Research

Alpha, Beta and other nonsense...	R-Squared risk modelling methodology
Video	Audio only	In this webcast, Jason MacQueen discusses the following: Myths that obfuscate our thinking about the realities of active management Why the use of "off-the-shelf risk models can be hazardous to your fund's health The future of fund management. 53 minutes (WMV)	Podcast	Sean Carr, VP of Portfolio Analytics at FactSet discusses global short term risk models with Jason MacQueen of R-Squared. The two discuss details of the model as well as R-Squared's methodology for risk model creation. 24 minutes (MP3)
		Webcast slides		Podcast transcript

Alpha, Beta and other nonsense...

R-Squared risk modelling methodology

Video

Audio only

In this webcast, Jason MacQueen discusses the following:

Myths that obfuscate our thinking about the realities of active management
Why the use of "off-the-shelf risk models can be hazardous to your fund's health
The future of fund management.

53 minutes (WMV)

Podcast

Sean Carr, VP of Portfolio Analytics at FactSet discusses global short term risk models with Jason MacQueen of R-Squared.

The two discuss details of the model as well as
R-Squared's methodology for risk model creation.

24 minutes (MP3)

Webcast slides

Podcast transcript

R-Squared Analytics		R-Squared Presentations
	The proof is in the pudding! The benefits of time series factors, direct estimation of the covariance matrix, realistic betas (instead of dummy variables used by most risk models) and the hybrid approach are clearly visible in this ex-ante – ex-post comparison of portfolio risk....		The Structure of Risk Models Jason MacQueen Nobody builds stock risk models because they care about individual stock risk. If they did, they wouldn’t use the same model for 20,000 different stocks, but would use 20,000 different models, one for each stock. We use the same risk model for all stocks because we care about portfolio risk.
	Relevant and accurate risk decomposition is the key to good risk management, showing which factors contribute to portfolio risk and which are diversifiers. By distinguishing intentional from unwanted risk you can eliminate unnecessary volatility to improve your Information Ratio...		Markowitz was Wrong! Jason MacQueen Managing risk is not the same as minimising risk. Risk is defined as the variance of return, to have excess returns you necessarily have to have take on risk. This presentation explores the distinctions between good risk and bad risk, and the impacts on the portfolio construction.
	We work closely with you to enhance your performance by harnessing you investment selection skill. Our specialist, proprietary techniques and long experience in designing multi-factor stock-selection and risk models - that work - enable you to see clearly how your active positions actually contribute to your returns		Are Your Returns Just from Skill? Richard J. Young This presentation aims to demonstrate that a major tool for portfolio manager when seeking to improve performance is a Portfolio Management Risk Model. Addressing how this differs from the model used by an institution's risk department, and quantify the sizable improvements in performance that are likely for a manager with skill.
			The Polyphemus Perspective Jason MacQueen Most managers today use multi-factor models, having long ago abandoned the hopelessly naive CAPM model. However single factor models do provide insight. This presentation looks at how single factor models are calculated and their uses.

Risk Management

Research

Alpha, Beta and other nonsense...

R-Squared risk modelling methodology

R-Squared Analytics

R-Squared Presentations

The Structure of Risk Models

Markowitz was Wrong!

Are Your Returns Just from Skill?

The Polyphemus Perspective

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