// prevent FOUT
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.
NORTHFIELD PAPERS
 
NORTHFIELD RESEARCH PUBLICATIONS
x
The Low-Volatility Anomaly, Interest Rates and the Canary in a Coal Mine
March 19, 2017
Edward Qian and Wayne Qian, PanAgora Asset Management
Capital markets are interconnected. The low volatility anomaly in equity markets can be partly attributed to change of interest rates in fixed income markets. We extend this contemporaneous relationship to serial relationship across time. It is shown that returns from low volatility anomaly in US stocks have information about changes of US treasury yields in the future. Specifically, when low volatility stocks outperform high volatility stocks, treasury yields tend to decline subsequently. This relationship does not seem to exist in the opposite direction. Trading strategies in US Treasury note futures based on forecasting models using this relationship would have been profitable. Even though common perception is that the bond market is more prescient than equity market in terms of anticipating market movements and economic shocks, in this instance, we show that equity investors move ahead of bond investors and they are the canary in a coal mine.

Keywords: Beta-neutral, CAPM, Low Volatility, Russell 3000

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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. Recent analytical and technological advances have removed some of the impediments to such implementation. In addition, changes in financial market conditions have increased the attractiveness of such an arrangement.

Keywords: fund of funds, multi-manager investment funds

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
NORTHFIELD NEWSLETTER ARCHIVES
x
Northfield News - Table of Contents
January 1, 2020
This document is a listing of all prior articles covered in Northfield News.

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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.

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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,

Download Document
x
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
.
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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,

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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)

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
CONFERENCE AGENDA ARCHIVES
x
Webinar: Risk, Uncertainty and Time Horizon: What Most Risk Models Get Wrong!
March 30, 2017

Download Documents:
Click document title to download.
x
Webinar: Minimum Variance Portfolios
February 28, 2017

Download Documents:
Click document title to download.
x
Online Workshop: Risk Tolerance in Optimizations
February 9, 2017

Download Documents:
Click document title to download.
x
Webinar: Replicating Residential Real Estate Returns with Liquid Market Instruments
January 26, 2017

Download Documents:
Click document title to download.
x
Webinar: Risk Parity, Factor Investing and US DOL Regulation of Defined Contribution Retirement Plans
December 20, 2016

Download Documents:
Click document title to download.
x
Webinar: Equity Factor Timing and Kiddie Bowling
November 29, 2016

Download Documents:
Click document title to download.
x
Webinar: Advanced Techniques for Wealth Managers and Family Offices
October 27, 2016

Download Documents:
Click document title to download.
x
Webinar: Credit Spreads - The Flipside of the Default Distribution
September 27, 2016

Download Documents:
Click document title to download.
x
Webinar: Passive Management, Market Efficiency and Long Term Return Premia
August 24, 2016

Download Documents:
Click document title to download.
x
Webinar: Estimation of Event Risk: Crashes, Brexit, and Whatever Comes Next
July 26, 2016

Download Documents:
Click document title to download.
x
Webinar: Global Wealth Management and the Panama Papers
June 30, 2016

Download Documents:
Click document title to download.
x
Webinar: Making Lifetime Investing Planning a Reality
May 24, 2016

Download Documents:
Click document title to download.
x
Webinar: Custom Hybrid Risk Models
April 28, 2016

Download Documents:
Click document title to download.
x
Webinar: Diversification and Real Estate, Part II
March 29, 2016

Download Documents:
Click document title to download.
x
Webinar: Rules-Based Style Rotation: Dynamic Switching between Smart Portfolios
February 23, 2016

Download Documents:
Click document title to download.
x
Webinar: An Optimized Approach to Scenario Driven Risk Simulations
January 28, 2016

Download Documents:
Click document title to download.
x
Webinar: Reconciliation of Default Risk and Spread Risk in Fixed Income
December 29, 2015

Download Documents:
Click document title to download.
x
Webinar: Risk Model Testing, or Horses for Courses
November 24, 2015

Download Documents:
Click document title to download.
x
Webinar: Back-testing: A Useful Tool or “Financial Charlatanism”?
October 22, 2015

Download Documents:
Click document title to download.
x
Webinar: Behavioral Aspects of Risk
September 29, 2015

