Barry Feldman: Patents, Papers and Presentations
Patents and published patent applications
U.S. Patent Application 2003/195831, "Portfolio Construction using Resampled Efficient Frontiers and Interval-Associated Groups," published October 16, 2003 (assigned to Ibbotson Associates)
U.S. Patent 6,640,204 "Method and System for Using Cooperative Game Theory to Resolve Statistical Joint Effects," issued October 28, 2003
U.S. Patent 6,961,678, "Method and System for using Cooperative Game Theory to Resolve Statistical and Other Joint Effects," issued November 1, 2005
Papers and publications
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Separating the Wheat from the Chaff: Backwardation as the Long-Term Driver of Commodity Futures Performance: Evidence from Soy, Corn and Wheat Futures Contracts from 1950 to 2004 |
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With Hilary Till. Current working paper version. January 2006. |
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This paper explores the determinants of returns on investment individual commodity futures contracts. |
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Using Proportional Marginal Variance Decomposition to Understand Hedge Fund Performance Drivers |
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A comprehensive and accessible introduction to the principles behind PMVD and the application of the technique. To appear in the Risk Books volume Portfolio Analysis: Advanced Topics in Performance Measurement, Risk and Attribution, edited by Timothy P. Ryan, March 2006. |
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Current working paper version. March 2005. |
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This paper presents the theoretical foundation for proportional marginal decomposition methods. |
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Profiles of Hedge Fund Indexes Against Conventional Asset Style Indexes |
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In Hedge Funds: Insights in Performance Measurement, Risk Analysis and Portfolio Allocation, G. N.Gregoriou, G. Hubner, N. Papageorgiou and F. Rouah (eds.), New York: John Wiley and Sons, Inc, August 2005. |
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Passive Options-based Investment Strategies: The Case of the CBOE S&P 500 BuyWrite Index (with Dhruv Roy) | |
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The Journal of Investing, Summer 2005 | |
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Also published in the collection An Investor’s Guide to ETFs and Tradable Index Products, Institutional Investor, Fall 2004, pp. 72-89 | |
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Variance Decomposition via Values of Statistical Cooperative Games | |
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Prism Analytics working paper, most recent version, April 2004 | |
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Investment Policy for Direct and Securitized Real Estate | |
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Journal of Portfolio Management, Special Issue, September 2003, pp. 112-121 | |
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Posted to Social Science Research Network, June 2002 | |
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Mutual Fund Style Variance Decomposition | |
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Ibbotson Associates, Unpublished, March 2001 | |
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Presented at the Eighth World Congress of the Econometric Society, Seattle, August 2000 | |
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Lattice Games with Strategic Takeover | |
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With Kai Nagel, In Lectures in Complex Systems V, edited by L. Nadel and D. Stein, pp. 90-122, Reading, MA: Addison Wesley., 1993 | |
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A Game-Theoretic Interpretation of the Spin Glass | |
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In Lectures in Complex Systems V, edited by L. Nadel and D. Stein, Reading, MA: Addison Wesley, 1993 |
Presentations
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Relative Importance and Proportional Marginal Variance Decomposition |
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American Statistical Association/Joint Statistical Meetings, August 7, 2005 |
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Minneapolis |
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Lost in Translation: Basis Utility and Proportionality in Games |
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Stony Brook University, New York, July 11, 2005 |
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Thinking About Constant Liquidity Pricing of Hedge Fund Assets |
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3rd Valuation of Hard-To-Value Securities and Portfolios Conference |
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New York, June 20, 2005 |
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Financial Research Associates |
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Proportional Marginal Variance Decomposition: New Tool for Quant Analysis |
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Boston QWAFAFEW, Boston, June 14. 2005 |
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Global Alternative Investment Management Forum, Lausanne, June 8, 2005 |
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ICBI |
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CentER, Tilburg University, The Netherlands, June 3, 2005 |
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Department of Mathematics, April 22, 2005 |
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DePaul University, Chicago |
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Stat Lab Seminar, April 20, 2005 |
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Department of Mathematics, Statistics and Computer Science |
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University of Illinois at Chicago |
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PMVD: New Tool for Investment Analysis and Model Construction |
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Chicago Quantitative Alliance Spring Meeting, Las Vegas, April 14, 2005 |
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Relative Importance and Value |
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Research Colloquium, Chicago, March 30, 2005 |
