Relative Importance and Proportional Marginal Variance Decomposition

American Statistical Association/Joint Statistical Meetings, August 7, 2005

Minneapolis

Thinking About Constant Liquidity Pricing of Hedge Fund Assets

3rd Valuation of Hard-To-Value Securities and Portfolios Conference

New York, June 20, 2005

Financial Research Associates

Proportional Marginal Variance Decomposition: New Tool for Quant Analysis

Boston QWAFAFEW,  Boston, June 14. 2005

Using PMVD Variance Decomposition To Improve Decision Making in Your Manager Screening and Monitoring Processes: A New Tool For Facilitating Quantitative Analysis In Fund Management

Global Alternative Investment Management Forum, Lausanne, June 8, 2005

ICBI

Relative Importance and Value

CentER, Tilburg University, The Netherlands, June 3, 2005

Relative Importance and Value

Department of Mathematics, April 22, 2005

DePaul University, Chicago

Relative Importance and Value

Stat Lab Seminar, April 20, 2005

Department of Mathematics, Statistics and Computer Science

University of Illinois at Chicago 

PMVD: New Tool for Investment Analysis and Model Construction

Chicago Quantitative Alliance Spring Meeting, Las Vegas, April 14, 2005

Relative Importance and Value

Research Colloquium, Chicago, March 30, 2005

Illinois Institute of Technology, Stuart Graduate School of Business

Link to slides

Working paper: Relative Importance and Value. 

Portable Alpha Analytics

Portable Alpha Conference, NYC, March 29, 2005

Financial Research Associates

Link to slides

Proportional Marginal Variance Decomposition as a Tool in Financial Analysis

Midwest Financial Association, Milwaukee, March 12, 2005

Working paper: Relative Importance and Value.

Relative Importance and Variance Decomposition

Midwest Economics Association, Milwaukee, March 11, 2005

Working paper: Relative Importance and Value.

Returns-Based Analysis using Proportional Marginal Variance Decomposition

4^th Annual Hedge Fund Analytics Conference, NYC, February 24-25, 2005

Financial Research Associates

Two New Tools for Risk Analysis: Extreme Value-Based Value at Risk and Variance Decomposition

University of Chicago Graduate School of Business, Global Business Roundtable, Chicago, February 10, 2005

A New Kind of Style Analysis for Hedge Funds

Performance and Risk Measurement for Hedge Funds, NYC,
November 17-18, 2004

Institutional Investor

This is a short presentation that assumes a little technical background. The prepared remarks are also available.

Key Characteristics and Determinants of CTA Performance

Calyon Financial Lazy Dog Luncheon, Chicago, September 16, 2004

This presentation summarizes results of work using PMVD to analyze CTA returns. It shows that there has been a persistent short large cap growth component in most CTA returns over the last several years. Apparent CTA-type exposures in two hedge funds are also examined.

A New Approach to Returns-Based Style Analysis

European Investment Review Annual Conference, London, September 9, 2004

The paper the talk is based on is also available.

A New Approach to Returns-Based Style Analysis

Northfield Information Services 10^th Annual Summer Seminar, Newport, RI, June 4, 2004

This presentation puts more focus on how proportional marginal variance decomposition works.

Using Variance Decomposition to Understand Hedge Fund Performance

PRMIA, Chicago, April 22, 2004 (Professional Risk Managers’ International Association)

A short, simple, presentation.

Mutual Fund Variance Decomposition

Midwest Financial Association, Cleveland, March 2001