Jul 19, 2011
At Zephyr, we consistently receive questions on where the data in our program comes from. The answer is that we receive our data straight from the vendors. However when it comes to the exchange rates, the answer may not be so clear.
Jul 8, 2011
A common question people have when using the Black-Litterman model is: How do I add alternative asset classes to my line-up of traditional asset classes? There are arguments both for and against the idea of using alternative asset classes in a Black-Litterman framework.
Jun 23, 2011
Did you know you have the ability to upload performance data from Advent? In order to export returns from Advent and then import into StyleADVISOR, three necessary pre-conditions are required
Jun 9, 2011
It turns out a couple of academics have come out with a different metric known as the “omega-score” and it is in no way related to the Omega ratio Zephyr has in StyleADVISOR. Confusingly, the “omega score” is also tailored to look at hedge funds, but is an entirely different animal.
May 26, 2011
How we set our priorities at Zephyr
Every business is constantly forced to prioritize. New ideas from research, requests from customers, or pressure from competitors all vie for attention. Zephyr is no different. How do we decide where to focus?
May 24, 2011
A common question when using StyleADVISOR is, “Can we create a Universe Chart on a Calendar Year basis?” The answer to this is Yes. To do this, you will need to modify the Manager vs. Universe Chart or the Manager vs. Universe Table.
May 12, 2011
In the wake of the recent credit crisis there has been a lot of discussion around the idea of tail risk, i.e. rare, but extreme and traumatic events. We believe one of the best ways to analyze tail risk is to use the Omega ratio developed by Con Keating and William Shadwick.
Apr 28, 2011
Black-Litterman Model (BLM)
As an introduction topic for our blog, let’s discuss Market Capitalization in the BLM, why it matters and how it can help determine forward-looking returns.