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SpeakersDownload the full conference brochure and agenda.
Featured Speaker
The world of finance thrives, and periodically stumbles, on its obsession with mathematics and physics. Emanuel Derman, author of My Life as a Quant and co-developer of the Black-Derman-Toy interest rate model, provides a critical look at the uses and abuses of math and physics in modeling the financial world, and discusses the appropriate way to use mathematical models in finance. Emanuel Derman (www.ederman.com) is a professor at Columbia University and director of their program in financial engineering, and is also the Head of Risk at Prisma Capital Partners, a fund of funds. His book, My Life as A Quant: Reflections on Physics and Finance was one of Business Week’s top ten books of the year for 2004. Dr. Derman obtained a Ph.D. in theoretical physics from Columbia University in 1973. Between 1973 and 1980 he did research in theoretical particle physics, and from 1980 to 1985 he worked at AT&T Bell Laboratories. In 1985 Dr. Derman joined Goldman Sachs' fixed income division where he was one of the co-developers of the Black-Derman-Toy interest-rate model. From 1990 to 2000 he led the Quantitative Strategies group in the Equities division, where they pioneered the study of local volatility models and the volatility smile. He was appointed a Managing Director of Goldman Sachs in 1997. In 2000 he became head of the firm’s Quantitative Risk Strategies group. He retired from Goldman, Sachs in 2002. Dr. Derman was named the IAFE/Sungard Financial Engineer of the Year 2000 and was elected to the Risk Hall of Fame in 2002. Track One: Portfolio Management
Shorting has become a controversial tactic this year. What effective
tools exist to produce results on the short side? Should shorts be viewed
differently than longs? The goal of shorting should be to hedge the market
when current assumptions don't play out as hoped. Yet, many on the short
side struggle at exactly the wrong time. The speaker will focus on the
concept of managing shorts from a short only, total portfolio perspective
absent
of any long holdings. Discussion will not be about how to find individual
shorts, but rather how to deal with a portfolio that is always short
as they manage Leuthold.
With the wide variety of ETFs now available, investors are beginning to appreciate the value of using ETFs as an active tool to generate alpha (returns above the market) rather than a passive placeholder to preserve Beta (market returns). For nearly five years we have utilized ETFs in an alpha-generating capacity and are using this session to share a few of our strategies to aid "do-it-yourselfers" in integrating a successfully tested methodology into their portfolio management practices. Doug Sandler was formerly a Managing Director and Chief Equity Strategist of Wachovia Securities, where he was responsible for the equity advice portion of the Advisory Services Group. He led a team of talented and experienced portfolio managers and strategists, whose goal was to provide independent and unambiguous equity advice. The work of his team included actively managed portfolios, weekly investment pieces and the regular monitoring of widely held positions of the firm's clients. Mr. Sandler's career at Wachovia Securities, which began in 1992, has included positions in fixed income trading, portfolio management, and marketing. He received his CFA designation in 1997 and earned a BS in Accounting and an MBA from the University of Richmond, graduating with honors. Mr. Sandler is a regular guest on the financial news channels (CNBC, Bloomberg) and is frequently quoted in the financial press.
A FIS Group study on emerging managers found that there
are significant relationships between asset levels that traditionally determine
a manager's status as emerging and various measurements of risk-adjusted
return in certain style groups and certain types of markets. Those measurements
include the Information Ratio, Sharpe Ratio and Sortino Ratio. Now,
FIS is conducting an update study on the relationship between Fund Size
and Performance and to determine what factors Tina Byles Williams chairs FIS Group's Investment Committee, overseeing all investment strategy, manager search and disposition decisions. As an African-American female entrepreneur who has endeavored to be a trailblazer in the investment management business, Ms. Byles Williams founded FIS Funds Management Inc., and Fiduciary Investment Solutions Inc., (now FIS Group,Inc.) in 1996. Prior to founding FIS Group, Ms. Byles Williams was a principal and senior consultant at WHP, Inc., then the nation’s first and only full-service minority pension investment consulting firm. Before joining WHP in 1994, Ms. Byles Williams served as Chief Investment Officer of the $2.5 billion City of Philadelphia Board of Pensions and Retirement. She is a recipient of the Thurgood Marshall Award for Excellence in Business and sits on several boards, including the State of Pennsylvania’s $50 billion Public Schools Employees’ Retirement System and the Methodist Home for Children Foundation. Ms. Byles Williams was inducted into the New York City NASP Wall Street Hall of Fame in February 2008.
