Friday, June 18, 2010
There probably would be little interest in this subject had it not been for the huge downturn two years ago, which stemmed to some extent to the absence in liquidity for several asset types. We learned that a few asset managers have developed their own models to address this risk and it's great to learn that vendors are, too. We also learned that Statpro has a product, though we have no details on its capabilities.
I will go into this topic in a bit more detail in this month's newsletter. In addition, Bernd will be writing an article for The Journal of Performance Measurement(R) on this topic.