keywords: Endowments, Horizon Blending, Pension Funds, Risk Consulting

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Northfield Newsletter - June 2013
Analysis of Pension Funding Risk by Bootstrap Simulation
June 26, 2013
Dan diBartolomeo, Steve Dyer
1. Analysis of Pension Funding Risk by Bootstrap Simulation.
By Dan diBartolomeo
2. Northfield’s Award-Winning Approach to Credit Risk for Sovereign Governments and Banks. By Dan diBartolomeo
3. Technical Support Tip: Liquidity Risk and Active Risk Calculations. By Steve Dyer

Keywords: Bootstrap Simulation, Liquidity Risk, Pension Funding, Sovereign Risk

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Northfield Newsletter - March 2013
The Volatility of Financial Assets Behaving Badly
March 26, 2013
Dan diBartolomeo, Steve Dyer
1. The Volatility of Financial Assets Behaving Badly The Example of the High Yield Bond Market. By Dan diBartolomeo
2. Important Information Regarding Upcoming Model and Analytical System Releases. By Dan diBartolomeo
3. Technical Support Tip: Horizon Blending. By Steve Dyer

Keywords: Bond Market, Horizon Blending, Risk Estimate, Volatility

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Northfield Newsletter - Dec. 2012
The 3rd Generation Northfield Risk Models
December 20, 2012
Mike Knezevich, Anish Shah, Nick Wade
1. The 3rd Generation Northfield Risk Models. By Anish Shah
2. Why Northfield is Better. By Nick Wade
3. Technical Support Tip: Multiple Account Feature - Compressed Output. By James Williams
4. Upcoming Changes to the Northfield Open Optimizer. By Mike Knezevich

Keywords: Bayesian Adjust, Fundamental Models, Multiple Account, Statistical Models

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Northfield Newsletter - Sep. 2012
Factor Based Asset Allocation and Illiquid Investments
September 27, 2012
Dan diBartolomeo, Kit MacInnes-Manby
1. Factor Based Asset Allocation and Illiquid Investments. By Dan diBartolomeo
2. Technical Support Tip: Calculating Utility in the Optimizer. By Kit MacInnes-Manby
3. Expanded US Mutual Fund and ETF Coverage

Keywords: Asset Allocation, Illiquid Investments, Portfolio Utility

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Northfield Newsletter - June 2012
Risk and Asset Allocation Inclusive of
Pension Funding, “Full” and Otherwise
June 27, 2012
Dan diBartolomeo, Mike Knezevich
1. Risk and Asset Allocation Inclusive of Pension Funding, “Full” and Otherwise. By Dan diBartolomeo
2. Tech Support Tip: Nested Composites. By Mike Knezevich

Keywords: FASB 87, Nested Composites, Pension Plan, Plan Sponsor

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Northfield Newsletter - March 2012
The Ten Fundamentals of Pension Fund Risk Management
March 22, 2012
Dan diBartolomeo, Mike Knezevich, James Williams
1. The Ten Fundamentals of Pension Fund Risk Management.
By Dan diBartolomeo
2. Tech Support Tip: Multiple Account Features. By James Williams
3. Trasitioning to NISOPT 2011. By Mike Knezevich

Keywords: Risk Assessment, Pension Fund Risk, Multiple Account,

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Northfield Newsletter - Dec. 2011
Risk Modeling of Frontier Equity Markets
Second Article: The Euro Zone Debt Crisis vs. Northfield's Near Horizon Adaptive EE Risk Model
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December 13, 2011
Emilian 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

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Northfield Newsletter - Sep. 2011
Managing Portfolio Risk Over Short Horizons
September 26, 2011
Dan 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

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Northfield Newsletter - June 2011
Incorporating Private Equity/Venture Capital into Enterprise-wide Risk Assessments
June 15, 2011
Dan 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

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Northfield Newsletter - March 2011
Equity Risk, Credit Risk and the Returns to Corporate Sustainability
March 16, 2011
Dan 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

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Northfield Newsletter - Dec. 2010
Portfolio-centric Algorithmic Execution of Equity Trades
December 17, 2010
Dan 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

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Northfield Newsletter - Sep. 2010
Northfield for Everyone: Analytics for Private Wealth
September 28, 2010
Dan 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

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Northfield Newsletter - June 2010
Equity Risk, Credit Risk, Default Correlation and Corporate Sustainability
June 23, 2010
Dan 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