In this session, the speaker will discuss the importance of risk management and performance attribution analytics across a global multi-asset organization. Yury Dubrovsky is a Managing Director and Chief Risk Officer at Lazard Asset Management LLC. He and his Global Risk Management team are responsible for all aspects of risk management at the firm, covering equity and fixed income universes for both traditional as well as alternative (hedge funds) investments. In addition, Mr. Dubrovsky is in charge of the quantitative analysts who provide support to portfolio management teams on portfolio construction issues, execute the initial phase of the research process, and provide portfolio attribution analytics. Prior to joining Lazard in 2005, he was Global Head of Market Risk Management for Emerging Markets and G20 Credit Products with Credit Suisse First Boston, Global Head of Exposure Management for Emerging Markets and also served as Regional Head of Exposure Management for the Americas with Deutsche Bank AG, Senior Technology Auditor with JP Morgan & Co. and a Senior Programmer/Analyst with AT&T, SBS International and Kiev Polytechnic University. He has an MBA in Finance from St. John’s University and MS (Hons) in Mechanical Engineering from Kiev Polytechnic University. Mr. Dubrovsky is a member of the CFA Institute, New York Security Analysts Society, International Association of Financial Engineers, Global Association of Risk Professionals, and Capital Markets Credit Analyst Society.
Understanding investment results relative to peers as well as performance benchmarks is often the missing piece of the puzzle for many investors. In this session Rolf will use analysis readily available on FactSet to delve into US and Global portfolio performance and reveal the impact asset allocation and portfolio construction decisions have when compared to both standard industry benchmarks and peer group analysis.
For many years, quantitative investment manager due diligence practices have been guided by modern portfolio theory (MPT) and MPT-like statistics, which do not provide adequate intelligence to discern what works best for developing manager insights and forecasting manager performance. To avoid falling prey to these flawed approaches, the speaker will address the role of quantitative investment due diligence in the framework of overall manager selection. He also will examine why manager due diligence should work in tandem with qualitative manager selection approaches. To convey how this approach works in practice, a guided case study will be used. David Marshall is a senior investment research specialist, responsible for the team’s quantitative research analysis, discretionary portfolio management and manager platform oversight. He also serves as the primary day-to-day research liaison with IPG’s market partners, Banc of America Investment Services, Inc., U.S. Trust, Bank of America Private Wealth Management, and Bank of America’s philanthropic, retirement and ultra-high-net-worth business lines. Prior to joining Bank of America, he worked as a bond trader at J.P. Morgan Securities and as an investment analyst at Commonwealth Financial and New England Pension Consultants, where he was responsible for strategic and tactical asset allocation, quantitative research, portfolio construction and investment manager due diligence. He completed his bachelor’s degree from Morehouse College with a double concentration in finance and management. Mr. Marshall holds the Financial Risk Manager designation, the Chartered Alternative Investment Analyst designation, and is a CFA charterholder .
