A Simple Approximation for Optimal Turnover in a Multi-period Optimization Framework Dan diBartolomeo QWAFAFEW Boston March 2006

Presented to QWAFAFEW by John R. Minahan, CFA Director of Research NEPC January 17, 2006

Resurrecting the Role of Investment Philosophy in Evaluating Investment Managers John R. Minahan, CFA Director of Research New England Pension Consultants

For three decades, mean-variance analysis has served as the standard procedure for constructing portfolios. Recently, investors have experimented with a new optimization procedure, called full-scale optimization, to address certain limitations of mean-variance optimization. Specifically, mean-variance optimization assumes that returns are normally distributed or that investor preferences are well approximated by…

Slides for presentation at the Boston QWAFAFEW meeting on 13 December 2005.

This presentation will present an algorithm based on CUSUM analysis method for monitoring and predicting peer-relative performance of asset managers. CUSUM is a standard operations research technique for monitoring the quality of industrial processes.

The Grinold “Law of Active Management” is one of the most widely referenced and misused formulas in investment theory and practice. The formula’s popularity is due to suggesting suggestions of techniques for improving MV optimized portfolio performance that any manager can implement. But there are no free lunches in asset…

Handout for the 12 July 2005 Boston QWAFAFEW meeting.

A Quarterly Transactions-Based Index of Institutional Real Estate Investment Performance and Movements in Supply and Demand by Jeff Fisher, David Geltner, & Henry Pollakowski MIT Center for Real Estate June 2005 (Prepared for the Cambridge Real Estate Symposium, June 2005)

Fidelity Management & Research Company The Position: