White papers/Case studies

Black-Litterman and Home Prices in StyleADVISOR

Tue, 2005-03-01

Black-Litterman: Asset allocations you can actually use!
Have you given up on mean variance optimization because the resulting asset allocations are unintuitive and anything but diversified? The sophisticated Black-Litterman asset allocation model helps you realize the benefits of mean variance optimization by creating portfolios that you can use.

How does the Black-Litterman Model Calculate Return Forecasts?

The Advisor Volume 35: Zephyr Universes

Wed, 2003-10-01

Because of our superior methodology, investment professionals are using Zephyr Universes for peer group analysis. This newsletter discusses the Zephyr Universes in detail, including our new domestic fixed income universes, our methodology for the domestic equity universes, how to create your own universes and much more. Also, a further exploration into Monte Carlo simulation, Dr. Becker's Math Corner, information about online training and much more.

Zephyr PowerPresenter

Thu, 2002-08-01

You create a PowerPoint presentation easily and directly from StyleADVISOR. This capability is one of many features we are adding to StyleADVISOR to help you work more efficiently. Check out just how easy it can be.

StyleADVISOR Model Selection

Sat, 2000-01-01

The Dangers of Misusing Returns-Based Style Analysis

Wed, 2001-01-03

Gerald W. Buetow and Hal Ratner in their recent article, "The Dangers in Using Returns-Based Style Analysis in Asset Allocation," have amply demonstrated the dangers of blaming a poorly understood and poorly used tool. We will analyze the six funds that Buetow and Ratner did, show where they went wrong in their analyses, and demonstrate that returns based style analysis, when done properly, provides accurate results. First we will list B&R's conclusions, then show why, with proper analysis, their conclusions are wrong.

Daily vs. Monthly Analysis

Tue, 2001-10-02

Also presented at our 2001 User's Conference this article looks at the differences in detecting style shifts using daily versus monthly data using a few different Fidelity funds and the Prudential sector indexes as indices.

Daily Style Monitoring

Tue, 2001-10-02

Also presented at our 2001 User's Conference this article looks at how daily data can be used for style and sector monitoring of any manager where daily returns are available.

Daily Energy Sector Analysis

Tue, 2001-10-02

Originally presented at our 2001 User's Conference this article looks at how daily data can show shifts in mutual fund holdings over a short time period. On July 13, 2001 the Wall Street Journal reported that a handful of mutual funds had recently increased their exposure to energy stocks. For each fund they gave the percentage of energy exposure on a specific date. We thought that this would be a good test for daily style analysis.

Master of the Universes

Wed, 2002-01-30

As many people know, StyleADVISOR is not only a style analysis program; it is also a performance analysis program. This includes the ability for the user to easily create their own custom “peer groups” or “universes” of any size for performance comparisons. This document covers this process step-by-step and also some of the most commonly asked questions about this topic. After reading this, you will be on your way to becoming the “Master of the Universes.”

In Search of the Ultimate Equity Portfolio

Wed, 2002-03-27

The goal of this project is to illustrate a technique that can be used by StyleADVISOR/AllocationADVISOR users for going through a large database of managers to create superior performing portfolios.


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