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Investment Performance Business Global consultancy

Archive: Global Investment Performance business consultancy in The United Kingdom.

Ortec Finances Investment Performance solution (PEARL) provides investors with a best-in-class performance measurement and attribution platform to effectively analyse and accurately quantify a wide variety of asset classes including derivatives, debt instruments and alternatives. Asset managers continue to employ more varied and sophisticated strategies with a focus on absolute and multi-asset strategies and it has never been more important to have the right tools to control, quantify and understand the investment decision making process.

Elske van de Burgt, Managing Director Ortec Finance said: We are very pleased to work together with Graeme Condie. Graeme brings over 25 years of knowledge and experience in investment performance which will be of great benefit to our clients. This agreement solidifies Ortec Finances commitment to bring its UK presence in line with that of our continental European business. Graeme will help us to understand the specific needs of asset managers in the United Kingdom, which is a key priority for us. He will also actively participate in product innovation which will further help Ortec Finance to maintain the competitive advantages which contribute to its success.
Graeme Condie said: Ortec Finances PEARL solution is currently providing superior analytical capability to a significant number of clients around the globe, including asset managers, institutional investors and consultant groups. With a flexible framework supported by a strong client service ethic, PEARL is very well suited to the complexities of todays investment environment. I look forward to helping Ortec Finance continue to grow their business and capability.

Nieuws News Ortec Finance here..




Imposing Views on Frequency Domain Factor Models
Martin van der Schans and Hens Steehouwer
Methodological Working Paper No. 2012-01
November 2012

OFRC WORKING PAPER SERIES
Imposing Views on Frequency Domain Factor Models
Martin van der Schans*,y and Hens Steehouwer*,y
Methodological Working Paper No. 2012-01
November 2012

Ortec Finance Research Center
P.O. Box 4074, 3006 AB Rotterdam, The Netherlands,
www.ortec-finance.com

SUMMARY
In this paper, we introduce a methodology that allows for imposing views on density forecasts of a (frequency domain) factor based time series model. Such a model produces a density forecast for the future evolution of economic and financial variables such as interest rates, asset returns and inflation rates. This type of model is used for the whole range of strategic asset allocation, portfolio construction and risk management purposes. Since the parameters in this type model are estimated on historical data, the fundamental assumption is that there is relevance in historical data for assessing future risk and return. In practical applications, however, it is indispensable to also allow for imposing views on the models. This is for example the case when an economic bureau or an investment committee of an institution holds a different expectation of the equity risk premium for the next three years than the models estimated on historical data foresee. A simple approach would be to adjust the results for one individual variable in the model. However this ignores any dependency structure that exists between variables as imposed by the model structure. In this paper, we therefore introduce a methodology which allows for an efficient and consistent imposing of such views. Efficiency is attained by having to formulate a view only in terms of a limited number of variables. Consistency is attained by translating these views onto other variables via the factor structure.

*Both authors are member of Ortec Finance
Research Center;

email corresponding author: Martin.VanDerSchans@ortecfinance.com;

The second author is affiliated with the Econometric Institute, Erasmus University Rotterdam, The Netherlands;
Copyright c
2013 Ortec Finance bv. All rights reserved.
No part of this paper may be reproduced, in any form or by any means, without permission from the authors.

Short sections may be quoted without explicit permission provided that full credit is
given to the source. The views expressed are those of the individual author(s) and do not necessarily reflect the views of Ortec
Finance bv.

The authors thank Alex Boer and Tommi Moilanen for fruitful fundamental discussions and Guus Boender and Ruud de Ruijter
for valuable input and feedback on the examples. The usual disclaimer applies.