MutualFundWire.com
The insiders' edge for 40 Act industry executives!
an InvestmentWires' Publication
an InvestmentWires' Publication
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MutualFundWire.com
The insiders' edge for 40 Act industry executives!
an InvestmentWires' Publication |
|
Tuesday, September 8, 2009 WSJ Has the Skinny on Fat-Tailed Distributions The Wall Street Journal's Eleanor Laise has an article on Tuesday about new tools on Wall Street that assume market returns falling along a so-called "fat-tailed" distribution. This compares to standard portfolio construction tools that assume returns falling along a bell-curve-shaped distribution. Laise notes that Morningstar unit Ibbotson Associates recently incorporated fat-tailed assumptions into its Monte Carlo simulations. She also notes that insulation from extreme market events doesn't come with a small price. Pimco, which hedges against extreme market events in many mutual funds it rolled out last year, estimates that hedges could cost investors 0.5 percent to 1 percent of fund assets a year. Pimco applies the hedges to products including target-date funds. It also plans to unveil additional funds that utilize the approach in the next couple of years, Pimco managing director Vineer Bhansali was quoted as saying. Printed from: MFWire.com/story.asp?s=22532 Copyright 2009, InvestmentWires, Inc. All Rights Reserved |