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Northfield Newsletter - March 2010
Using News as a State Variable in Assessment of Financial Market Risk
March 31, 2010
Dan 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

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Northfield Newsletter - Dec. 2009
When Immovable Objects Meet Irresistible Forces: Risks in Real Estate, CMBS, Infrastructure and Public Pensions
December 15, 2009
Emilian 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,

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Northfield Newsletter - Aug. 2009
Recent Variation in Forecast Risk Values
August 26, 2009
Dan 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

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Northfield Newsletter - May 2009
The Biggest Release of Product Enhancements in Northfield History
May 6, 2009
Dan 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

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Northfield Newsletter - Jan. 2009
Credit Risk Modeling at Northfield
January 22, 2009
Dan 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

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Northfield Newsletter - SPECIAL EDITION - Oct. 2008
Northfield Research and the Global Financial Crisis
Second Article: Putting the Crisis in Perspective for Investors
October 27, 2008
Dan 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

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Northfield Newsletter - Sep. 2008
Estimation of a Global Liquidity and Trading Cost Model
September 11, 2008
Dan 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

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Northfield Newsletter - June 2008
Thirteen Questions Risk Models Can Answer for Asset Managers and Their Clients
June 13, 2008
Dan 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

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Northfield Newsletter - March 2008
Fat Tails, Liquidity Limits and IID Assumptions
March 4, 2008
Dan 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

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Northfield Newsletter - Nov. 2007
Liability Driven Investing
Second Article: Optimizer Computational Enhancements
November 29, 2007
Dan 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

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Northfield Newsletter - Aug. 2007
Firmwide Risk: The Everything Everywhere Concept is Being Realized
Second Article: The Equity Risk Premium, CAPM and Minimum Variance Portfolios
August 22, 2007
Dan 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

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Northfield Newsletter - May 2007
Motivation for EEniac and a Development History
May 3, 2007
Russ 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

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Northfield Newsletter - Jan. 2007
Portfolio Analysis of Investment Funds with Undisclosed Holdings
January 25, 2007
Dan 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

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Northfield Newsletter - Sep. 2006
The How and Why (Not?) of What If Part II (scenario analysis)
September 15, 2006
Dan 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

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Northfield Newsletter - May 2006
New Methods for Dealing with Estimation Error in Optimization
Second Article: The How and Why (Not?) of What If Part I (scenario analysis)
May 31, 2006
Dan 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

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Northfield Newsletter - Feb. 2006
Northfield and the High Net-Worth Investor
February 6, 2006
Dan 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

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Northfield Newsletter - Oct. 2005
A Unified Approach to Monitoring and Evaluating Investment Managers
Second Article: Modeling Short-Sale Transactions in Optimization
October 4, 2005
Dan 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

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Northfield Newsletter - May 2005
Optimization of Multiple Related Accounts
Second Article: Stress Testing of Risk Estimates
May 26, 2005
Dan 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

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Northfield Newsletter - Feb. 2005
Using CUSUM Methods for Monitoring External Asset Managers
February 1, 2005
Dan 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

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Northfield Newsletter - Nov. 2004
Investment Style and the Choice of Risk Model Specification
November 1, 2004
Dan 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

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Northfield Newsletter - July 2004
Style Analysis with Confidence Intervals and Negative Weights
July 1, 2004
Sandy 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)

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Northfield Newsletter - Feb. 2004
Non-Linear Transaction Costs in the Open Optimizer
Second Article: Revised Northfield Risk Models are Here
February 1, 2004
Dan 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

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Northfield Newsletter - Nov. 2003
Dealing with Non-Vanilla Assets in the Everything Everywhere Model
November 1, 2003
Dan 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

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Northfield Newsletter - July 2003
Open Performance Attribution Released to Users
Second Article: Active Risk Budgeting Using Northfield Systems
July 1, 2003
Dan 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

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Northfield Newsletter - April 2003
Northfield Risk Models: The Next Generation
Second Article: Issues on Resampled Efficiency
April 1, 2003
Dan 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

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Northfield Newsletter - Dec. 2002
Extreme Events, VaR, Parkinson Volatility and Coherence
Second Article: Convertible Bonds in the Everything Everywhere Model
December 1, 2002
Dan 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

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Northfield Newsletter - Sep. 2002
Asset Class Correlations from the Bottom Up Using the Northfield Everything Everywhere Model
Second Article: PACO: Out with the Old, In with the New (and Improved!)
September 1, 2002
Dan 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

