Andreas Steiner Consulting GmbH
Providing Competence in Investment Portfolio Analytics & Risk Management
Research Notes
Research notes are distributed electronically over the Internet. If you would like to receive the publications by email, you can subscribe to the Performance Analysis & Risk Management Newsletter.
- May 2012: Surplus Risk and Return - Equivalence of Asset- and Liability-Centric Views - PDF
- April 2012: Sharpe Ratios Are Homogeneous of Degree Zero - PDF
- March 2012: Did Diversification Really Fail? Evidence for Stock Portfolios - PDF
- February 2012: Annualized Volatility - PDF
- November 2011: Risk Parity for the Masses - PDF
- October 2011: Geometric And Arithmetic Volatility - PDF
- September 2011: Equity Tail Risk Before and After the Financial Crisis - PDF
- August 2011: Tail Risk Attribution - PDF
- July 2011: Manipulating Valid Correlation Matrices - PDF
- June 2011: Attribution of Bull/Bear Alphas and Betas with Applications to Downside Risk Management - PDF
- May 2011: Sharpe Ratio Contribution and Attribution Analysis - PDF
- April 2011: Is Alpha Dead? - PDF
- March 2011: Drawdown-At-Risk Monte Carlo Optimization - PDF
- February 2011: Currency Hedged Return Calculations - PDF
- January 2011: Contributions to Ex Post Return, Volatility and Tracking Error - PDF
- December 2010: Ambiguity in Calculating and Interpreting Maximum Drawdown - PDF
Online Media
- July 2011: All About Alpha - How well does your hedge fund hedge?
- March 2011: All About Alpha - Alpha not “dead” – just not always better than beta (as long as you’re sure about the future direction of markets of course)
- March 2011: Advisor Perspectives - Is Alpha Dead?
- SSRN: We publish our research notes on the Social Science Research Network.
- Twitter: We do microblogging on a regular basis.
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