Many advisors, plan sponsors, and consultants find the search for alpha to be elusive, especially in domestic equity style universes. Some are eschewing long-only active domestic equity management altogether and substituting alternative investments to add excess returns to client portfolios. This presentation examines how traditional portfolio construction methods and commonly used manager selection processes have led to inefficiencies. Further, some newly adopted construction methods may even more negatively impact investors. If traditional methods are inefficient and new methods may be even worse, what can be done to help improve performance? This presentation proposes a portfolio construction method that helps advisors, plan sponsors, and consultants execute investment policy targets without having to abandon long-only active managers or over allocate to illiquid alternative investments. Good long-only managers do exist, but traditional search methods could be altered in order to identify these managers. Finally, we will discuss what this alternative method means to the managers being evaluated. Tony Waskiewicz has nearly 20 years of portfolio management and investment consulting experience. He is one of few individuals who hold both the CFA Charter and the Certified Investment Management Analyst (CIMA) designation. Most recently, he served as the CIO for Blue Heron Capital, LLC in Washington, DC. Prior to that, he served as the Head of Treasury/CIO for Clark Enterprises, Inc., the holding Company for A. James Clark and the Clark family. At CEI, Mr. Waskiewicz was responsible for establishing asset allocation, conducting the manager/product due diligence (for both traditional and alternative products), and creating the overall investment and hedging strategies for each of the portfolios. He has also worked as a consultant for Morgan Stanley, the Head of the Mid-Atlantic Division for Evergreen Institutional Asset Management, a consultant for Mercer Investment Consulting, and as mutual fund representative for T. Rowe Price Track Two: Quantitative Investment Management Panel Discussion: Heightened Market Volatility and Its Impact on Short
and Long Term Risk Models Representatives from MSCI Barra and SunGardAPT will share their perspectives on current equity market volatility/turmoil and how it manifests differently in a short-term vs. long-term model. They will contrast how models from each provider respond to market conditions and take your questions for the majority of the session.
The topic of extreme events is becoming ever more important for risk management. Stress testing is a technique that is explicitly designed to deal with extreme shocks; however, its methodology and place in the risk process is often unclear to risk managers. This presentation will attempt to clear up misunderstandings about stress tests and provide methodology for its incorporation into the risk process as a supplement to risk measures such as tracking error, VaR, and expected shortfall. Daniel Satchkov is responsible for researching and developing risk products that offer FactSet clients the flexibility to respond to new challenges in the areas of risk measurement and risk reporting. He led the research and development of Monte Carlo Value at Risk techniques in the FactSet Portfolio Analysis application. Current areas of focus in Mr. Satchkov's research include global structure modelling and structural credit risk models. He joined FactSet in 2000, working intensively with clients to implement quantitative tools for strategy creation, risk analysis, and optimization. He holds and MBA and BS degree from the University of the Pacific.
There is so much information out there on value-at-risk (VaR), but how do you sort the wheat from the chaff? In an engaging romp through the buzzwords of risk management, Glyn Holton explains normal market conditions, flaws in VaR, risk appetite, enterprise risk management, stress testing, component VaR, and much more. You will learn what is important—and what is not—for managing risk with VaR. Glyn A. Holton is a financial author and consultant. He wrote Value-at-Risk: Theory and Practice, the first (and only) advanced text on value-at-risk. His groundbreaking paper Defining Risk explored the philosophical foundations of risk. More recently, his article Investor Suffrage Movement proposed a novel, market-based solution for the problem of corporate governance. Mr. Holton maintains a number of popular websites, including riskglossary.com, riskchat.com, riskbook.com, and GlynHolton.com. Prior to forming his consulting practice in May 1995, he worked as an actuary for Metropolitan Life. He was a vice president with Fidelity Investments, advising institutional clients on risk management and portfolio strategies. He also worked for the Bank of Boston, developing advanced analytics for quantifying the market and credit risk associated with the bank's trading activities. Panel Discussion: Techniques in Optimization Representatives from Axioma and Northfield will present as a panel. Gain insight into new developments in portfolio construction and optimization. Engage and challenge the specialists on the panel in an open Q&A and obtain side-by-side comparisons into their companies’ optimizers.