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Northfield Newsletter - May 2002
Making Covariance-Based Portfolio Risk Models Sensitive to the Rate at which Markets Reflect New Information
May 1, 2002
Dan 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 Vvolatility, NIS product enhancements

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NORTHFIELD RESEARCH PUBLICATIONS:
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An Asymmetric Representation of Security Alpha for Active Management
June 12, 2024
The traditional way of describing “alpha” is to assume a change in the expected return mean relative to some neutral expectation (i.e. benchmark or CAPM). It is routinely assumed that the distribution of outcomes around the revised expectation is normal.

In this presentation, we will be provide an alternative way to describe security level alpha where the expectation is equal to the benchmark, but the distribution of outcomes has positive or negative skew. In effect, we define alpha by a greater likelihood of the outcome being realized in the upper or lower tail of the ex-ante distribution. This distinction is critical in optimization. In this representation, a positive alpha implies that a security holding also contributes less to risk, and a negative alpha position contributes more to risk.

We will show that this representation is more consistent with studies showing that “high conviction” (i.e. high active share) managers generally produce better outcomes.

We will also show that this representation is more consistent with both practice and empirical outcomes in high risk investing areas such as venture capital, pharmaceutical research, and movie financing.


Keywords: Alpha Scaling, Idiosyncratic Risk, Jarque Bera Statistic, Robertson and Fryer

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The Four Horsemen of the Investment Apocalypse Pandemic, War, Corruption, and Climate Change
May 28, 2020
Northfield President Dan diBartolomeo
While the world continues to struggle with the impact of the coronavirus pandemic, investors need to remain cognizant that other thematic effects can be vastly influential on investment outcomes in both the near term and the long term. Of our four themes, pandemic and war are sufficiently violent and episodic (hopefully) as to dominate investor thinking in the moment. The other two themes, corruption and climate change affect investment outcomes in a slow acting, but persistent fashion that is often too subtle to be captured by a conventional risk assessment. Much like the fable of the “tortoise and the hare”, it is unclear which of these thematic effects will ultimately win the race for greatest influence on global investment outcomes. While focused on the coronavirus as the matter at hand, global investors must be prepared to address all four.

Keywords: Corona Virus, Global Warming, Pandemic, Rapid Risk Event

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Risk Systems That Read® Explained
January 16, 2018
Dan diBartolomeo, President, Northfield
After a series of research projects going back to 1997, Northfield is about to commercially introduce risk models augmented with quantified news flows for investors. News conditioned versions of our “near horizon” models will be available to Northfield clients starting in December 2017. We believe this will be the biggest step forward in risk modeling for asset management since the creation of the multi-factor risk model in the 1970s.

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Replication of Residential Real Estate Returns Using Liquid Market Instruments and Managing Housing Market-Related Investment Risk
June 20, 2017
Emilian N. Belev, CFA, and Richard B. Gold
The purpose of this paper is twofold. First, we estimate the risk characteristics of single family home prices with the goal of seamlessly integrating the asset class into a total portfolio risk management. By extension, we also develop an approach to estimate the risk characteristics of related investments such as mortgage backed securities and municipal bonds. Second, we create liquid instrument portfolios that mimic residential real estate performance in order to hedge housing price changes or simply to gain exposure in the form of direct or collateralized investments. We begin with a discussion of the asset class’ importance to investors followed by in-sample replication of a group of well-known house price indices. In turn, we use the in-sample replication portfolios to estimate the risk factor exposures for the replicated indices. Finally, we tackle the more challenging, but rewarding, task of constructing portfolios with superior out-of-sample performance, paying special attention to an investment strategy that will deliver the desired “smooth” residential index characteristics.

Keywords: Fannie Mae, Freddie Mac, Modern Portfolio Theory, Mortgage Backed Securities, Residential Real Estate,

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Factor Based Asset Allocation and Illiquid Investments
September 1, 2012
Dan diBartolomeo, President, Northfield
There have been two important trends in recent years with respect to the asset allocation practices of many large long-term investors such as sovereign wealth funds, pension schemes and university endowments. The first trend is that many have shifted their asset allocations to include very large commitments to illiquid investments such as real estate and private equity. Secondly, some asset owners are now thinking of asset allocation in terms of factor exposures (e.g. inflation) that transcend traditional asset class definitions. This trend appears to be a response to the extreme influence of macroeconomic factors during the financial crises of the past few years, and to the extremely large size of some funds which makes tactical shifts in asset allocation more difficult.