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Illinois Institute of Technology, Stuart Graduate School of Business |
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Working paper: Relative Importance and Value. |
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Portable Alpha Analytics |
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Portable Alpha Conference, NYC, March 29, 2005 |
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Financial Research Associates |
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Proportional Marginal Variance Decomposition as a Tool in Financial Analysis |
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Midwest Financial Association, Milwaukee, March 12, 2005 |
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Working paper: Relative Importance and Value. |
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Relative Importance and Variance Decomposition |
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Midwest Economics Association, Milwaukee, March 11, 2005 |
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Working paper: Relative Importance and Value. |
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Returns-Based Analysis using Proportional Marginal Variance Decomposition |
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4th Annual Hedge Fund Analytics Conference, NYC, February 24-25, 2005 |
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Financial Research Associates |
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Two New Tools for Risk Analysis: Extreme Value-Based Value at Risk and Variance Decomposition |
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University of Chicago Graduate School of Business, Global Business Roundtable, Chicago, February 10, 2005 |
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A New Kind of Style Analysis for Hedge Funds |
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Performance and Risk Measurement for Hedge Funds, NYC, |
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Institutional Investor |
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Key Characteristics and Determinants of CTA Performance | |
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Calyon Financial Lazy Dog Luncheon, Chicago, September 16, 2004 | |
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A New Approach to Returns-Based Style Analysis | |
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European Investment Review Annual Conference, London, September 9, 2004 | |
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Asset Allocation and Direct Real Estate | |
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LaSalle Investment Management, July 21, 2004 | |
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Variance Decomposition via Values of Statistical Cooperative Games | |
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Accepted for presentation at the 2nd World Congress of the Game Theory Society, Marseille, July 5-9, 2004 | |
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"Portfolio Construction with Quantitative Tools" | |
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Investment Management Consultants Association, Toronto, June 7, 2004 | |
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"A New Approach to Returns-Based Style Analysis" | |
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Northfield Information Services 10th Annual Summer Seminar, Newport, RI, June 4, 2004 | |
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"Using Quantitative Methods in the Hedge Fund Screening and Due Diligence Process" | |
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2nd Annual Pension Consultants’ Forum, NYC, May 21, 2004 | |
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World Research Group | |
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"Using Variance Decomposition to Understand Hedge Fund Performance" | |
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PRMIA, Chicago, April 22, 2004 (Professional Risk Managers’ International Association) | |
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"Pitfalls in Developing an Attribution Framework for Hedge Funds" | |
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3rd Annual Hedge Fund Analytics Conference, NYC, April 14-15, 2004 | |
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Financial Research Associates | |
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"Common Sense in Using Mean Variance Techniques to Build Portfolios with Hedge Funds" | |
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Ibbotson’s New Technology | |
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Ibbotson Associates Client Conference, Orlando, Florida, January 20, 2004 | |
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Rethinking Asset Allocation: Advanced Optimization Methods | |
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Pension Consultants Forum, Chicago, July 22, 2003 | |
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World Research Group | |
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Portfolio Construction with Alternative Investments: The Case of Rydex SPhinX | |
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Rydex: New York, May 1, 2003; San Francisco , May 20, 2003; Chicago, June 25, 2003 | |
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The Long-Term Risk/Return Profile of the TIAA Traditional Annuity | |
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TIAA-CREF, New York, March 24, 2003 | |
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Ibbotson’s Approach to Resampling and | |
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Building Sector Portfolios | |
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Ibbotson Client Conference, Orlando, January 2003 | |
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Portfolios with Hedge Funds | |
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Financial Management Association, San Antonio, October 2002 | |
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Building Portfolios with Hedge Funds | |
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Chicago QWAFAFEW, Chicago, August 28, 2002. | |
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Mutual Fund Style Variance Decomposition | |
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Midwest Financial Association, Cleveland, March 2001 | |
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