Download Documents:
Click document title to download.
x
Webinar: Risk Model Testing and Regulatory Reporting
August 27, 2015

Download Documents:
Click document title to download.
x
Webinar: Diversification and Real Estate, Part I
July 28, 2015

Download Documents:
Click document title to download.
x
Webinar: Assessment of Corporate Credit and Counterparty Risk Using News Flow and Sentiment
June 30, 2015

Download Documents:
Click document title to download.
x
Webinar: Risk Systems That Read
May 28, 2015

Download Documents:
Click document title to download.
x
Webinar: The Choice of Model Factors Under Multiple Definitions of Risk
April 30, 2015

Download Documents:
Click document title to download.
x
Webinar: Optimal Deal Flow for Illiquid Assets
March 31, 2015

Download Documents:
Click document title to download.
x
Webinar: "Guaranteed" Alpha - Using Risk Budgeting to Improve Performance by Reducing Management Fees and Other Expenses
February 24, 2015

Download Documents:
Click document title to download.
x
Webinar: Alpha Estimation and the Definition of Asset Specific Risk
January 7, 2015

Download Documents:
Click document title to download.
x
Webinar: Smart Portfolios
November 20, 2014

Download Documents:
Click document title to download.
x
Webinar: Measuring Skill in Active Managers
October 1, 2014

Download Documents:
Click document title to download.
x
Webinar: Risk Management Priorities for Asset Owners - What Senior Management and Trustees Need to Know
August 26, 2014

Download Documents:
Click document title to download.
x
Webinar: Portfolio Optimization with VaR, CVaR, Skew and Kurtosis
July 16, 2014

Download Documents:
Click document title to download.
x
Asset Owner Webinar Series: Challenges Facing Asset Owners in Modeling Illiquid Assets as Part of an Overall Plan Portfolio
May 13, 2014

Download Documents:
Click document title to download.
x
Private Wealth Webinar Series: How Common Practice Falls Short of Best Practices
April 8, 2014

Download Documents:
Click document title to download.
x
Webinar: There’s More to Evaluating Risk in Real Estate Portfolios than Location, Location, Location!
March 5, 2014

Download Documents:
Click document title to download.
x
Webinar: Risk Decomposition of Investment Portfolios
January 29, 2014

Download Documents:
Click document title to download.
x
Webinar: Optimization 101
October 22, 2013

Download Documents:
Click document title to download.
x
Webinar: Liquidity Planning Tools and Strategy Capacity for Equity Markets
January 23, 2013

Download Documents:
Click document title to download.
x
Webinar: Third Generation Northfield Risk Models
November 8, 2012

Download Documents:
Click document title to download.
x
Webinar: Wealth Management, Investor Suitability, Fiduciary Requirements and Financial Regulation
September 19, 2012

Download Documents:
Click document title to download.
x
Workshop: How to Use the Northfield Optimizer in R and MATLAB®
April 3, 2012

Download Documents:
Click document title to download.
x
Workshop: Recent Product Enhancements from Northfield Research
September 13, 2011

Download Documents:
Click document title to download.
x
Webinar: A Detailed Examination of Minimum Variance and Low Volatility Equity Strategies
July 12, 2011

Download Documents:
Click document title to download.
x
Workshop: Optimization for Northfield Users
May 10, 2011

Download Documents:
Click document title to download.
x
Webinar: Key Elements of Risk Control for Asset Managers
March 8, 2011

Download Documents:
Click document title to download.
x
Workshop: Lies and Perfomance Attribution
January 25, 2011

Download Documents:
Click document title to download.
x
Webinar: Redefining Private Equity Real Estate Risk
December 7, 2010

Download Documents:
Click document title to download.
x
Webinar: The Central Paradox of Active Management
October 19, 2010

Download Documents:
Click document title to download.
x
December 31, 1969

Download Documents:
Click document title to download.
ESSAYS AND COMMENTARIES
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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

Download Document
x
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. 

Download Document
x
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.

Download Document
x
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

Download Document
BOOKS, BOOK CHAPTERS AND JOURNAL PUBLICATIONS
x
Applications of Portfolio Variety
July 8, 2011
Dan diBartolomeo

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Request Document
x
Portfolio Management Under Taxes
January 22, 2011
Dan diBartolomeo

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

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

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

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

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

Request Document