Keywords: Asset Allocation, Factor Exposure, Liquidity

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Risk and Asset Allocation Inclusive of Pension Funding, “Full” and Otherwise
June 1, 2012
Dan diBartolomeo, President, Northfield
In June 2012, the US-based Government Accounting Standards Board initiated new standards under which cities and states would account for their liabilities arising from defined benefit pension funds. Pressure has been mounting on GASB to take action as underfunding of public pension funds has been widely reported upon in the financial press. Under the new standards, units of government that have very underfunded pension plans will be required to disclose such conditions in their financial statements, and also limits the extent to which pension funds can value their assets as the average market value over some historic observation period, thereby “smoothing” any apparent mismatch between assets and liabilities.

The New York Times reported that under the new standard it is estimated that in aggregate the funding level of US public pension funds will fall from 57% to 43% by application of the revised standards. Several academic studies have suggested the real economic value of the underfunding is between $1 Trillion and $2.5 Trillion.

We would assert that the conventional view of defined benefit pension plans for both corporate and public entities is substantially flawed because there is an implicit assumption that the sponsoring entity will exist in perpetuity and is essentially immune from default.


Keywords: Defined Benefit, FASB 87, Pension Plan

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Smarter Rebalancing: Using Single Period Optimization In a Multi-Period World
April 1, 2012
Dan diBartolomeo
Modern Portfolio Theory as introduced by Markowitz (1952) frames the time dimension of investing as a single period over which the parameters of the probability distribution of asset returns are both known with certainty and are unchanging. We know that neither assumption is true in the real world. The second assumption has received attention in the theoretical literature but there has been little progress in terms of practical implementations available to financial practitioners. In this paper, we will discuss simple approximations that can improve the ability of investment professionals to rebalance portfolios in ways that efficiently control portfolio turnover and the related costs of rebalancing.

Keywords: Markowitz, Modern Portfolio Theory, Multi-Period, Rebalancing

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The Ten Fundamentals of Pension Fund Risk Management
March 1, 2012
Dan diBartolomeo, President, Northfield
In January of 2012, I was called as an expert witness during litigation involving the San Diego County Employees Retirement Association. My testimony addressed various technical aspects of the investment policies, and the degree to which various risk reports provided to the SDCERA board did or did not conform to the requirements of their policies. In preparation for the litigation, I reviewed the investment policy statements of a large number of both public and corporate defined benefit pension plans.

The overall conclusion of that review was that the risk management policies of most pension funds are woefully inadequate in their conceptual representation of pension risk, leading to an inevitable failure in the execution of the risk management process. Here is our list of key issues


Keywords: Active Management, Investment Policy, Pension Risk

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Managing Portfolio Risk Over Short Horizons
September 1, 2011
Dan diBartolomeo, President, Northfield
The traditional formulation of Modern Portfolio Theory is a single period model where our beliefs about the distributions and correlations of asset returns are fixed. Essentially, there are only two concepts of time, now and the end of time. In the real world market conditions change from day to day and year to year. These changes are often of great magnitude. Our first challenge will be deal with the changing levels of risk over time.

MPT also assumes that all assets are completely liquid so transaction costs are zero. Again, in the real world transaction costs are not zero and in crisis conditions are often extremely large. Our second challenge will be to form a more realistic framework for this issue.


Keywords: Marginal Utility, Liquidity Risk, Short Horizon

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Portfolio-centric Algorithmic Execution of Equity Trades
December 1, 2010
Dan diBartolomeo, President, Northfield
Unknown to most clients, Northfield has been involved in the creation of trade execution algorithms since 2004. Algorithmic execution of buy-side orders has steadily gained an ever larger share of trading volume in most equity markets around the world. At the same time, the provision of liquidity from high-frequency trading operations has expanded even faster. Taken together, these two developments demand ever-increasing sophistication in execution algorithms. To that end, Northfield has created two new mechanisms for algorithmic execution. The first is a “pre-processor” that aligns the parameters of the execution algorithm to the composition and strategy of the underlying portfolio. The second is an enhanced version of our existing “trade scheduling” algorithm that breaks large orders (“parent order”) into a series of smaller trades (“child order”) to be executed over time.