Alpha Testing’s flexibility, ease of use, and compatibility with numerous underlying databases enables the user to generate substantial backtest data. The presenter will review techniques that utilize Alpha Testing Report Manager, as well as Alpha Testing AT3 FQL Data Downloading codes, to aggregate backtest Data and create actionable information presented in a Dashboard format. Kevin Shea joined Boston-based Cadence Capital Management LLC in March 2008 as Director of Quantitative Research. Prior to joining Cadence, he was a Portfolio Manager at Batterymarch Financial Management. Earlier, he served as Founder, General Partner and Portfolio Manager of DA Capital Management, Portfolio Manager at Invesco Capital Management and Quantitative Analyst at John Hancock Funds. He has previously presented on “Techniques to Prevent Overfitting when Incorporating Neural Networks into Quantitative Investment Processes.” He has been an editor of the text Essentials of Investments. Mr. Shea holds a B.A. in Liberal Studies from the University of Notre Dame, a Masters in Biology from Harvard University, and an M.B.A. in Finance and International Business from Boston College. He achieved the CFA designation in 2002. Track Three: Fixed Income Analysis
An overriding mandate for Thrivent’s fixed income risk and performance analytical processes is that they use consistent modeling, assumptions, and implementation. Any disconnect in those items results in contentious risk and performance reporting that is less useful for making investment decisions. Thrivent mutual fund and insurance portfolio managers utilize almost all available U.S. domestic asset classes, including most complex security types and many types of derivatives. In this session, we will discuss Thrivent’s approach to data loading, security modeling, and portfolio risk and performance reporting, including discussing problem security types and how the quantitative group and portfolio managers find consensus (or not) in the analytical process. Bill Devens is a Senior Quantitative Analyst with Thrivent Financial for Lutherans (TFL). He manages the Fixed Income Quantitative Group, responsible for overseeing fixed income analytics and performance reporting. Additionally the group is responsible for relative value investment analysis, specific security and strategy risk measurement, insurance portfolio reporting and product pricing, and proprietary benchmark construction. Mr. Devens has been with TFL since 2004. Prior to that, he was the Managed Asset Risk Manager at Riversource (American Express). Mr. Devens also held various Treasury roles with U.S. Bank including investment portfolio, balance sheet management and asset securitization. He has an MS in Nuclear Engineering from Iowa State University and an MS in Finance from the University of Wisconsin – Madison.
Liability-driven investing offers an efficient and transparent way of measuring and managing risk. In this session, the presenter will cover liability driven investing in a life insurance company context and creating a benchmark based on life insurance liabilities and performance attribution. Kristin Ferguson is a Quantitative Risk Analyst for Securian Financial Group, Inc. Ms. Ferguson, who is a Fellow in the Society of Actuaries, graduated from Iowa State University with a bachelor's degree in mathematics and economics. She has worked at Securian since graduation in 2001, first in the annuity actuarial financial reporting area and now in the corporate actuarial unit. Efficient Price Estimation Method
and Applications to Fixed Income VaR While Value-at-Risk (VaR) has become an industry standard method for quantifying financial risk, its implementation in large portfolios of fixed income securities remains a challenge. Typically implemented through a Monte Carlo simulation framework, VaR and Expected Tail Loss calculations for large portfolios of fixed income securities often run into very real computational resource constraints. Here, we will detail a method for efficiently estimating the price a fixed income security from a set of primary risk factors and evaluate the trade-off between accuracy and computation time. The method is shown to produce very accurate estimates for horizons up to one month, with estimates remaining good over horizons up to three months. Bill McCoy is a Senior Product Manager in the Fixed Income group at FactSet. In this role, he actively works in research, client support and sales to help the firm enhance its position as a leading provider for comprehensive analytics for fixed income securities and the derivatives used to hedge them. Prior to FactSet, Mr. McCoy has worked for other fixed income software vendors as well as in fixed income portfolio management. He has written and spoken extensively on fixed income hedging and return attribution. He has a Master's degree in Operations Research from the University of North Carolina, and is a Chartered Financial Analyst. FAS 157: Valuing Hard to Value
Assets
The speaker, joined with Robert Robie, FactSet's Senior Product Specialist
for fixed income portfolio analytics, will discuss American Century's reconciliation
process of their taxable fixed income portfolios. Steps of the process
include loading internal data and ensuring accuracy of security and fund level returns
in Brent Merfen joined American Century in 1998 and has been on the Investment Project Team since 2008. His current project work includes developing and managing American Century's internal research database and internal order management system. He has defined reconciliation processes for American Century's internal equity and fixed income portfolio data within FactSet. Previously at American Century as a research analyst, Mr. Merfen helped define proprietary alpha models and portfolio construction techniques that led to the launch of eleven incubation portfolios and three mutual funds. He also worked for five years in Information Technology supporting equity portfolio management. New Valuation Techniques for Credit Sensitive RMBS This session will explore some of the new techniques that have been developed to help investors understand the intrinsic value and risk profile of illiquid MBS with credit exposure. Learn how Breakpoint analysis and credit-based OAS can help investors understand the likelihood that a bond will break and the degree of variability of cashflows at the bond level under a variety of economic scenarios.
