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News and Information

Jay Strohmaier, CFA, Senior Portfolio Manager, presented at the annual Utility Pension Fund Study Group Conference (UPFSG) on April 26th in Scottsdale, AZ.  Mr. Strohmaier discussed the management of beta exposure within Portable Alpha strategies, as well as the concept of a Centralized Exposure Management program for institutional investors. 


Clifton’s Chief Investment Officer, Jack Hansen, CFA, presented at the 26th Annual Risk Management Conference, sponsored by the Chicago Board Options Exchange, March 7th through 9th, 2010.  Mr. Hansen participated in a panel discussion on the fundamentals of employing options within institutional portfolios.  Topics discussed include: Introduction to the VIX Index, VIX futures and options; Options-related strategies; and Practical implementation issues.  Contact us if you would like to obtain a copy of materials following the conference or have interest in discussing risk management through options-based strategies.


Thomas Lee, CFA, Senior Portfolio Manager and Principal, presented at the Societe Generale Pensions & Endowments Conference, held Tuesday, January 26th at the Le Parker Meridien hotel in New York. Mr. Lee participated in a panel discussion on the implementation of risk management strategies. 


Clifton recently added indicative pricing for 10yr Swaptions (options on a 10yr swap) to the Option Overlay Matrix page. Swaptions are typically utilized in interest rate hedging (inflation/deflation) and duration extension applications.  Like the equity option matrices, swaption pricing will be updated each Monday.  View the Option Overlay Matrices for the latest premium pricing data.


Implementing Tail Risk Strategies: Read Clifton's latest white paper which discusses how "tail risk" strategies are defined and a framework for implementing these transactions in a manner that provides the greatest likelihood of achieving an investor's objectives. Please click here to read a copy.

 

White Papers


Interesting, timely analysis and commentary from Clifton's Investment Professionals on topics related to and affecting the derivative markets and general risk management.

Date Paper  Summary 
 July 2009 This paper attempts to define what constitutes a "tail risk" hedge and provides a framework for implementing these types of transactions in a manner that provides the greatest likelihood of achieving an investor's objectives.
 June 2009 Three broadly defined strategies are highlighted that enable investors to profit by gaining or reducing exposure to inflation.
 November 2008 Shortfalls of Traditional Financial Risk Models The inability of conventional risk models to adequately represent risk in today's capital markets is discussed.
 May 2008 What is Wrong with LIBOR? The Clifton Group observes LIBOR levels diverging from Eurodollar rates, and may be underestimating the actual level at which banks lend to each other.  This paper discusses this situation and its implications, provides some historical information, and offers some possible solutions to the "problem".


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800-328-5009 / 612-870-8800
Past Performance is not indicative of future results.  There is a risk of loss.  The information provided is general information and does not take into account any investor's particular investment objectives, strategies, tax status or investment horizon.  We encourage you to consult with your legal and tax advisors regarding possible legal and tax issues.



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