Controlling Misfit Risk in Multiple-Manager Investment Programs

Jeffery Bailey, David Tierney

ISBN 10: 0943205433 / ISBN 13: 9780943205434

Published by Research Foundation of AIMR & Blackwell Publishers, 2000

[ No Hassle 30 Day Returns ][ Ships Daily ] [ Underlining/Highlighting: NONE ] [ Writing: NONE ] [ Edition: First ] Publisher: Research Foundation of AIMR & Blackwell Publishers Pub Date: 4/18/2000 Binding: Paperback Pages: 123 First edition. Seller Inventory # 6809310

Synopsis:

Controlling Misfit Risk in Multiple-Manager Investment Programs is a practical, instructive guide which offers a solution to a challenge more and more institutions are facing-misfit risk. When a sponsor uses several managers for one asset class, style biases can cause the sponsor's managers in aggregate to underperform the target despite each individual manager performing well against the manager's benchmark. In this volume, the authors provide a straightforward analytical framework for evaluating and treating this potentially costly misfit problem.

About the Author: Jeffrey V. Bailey, CFA, is Director of Benefit Finance at Dayton Hudson Corporation, where he oversees the investment of the company's defined-benefit and defined-contribution plan assets. Formerly, Mr. Bailey was a principal at Richard's and Tierney, Inc., where he directed the firm's performance attribution services. Prior to joining Richard's and Tierney, he was assistant director of the Minnesota State Board of Investment. Where he headed the external manager operations and developed investment policy for the board's various funds. Mr. Bailey has published numerous articles on pension management, and he is co-author, with William Sharpe and Gordon Alexander, of the textbooks Investments and Fundamentals of Investments. Mr. Bailey holds a B.A. in economics from Oakland University and an M.A. in economics and an M.B.A. in finance from the University of Minnesota.

David E. Tierney is cofounder and a principal of Richards & Tierney, Inc., a Chicago-based pension consulting firm that specializes in applying quantitative risk-control techniques to enhance the performance of plan sponsor portfolios. Previously, Mr. Tierney was administrative manager of the Investments area for the Amoco Corporation pension fund. At Amoco, he directed and coordinated the activities of the fund's investment managers, controlled the fund's accounting and auditing functions, analyzed the performance of the fund's managers, and conducted research into methods of pension management. In addition, he has taught at the University of Chicago Graduate School of Business. Mr. Tierney holds a B.S. in engineering science from Northwestern University and an M.S. and Ph.D. in applied statistics from the University of Wisconsin.

Bibliographic Details

Title: Controlling Misfit Risk in Multiple-Manager ...
Publisher: Research Foundation of AIMR & Blackwell Publishers
Publication Date: 2000
Binding: Soft cover
Condition: Good