This session will explore a variety of risk management issues for insurance companies, including quantitative and fundamental competencies and processes, separation of duties, communication and proactive preparedness, and broad diversity of perspectives. The speaker will also discuss collaborative and connective efforts versus competitive, siloed or limiting efforts, ALM dedication and cashflow management, active credit risk management, and concentration limit management for optimal diversification. Mark C. Abbott, PRM, is Managing Director and Head of Quantitative Risk Management for Guardian Life. He joined Guardian in 2001 and is responsible for risk management, quantitative strategies and research, asset allocation, economic capital and ALM. Mark has over 25 years of institutional risk management and quantitative research experience at BlackRock, Barra, Global Advanced Technology, Drexel Burnham Lambert and Merrill Lynch. He is a member of PRMIA, the Fixed Income Forum, Buy Side Risk Managers Forum, International Association of Financial Engineers (IAFE), and Lehman Brothers’ POINT Advisory Council and U.S. Analytics Advisory Council. Mark holds an M.A. in Mathematical Statistics from Columbia University, a B.A. from Columbia College, and PRMIA’s Professional Risk Manager (PRM) certification. Track Four: Industry and Market Trends
David H. Kurzman is Managing Partner of Kurzman Capital, LLC and Kurzman CleanTech Research, a Clean Technology investment research and consulting firm. Prior to launching his consulting firm, he served as Managing Partner of Kurzman CleanTech, L.P., a five-year-old hedge fund investing in clean-technology companies and led the CleanTech Research Group for Panel Intelligence, LLC, a primary research firm. Mr. Kurzman worked for nine years as a sell-side analyst, most recently as a Vice President of Equity Research with Needham & Co. where he led the Industrial Technology research effort. From 2000 to 2003, he was a Vice President of Research at H.C. Wainwright & Co. covering Alternative Energy and Industrial Technology companies. Between 1996 and 1999, Mr. Kurzman was an Analyst at Value Line Inc. and the Weitz Funds, an Omaha-based mutual fund company. His work has been recognized by leading news channels, including CNBC, PBS' Wall Street Week With Fortune, the British Broadcasting Company (BBC), Bloomberg News, Reuters, The New York Times, The Wall Street Journal, USA Today, Barron's Financial Weekly, BusinessWeek, Bloomberg Magazine, and Wall Street Research. Mr. Kurzman was named "Best On The Street" by The Wall Street Journal in 2003 for the area of Electronic Components and Equipment, was rated as a Zack's All-Star Analyst in 2001 and 2002.
