Controlling Misfit Risk in Multiple-Manager I

Serious reading for investment professionals involved with managing multiple manager funds. Unlike other publications e.g. the Handbook of Equity Style Management or Style Investing, this work provides a cohesive and mathematically rigid approach to the quantitative management of multiple manager programs. Inside you will find an introduction to the concept of investment style, a review of investment manager style classification methods as well as an excellent development of dynamic completeness fund methodologies for managing risk in multiple manager funds. Although the main focus of the book is managing misfit risk, I would have liked to see more on the equally important considerations involved in structuring a multiple manager program e.g. quantitative models of diversification benefits and mean-variance efficiency which would govern the style allocation decision as well as the optimal number of managers to be used within each style etc. Essential and extremely valuable reading!

Serious reading for investment professionals working with multiple manager funds. Unlike other publications e.g. The Handbook of Equity Style Management or Style Investing, this work provides a cohesive and mathematically rigid approach to the quantitative management of multiple manager programs. Inside you will find an introduction to the concept of investment style, a review of investment manager style classification methods as well as an excellent development of dynamic completeness fund methodologies for managing risk in multiple manager funds. Although the focus of the book is the management of misfit risk, I would have liked to see more on the considerations and factors to take into account when structuring a multiple manager program e.g. quantitative models of diversification benefits and mean-variance efficiency which would govern the style allocation decision as well as the optimal number of managers to be used within each style etc. Essential and extremely valuable reading!