Keywords: Algorithmic Trades, Implied Alpha, Trade Scheduling

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Strategy Risk and the Central Paradox of Active Management
June 1, 2010
Dan 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

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Equity Risk, Credit Risk, Default Correlation and Corporate Sustainability
June 1, 2010
Dan diBartolomeo, President, Northfield
Starting with Merton (1974), financial researchers have long understood the theoretical links between equity risk and credit risk. While structural models of credit risk such Moodys-KMV have been available for some time, we have developed a new approach to use of such models. In our approach, we derive the market-implied expected life of a firm based on the firms stock price, balance sheet leverage and the equity risk forecast from our models. We first translate the equity risk forecast into a forecast of volatility of a firms assets. An option framework similar to Merton (1974) and Leland (1994) is then used to derive an expectation of market implied expiration date of the option, which is a proxy for expected life of the firm. Two methods for improving estimates of default correlation are provided. We will also show empirical uses of the technique at both the firm level as a measure of credit risk and at the market level as a metric for systemic risk. Finally, we will also present evidence that the concept of corporate sustainability as broadly used by socially responsible investors appears to supported, with purportedly sustainable firms having average expected lives which are longer than those of non-sustainable firms to a statistically significant degree.

Keywords: Credit Risk, Factor Risk, Sustainability

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Comments on the Efficacy of Sign Constraints in Portfolio Construction
January 8, 2010
Dan 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

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Equity portfolio risk (volatility) estimation using market information and sentiment
December 9, 2008
Dan 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

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Estimation of a Global Liquidity and Trading Cost Model
September 1, 2008
Dan diBartolomeo
There is an extensive amount of literature on how to predict the extent to which the introduction of a trade of a particular size will impact prices of a stock. Numerous models exist both in the academic literature and within the practitioner community. However, empirical estimation and validation of such models has been published only for US data, with essentially nothing available on other global stock markets.

This paper will attempt to contribute to this area of research in three ways. First, we will propose a particular functional form for market impact models that we believe has certain important advantages over the models currently available to practitioners. We will also illustrate the empirical estimation of this model. Secondly, we will introduce a very simple method for extending any existing model of US trading costs to any market around the world, particularly those with very low liquidity levels. Finally, we will introduce a method for estimating this class of models from “tick data” that is available for all global markets.


Keywords: Liquidity, Market Impact Model, Trading Costs

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Thirteen Questions Risk Models Can Answer for Asset Managers and Their Clients
June 1, 2008
Dan diBartolomeo, Northfield
Over the years, it has become very clear to us at Northfield that many of our clients use the risk assessment systems in the bare minimum way of simply producing a routine risk decomposition report for a portfolio on some periodic basis. However, the risk models and related software that we provide can be used to enhance the effectiveness of the entire investment process from investment policy to trading, in ways that are not available without formal risk assessment. This paper offers a list of issues for which asset managers should take advantage of their risk systems.

Keywords: Active Manager, Benchmark, Volatility

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Fat Tails, Liquidity Limits and IID Assumptions
March 1, 2008
Dan diBartolomeo, Northfield
In the six months preceding March 2008, equity markets exhibited some very volatile returns over short periods. Beginning with the “sub-prime” meltdown in August, many fund managers, particularly those with a quantitative approach have experienced substantially negative returns.

The financial press has brought forward numerous, sometimes conflicting explanations of the causes. Some articles have suggested that extremely rare events (e.g. seven to ten standard deviations) have been observed on several occasions between August and today in various markets. This explanation is paradoxical because it simultaneously asserts that these large return events are very, very rare and yet have occurred frequently between September 2007 and March 2008.


Keywords: Fat Tails, Liquidity, Sub-Prime Meltdown

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Market Impact and Optimal Equity Trade Scheduling
October 2, 2007
Dan 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

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Applications of Portfolio Variety
January 25, 2007
Dan 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

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Portfolio Analysis of Investment Funds with Undisclosed Holdings
January 1, 2007
Dan diBartolomeo, Northfield
A common problem for institutional investors is the need to analyze the risk and performance of a fund of which the underlying holdings are unknown. This problem is most common with respect to hedge funds that choose not to disclose their holdings to investors, but also arises with traditional mutual funds for which public disclosure of holdings is done infrequently or not in a timely fashion. t the request of a European client, Northfield created an analytical procedure to deal with such situations.

