Applied Duration Concepts Review
Duration is the sensitivity of the price of a bond or portfolio to a change in interest rates. Unlike time …
level III
Life Insurance Pricing Example
The net payment cost index assumes that the insured person will die at the end of a specified period, such …
Types of Active Management Strategies
Active equity investing may reflect a variety of ideas about profitable investment opportunities. However, with regard to how these investment …
Evaluating Managers
Investment Philosophy The entire investment process should be driven by a succinct and precise investment philosophy. Some managers believe that …
Quantitative Elements
Style Analysis Style analysis examines the manager’s risk exposures in relation to an appropriate benchmark and the changes in those …
Investment Manager Selection Framework
Evaluating an investment manager is a complex and detailed process that encompasses a great deal more than analyzing investment returns. …
Performance Appraisal
Investment performance appraisal identifies and measures investment skill, providing the information to assess how effectively money has been invested given …
Benchmarking Alternative Investments
Hedge Funds Three general types of benchmarks could be considered for hedge funds: (1) broad market indexes, (2) risk-free rate, …
Benchmarking Investments and Managers
In investment practice, we use benchmarks as reference points for segments of the sponsor’s portfolio, communication of instructions to the …
Return Attribution Analysis at Multiple Levels
The return attribution presented in the Brinson examples focused on the bottom-up approach, where the attribution effects were calculated at …