Twenty Years of Forecasting Manager Alpha: Main Concepts and Subtleties
Agenda
Presented by Northfield President Dan diBartolomeo.
Methods for evaluating the performance of asset managers have been around for decades. Unfortunately, despite large staffs and multiple consulting firms, asset owners are routinely unable to select external asset managers who are the most likely to deliver superior performance.
In a 2005 working paper, Northfield introduced a quantitative methodology for estimating manager alpha (i.e. PWER value) which has now been in operation for many years.
In this presentation, we will review the methods and describe various use cases ranging from large asset owners to selecting mutual fund recommendations for retail RIAs. The presentation will include a limited amount of empirical data on the predictive efficiency of PWER including some independent tests done in an MIT research project.
The final portion of the material will be a discussion of past and future improvements to the PWER method which are the subject of an upcoming paper in Journal of Investing.
About Dan diBartolomeo
Dan diBartolomeo is President and founder of Northfield Information Services, Inc. He is also a former Visiting Professor at the CARISMA Research Center of Brunel University in London and serves on the Board of Directors of the Chicago Quantitative Alliance and the advisory board of the International Association for Quantitative Finance. He is a regional director of the Professional Risk Managers International Association, (PRMIA), and the Quantitative Work Alliance for Applied Finance, Education and Wisdom (QWAFAFEW). He is past president and director of the Boston Economic Club.
Dan has been admitted as an expert witness in US federal courtsand state courts for litigation matters regarding investment managementpractices and derivatives.
In 2010, Dan received an award from Institutional Investor magazine as one of the forty most influential executives in financial technology in connection with his analytical work that helped uncover the Madoff investment fraud.
Dan is a director of the American Computer Foundation, and formerly served on the industry liaison committee of the Department of Statistics and Actuarial Sciences at New Jersey Institute of Technology. He continues his more than twenty years of service as a judge in the Moskowitz Prize competition, given by the University of California at Berkeley for excellence in academic research on socially responsible investing.
Dan has a long list of publications including books, book chapters and research papers in professional journals such as Financial Analyst Journal, Quantitative Finance and Journal of Investing. In 2017, he was named co-editor of the Journal of Asset Management.