Keywords: Hedge Fund, Holdings, Style Analysis

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A New Approach to Real Estate Risk
October 1, 2005
Dan 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

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A Unified Approach to Monitoring and Evaluating Investment Managers
October 1, 2005
Dan diBartolomeo, Northfield
Using specific techniques from our ART software, we have formulated a new process for monitoring and evaluating investment managers. Extensive empirical studies on this technique suggest that it is effective in predicting one-year end relative manager performance to a degree which is both statistically and economically significant.

Investors are constantly looking to invest with superior active managers, but have a hard time finding the managers that will be superior in the future. Typically, active managers are evaluated by looking at simple performance measures over fixed past time periods. In our process, we use a combination of returns based style analysis, CUSUM analysis and a Bayesian framework for past excess returns.


Keywords: CUSUM Analysis, Manager Performance, Return Based Style Analysis

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Growth/Value/Momentum Returns as a Function of the Cross-sectional Dispersion of Stock Returns
January 14, 2003
Dan 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

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Total Plan Risk: Integrating Assets into a Consistent Risk Framework
November 1, 2002
Dan 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

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Portfolio Theory, Speculation, and the PRC Stock Market
October 1, 2002
Dan 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

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Measuring and Controlling Your Investment Risk
September 1, 2002
Dan 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

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Making Covariance-Based Portfolio Risk Models Sensitive to the Rate at which Markets Reflect New Information
February 1, 2002
Dan diBartolomeo and Sandy Warrick
Multiple factor models of security covariance have been widely adopted by investment practitioners as a means to forecast the volatility of portfolios. In that such models arise from the tradition of Markowitz’s Modern Portfolio Theory, they have generally been based on a single period assumption, where future risk levels are presumed to not vary over time. In reality, risk levels do vary substantially and modifications of the underlying assumptions of multiple factor covariance models must change to reflect this fact. Our paper reviews the way new information is absorbed by financial markets and contributes a model of how such information can be reflected more efficiently in estimates of future covariance, through the inclusion of implied volatility information. We conclude with an empirical example regarding market conditions before and after the events of September 11, 2001. Not only does this example illustrate the value of including implied volatility as a component to covariance forecasts, but also suggests that some market participants may have acted in anticipation of the tragedies.

Keywords: Covariance, Factor Models, Markowitz’s Modern Portfolio Theory

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Estimating Nonlinear Effects of Management Styles in the US Equity Market
October 8, 2001
Sandy 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

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Approximating the Confidence Intervals for Sharpe Style Weights
July 13, 2000
Dan 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

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The Enhanced Index Fund as an Alternative to Indexed Equity Management
May 20, 2000
Dan 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

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Recent Advances in Management of Taxable Portfolios
May 15, 2000
Dan 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

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A View of Tobacco Divestiture by CalSTRS
April 5, 2000
Dan 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

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Recent Time Variation in the Level of US Equity Security Risk
March 22, 2000
Dan 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

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An Empirical Investigation of the Performance of Small Capitalization and Mid-Capitalization Equity Strategies
October 31, 1999
Dan 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

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Getting an Early Jump on Market Anomalies: Lessons from the Internet Stock Phenomenon
October 25, 1999
Dan 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

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Managing Risk Exposures of Socially Screened Portfolios
September 9, 1999
Dan 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

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Suitability and Optimality in the Asset Allocation Process
September 1, 1999
Paul 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

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A Radical Proposal for the Operation of Multi-Manager Investment Funds
August 20, 1999
Dan 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. https://www.brandig.co.uk 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

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Quantitative Investing as a Liberal Art
July 20, 1999
Dan 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

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An Equilibrium Term Structure Approach to Asset/Liability Analysis
July 1, 1999
Dan 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

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Active Returns from Passive Management
February 8, 1999
Dan 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

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Optimization with Composite Assets Using Implied Covariance Matrices
December 27, 1998
Dan 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

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Implementation of Equity Return Forecasting Methods
December 20, 1998
Dan 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

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A Review of Moodys Methods Used to Assign Credit Ratings to Collaterized Loan Obligations
August 11, 1998
Dan 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

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Why Factor Risk Models Often Fail Active Quantitative Managers?
June 23, 1998
Dan 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

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Risk of Equity Securities and Portfolios
December 22, 1997
Dan 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

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Value, Growth and Alpha Measurement Biases
October 15, 1997
Dan 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