Geoff Somes is a Vice President at State Street Global Advisors in Boston and Senior Economist with State Street's Economics team. Mr. Somes has been with SSgA since 2005 forecasting and analyzing economic events in the global economy and evaluating their impacts on financial markets. His research focuses on the U.S., the UK, Canada, and Australia. Mr. Somes has been a professional economist since 1991. Previously, he was Senior Economist with FleetBoston Financial Group in Boston and was Director of Macroeconomic Forecasting with consulting firm Economy.com in West Chester, PA. He also spent time in public service as a Financial Economist with the U.S. Department of the Treasury in Washington, DC, working on banking policy. Mr Somes received his BA with distinction in economics from Connecticut College in New London, CT, and his MA in economic policy from Duke University in Durham, NC. He also earned an MA in monetary theory and econometric analysis from Boston College in Chestnut Hill, MA, where he has also done doctoral work.
Garvin Jabusch is a longtime environmentalist and has been professionally engaged in the eco-sustainable investing movement since 2002. Before founding Green Alpha Advisors with Partners Maria Potapov and Jeremy Deems, he was the Director of Forward Sustainable Investments, a business unit of Forward Management, LLC. There his duties included supervision of and responsibility for all aspects of the management of the Sierra Club Stock Fund and the Sierra Club Equity-Income Fund. This included overseeing portfolio managers, manger performance evaluation, research, marketing, sales, operations and relationship management. In addition, Mr. Jabusch also directly co-managed the Sierra Club Stock Fund (SCFSX) and previously served as Vice President, Strategic Services at Morgan Stanley. His other experience includes trading, mutual fund sales and research and analysis. Mr. Jabusch holds an MBA in international management and finance from the American Graduate School of International Management (Thunderbird).
Sam Wilson joined JMP Securities in February 2003 and serves as Co-Director of Technology Research and a senior research analyst covering communications equipment. Prior to joining JMP, Mr. Wilson spent three years in equity research at Merrill Lynch following the data networking industry. From 1998 through 2000, he worked for Banc of America Securities covering semiconductor capital equipment and semiconductors. He previously spent four years at Applied Materials in various engineering and management positions. Mr. Wilson served as a captain in the United States Army, stationed in the United States and Europe, with training including Airborne, Ranger and air assault courses. He received a MBA from the University of California, Berkeley and a BS in electrical engineering with a minor in mathematics from Seattle University.
David Dropsey is a Senior Research Analyst with Thomson Reuters. As a member of Thomson Reuters Proprietary Research Group, he works on a team that specializes in U.S. equities and earnings. He co-produces widely used research reports, including This Week in Earnings, Weekly Aggregates, and Monthly U.S. Auto Sales. He has published many research observations found in “Lab Thomson”, a component of Thomson ONE Analytics, commenting on such areas of the market as energy and homebuilding. David has appeared repeatedly on CNBC and has also been quoted in various publications including: The Wall Street Journal, Barron’s, Financial Times, BusinessWeek, smartmoney.com, and Investors Business Daily. Prior to his current role, Mr. Dropsey was Senior Earnings Editor for Thomson Reuters Content and Operations group, focusing on the pharmaceutical and biotechnology sectors. In this role, he worked directly with sell-side analysts and investor relations groups to ensure data quality and provide direct communication with corporate clients. The Decline in U.S.
