Prism Analytics Research
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Using Proportional Marginal Variance Decomposition to Understand Hedge Fund Performance Drivers |
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| by Barry Feldman | |
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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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| by Barry Feldman | |
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This working paper provides a comprehensive theoretical foundation for the use of PMVD and related techniques. It also provides a detailed examination of the empirical properties of PMVD components. |
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| by Barry Feldman | |
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European Investment Review Annual Conference, London, September 9, 2004 |
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The presentation slides are also available. |
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| Risk Measurement of Investments in the Satellite Ring of a Core-Satellite Portfolio: Traditional versus Alternate Approaches | |
| by Hilary Till | |
| Versions of this paper appear in the book Core-Satellite Portfolio Management, J. Clay Singleton (ed.), McGraw Hill (2005) and in the Singapore Economic Review, April 2004. | |
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Profiles of Hedge Fund Indexes Against Conventional Asset Style Indexes |
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Appears in 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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| by Barry Feldman | |
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Posted to Social Science Research Network, June 2002 | |
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Mutual Fund Style Variance Decomposition | |
| by Barry Feldman | |
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Ibbotson Associates, Unpublished, March 2001 | |
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