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Time Series Properties of Valuation Models
June 1, 1996
Dan 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

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Risk Measurement Bias in the Northfield APT Model
September 30, 1994
Dan 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

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Systems and Technology for Municipal Bond Trading and Portfolio Management
February 12, 1994
Dan 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

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Portfolio Optimization: The Robust Solution
December 21, 1993
Dan 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

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Behavior of Gold Mining Equities: Gold Prices and Other Influences
November 10, 1993
Dan 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

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Unbundling Investment Research from Trading
March 5, 1992
Laura Alpert
Most brokerage firms are still having a great deal of difficulty making cost allocations that satisfy themselves - let alone allocations that will satisfy inquiring institutions. To gain a better perspective of the problem, a comparison with the marketing process of most products may be helpful. There must be an intrinsic value to every product being sold. There is value added to the product through whatever delivery system is used. Finally, there is a cost associated with marketing the product.

Keywords: Money Manager, Plan Sponsor, Price Schedule, Transaction Costs

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Estimation Error in Asset Allocation
May 30, 1991
Dan 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

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Complete Attribution of Risk & Return Demonstration
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BOOKS, BOOK CHAPTERS AND JOURNAL PUBLICATIONS:
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Applications of Portfolio Variety
July 8, 2011
Dan diBartolomeo

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Approximating the Confidence Intervals for Sharpe Style Weights
June 11, 2011
Dan diBartolomeo and Angelo Lobosco

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Asset Allocation for High Net-Worth Investors
June 4, 2011
Dan diBartolomeo

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Asset/Liability Management for the Private Client
June 3, 2011
Dan diBartolomeo

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The Discretionary Wealth Hypothesis in an Arbitrage-Free Term Structure Approach to Asset-Liability Management
June 1, 2011
Dan diBartolomeo

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Equity Portfolio Risk Estimation Using Market Information and Sentiment
April 23, 2011
Dan diBartolomeo, Gautam MItra and Lila Mitra

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Equity Risk, Default Risk, Default Correlation and Corporate Sustainability
April 16, 2011
Dan diBartolomeo

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Fat Tails, Tall Tales and Puppy Dog Tails
April 8, 2011
Dan diBartolomeo

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x
Investment Management for Private Taxable Wealth
March 31, 2011
Dan diBartolomeo, Jeffrey Horwitz and Jarrod Wilcox

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Investment Performance Measurement and the Probability Distribution of Pension, Assets, Liabilities and Surplus
March 26, 2011
Dan diBartolomeo

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x
Just Because We Can Doesn't Mean We Should: Use of Daily Data in Performance Attribution
March 19, 2011
Dan diBartolomeo

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x
KLD Catholic Values 400
March 6, 2011
Dan diBartolomeo and Lloyd Kurtz

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x
Life Cycle Funds: Investment Policy, Portfolio Construction and Rebalancing
March 5, 2011
Dan diBartolomeo

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The Long-Term Performance of a Social Investment Universe
March 5, 2011
Dan diBartolomeo and Lloyd Kurtz

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Making Covariance-based Portfolio Risk Models Sensitive to the Rate at which Markets Reflect New Information
February 28, 2011
Dan diBartolomeo and Sandy Warrick

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Managing Investment Portfolio Risk (Really!)
February 19, 2011
Dan diBartolomeo

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x
Measuring Investment Skill Using the Effective Information Coefficient
February 12, 2011
Dan diBartolomeo

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x
Mutual Fund Misclassification: Evidence Based on Style Analysis
February 5, 2011
Dan diBartolomeo and Erik Witkowski

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News Analytics in a Risk Management Framework for Asset Managers
January 29, 2011
Dan diBartolomeo

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Portfolio Management Under Taxes
January 22, 2011
Dan diBartolomeo

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x
The Risk of Equity Securities and Portfolios
January 15, 2011
Dan diBartolomeo

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x
Risk Management for Public Pension Funds: Still Trying to Not Waste the Crisis
January 13, 2011
Dan diBartoloomeo and John Minahan

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x
Socially Screened Portfolios: An Attribution Analysis of Relative Performance
January 8, 2011
Dan diBartolomeo and Lloyd Kurtz

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x
Systems and Technology for Municipal Bond Trading and Portfolio Management
January 1, 2011
Dan diBartolomeo

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x
Using News as a State Variable in Assessment of Financial Market Risk
December 25, 2010
Dan diBartolomeo

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