Company related News

Sanjay Puri featured on AdvisorOne's New Hire Roundup

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Zephyr featured in Financial Planning's Daily

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Zephyr's Marc Odo featured in the Wall Street Journal's Blog, Voices

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Automated Trader features Thomas Becker, Ph.D. of Zephyr Associates, Inc.

In 1996, the quant trader Lars Kestner published a book introducting the K Ratio as a complement to the Sharpe Ratio. In 2003, he modified the K Ratio and published a revised version of his book to explain why. Thomas Becker of Zephyr Associates thinks he was right the first time. Read the article: A subscription is required to view the full digital edition.


Pensions & Investments features Zephyr's Marc Odo on target date funds

Marc Odo, Director of Applied Research, discusses "Comparing target date funds using returns-based style analysis," in Pensions & Investments. Click here to view the full article.

PRESS RELEASE: Zephyr Associates Continues Expansion of U.K. Office

Zephyr_Expands_its_London_Office_12132011.pdf94.67 KB

Will Clemens Quoted in Investment Advisor's November Issue

Will Clemens, CEO of Zephyr Associates, was quoted in Investment Advisor's November issue: Integration Key to Tech Advantage. Article:

PRESS RELEASE: Utilizing the Black-Litterman Model to Accommodate Alternative Investments

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FUNDfire Q&A: How Can Managers Show Risk Management Skills?

How Can Managers Show Risk Management Skills?
Q: How can managers provide effective reports to institutions that demonstrate the strength of their risk management practices? 

--CEO, asset management service provider, U.S. East Coast 

A: For managers that want to truly understand the strength of their risk management practices, we encourage them to look beyond the standard market analysis toolkit that has dominated the industry for decades. Standard deviation and the Sharpe ratio – measures of absolute volatility and performance versus a market benchmark, such as alpha or information ratio – are useful, but they provide an incomplete picture of risk and risk management. 

Investors are no longer interested only in outperforming a benchmark. They want to know how much money they lost during the bear market, if those losses have been recovered, and how long it took or will take to regain ground in their portfolio. Their risk analysis should reflect this shift. 

Yet the established way to analyze performance numbers, such as comparing an investment's performance to the market over the last one, three, five or 10 years, can only provide a limited view. In the real world, markets don't move in perfect three- or five-year blocks. 

A better risk measurement is to analyze market performances against those in set time periods, such as the dot-com bubble burst in March 2000 or the beginning of the credit crunch in August 2007. After all, if investors are seeking a superior high-yield bond manager in today's environment, would it make sense to choose the manager with the best three-year performance as of June 30, 2011? Or would it be better to focus on managers that performed well during times of duress? 

Risk analysis must also focus on quantifying an investor's exposure to tail risk. So-called “100-year storms” and “black swans” happen much more frequently than their names reflect. Various metrics aid in the reporting of tail risk for managers and foster discussions about how to prevent major downside losses. For example, omega measures the count and scale of observations above and below a breakpoint. Skewness is a measurement of whether distribution is dominated by tail events in one direction or if it is symmetrical. Kurtosis measures whether volatility in an investment comes from a few extreme events or if it is spread evenly throughout the distribution. 

Viewing risk through these emerging techniques can provide a more holistic picture when used in conjunction with market benchmarks and absolute volatility measures. We encourage our managers to use the pain ratio (a reward-versus-risk tradeoff similar to the Sharpe ratio that uses the pain index as its measure of risk) to compute the frequency, depth and duration of their losses. They can use the information as part of reflective measures to help them identify risk and react to it in their portfolio. 

If investors and managers alike have a solid understanding of the overall risk metrics, both traditional and emerging, neither party will be as surprised or vulnerable when unexpected events occur. 

--Marc Odo, Director of Applied Research, Zephyr Associates, Inc.

PRESS RELEASE: Zephyr Announces Client Conference Focused on Delivering Results

081711_Zephyr_conference_release_FINAL.pdf65.85 KB

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