Stocks—Financial
Panic, Cyclical Correction, or Secular Bear Market? U.S. stocks registered significant declines in 2008. The decline contains elements of a financial panic, a cyclical correction, and a secular bear market. Signs of stabilization in the housing market should help repair the credit market. The U.S. economy will remain sluggish for a while but growth should improve in 2009. Higher long-term inflation, the precipitating factor of secular bear markets, has been moving up and stands at or near levels that brought long term bear trends after WW I, WW II, and the period from 1968 through 1982. The evidence is mixed, but if the reversals in energy and commodities hold at current levels or lower, we expect to see a recovery in the market and the continuation of the secular bull market that began in 1982. Peter Canelo has over 25 years experience with five major Wall Street firms. Previously, he was head of the retail strategy team with Morgan Stanley and Dean Witter and responsible for the firm’s recommended asset allocation for private taxable accounts. Mr. Canelo was the highest rated analyst or strategist within the Morgan Stanley retail system from 1998 through 2001 and within the Private Wealth Management system in 1999-2001. He was also the highest, or near highest, rated U.S. strategist with European institutional clients in 2000 and 2001. His work has been well recognized by financial media, including CNBC, CNN, Bloomberg, and PBS. Mr. Canelo received his BAA from the University of Southern California and his MBA from Columbia University. Credit Fever: What Are the Industry
Repercussions of the Credit Crunch and Which Sectors Will Lead the Recovery? Market Analysis In this session, you will learn how FactSet's Economic Analysis can help you build and demonstrate your investment case. Following current scenarios, you will use Economic Analysis to chart a suggested recession period, look at alternative investment markets, and create and analyze a sector model that incorporates stocks and macro factors. Consolidate Market Data, Analytics, and Proprietary Data in Marquee Did you know FactSet's market data platform, Marquee, is included with your FactSet workstation? In this session, learn how to leverage Marquee as part of your research process in conjunction with the rest of FactSet's analytical tools. Learn how Marquee can be configured to match your workflow, from keeping you organized and informed during earnings season to monitoring top news, pending economic announcements, and pre-market trading for your portfolios to preparing you for the markets each morning. All of FactSet’s analytical tools are integrated within Marquee to help you more effectively monitor the markets, your portfolios, and companies from a real-time and historical perspective. With the current wave of consolidation and change in the financial information industry, Marquee is an intriguing alternative — not only for accessing market data, but for accessing advanced analytics and even your firm's own proprietary research within a single portal. By the end of the session, both existing users and those new to Marquee will recognize and learn how to apply Marquee's value-add features to their daily workflow. Stress Testing and Monte Carlo Value
at Risk In this session, learn how to further your risk analysis where traditional risk models leave off. Calculate portfolio returns under many simulated scenarios and accurately analyze the portfolio's true VaR under different confidence intervals and over different time horizons with Monte Carlo Value-at-Risk. This analysis is particularly relevant when measuring risk for nonlinear portfolios containing derivatives as well as portfolios exhibiting fat tails. Use stress testing to apply a shock to individual factors, both inside or outside of the current risk model, to see what impact the shock could have on your portfolio. Find out how sensitive your portfolio is to different factor shocks including major index moves, changes in oil prices, and shifts in currency exchange rates. Fixed Income Portfolio Analysis This session is designed to help you both explore the entire process of analyzing fixed income portfolios and to focus on a specified task. Learn how to easily upload one-off fixed income portfolios into FactSet, then use the interactive tools within Portfolio Analysis to analyze the portfolio. We will take you through analyzing the exposures of the portfolio, recognizing the fundamental risks within it, and using the Trade Model Utility to perform "What If" trade simulations. Exploring Advanced Benchmark Functionality
in Portfolio Analysis Portfolios with complex investment strategies frequently need to be measured against non-standard benchmarks. It is important to be able to accurately measure the performance of these more sophisticated benchmarks while still providing flexibility in your analysis. In this session, we will highlight advanced performance calculation features, how to create complex benchmarks, and how to leverage Portfolio Analysis' custom reporting capabilities with these benchmarks. Complete Fixed Income
Analysis In this session, learn how to analyze complex structured securities both individually and in a portfolio. Run analysis screens on single securities to determine projected cash flows and derived analytics such as OAS, Price, and Effective Duration. Use scenario analysis for a single security or a portfolio of different asset classes to determine how your assets would perform under different market conditions. Drill into the collateral of individual securities to discover the inherent risks that exist within complex structured securities. Analyze the affects of different prepayment models and incorporate these assumptions into your overall investment decisions. Risk in Portfolio
Analysis Use third-party factor risk models to analyze your portfolio using FactSet's Portfolio Analysis. Decompose portfolio-level risk forecasts down to the factor or asset level to uncover hidden biases in your portfolio's construction. Attribute benchmark excess returns between factors in the risk model and residual returns to uncover the drivers of performance. |
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Financial Valuation and its Discontents
