Peter Van De Zilver (PIMCO, Newport Beach, CA)

Tittle: Tracking Error models and implementation

Abstract: We will review the construction of factor models and their use in risk managemen of investment portfolio's. In particular, we will look at the use in Tracking Error calculations and issues related to stability and estimation of the model. We will show an example of an implementation of the linear model with a non-linear extension an use this to analyze portfolio positions and risk concentrations. We will review Black-Litterman implied views and issues related to portfolio optimization.