David M. Stein

Parametric Portfolio Associates

Managing Director

7310 Columbia Center

701 5th Avenue

Seattle, WA 98104

United States

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Using Statistical Process Control to Monitor Active Managers

Number of pages: 35 Posted: 19 Mar 2003
Thomas K. Philips, Emmanuel Yashchin and David M. Stein
NYU Tandon School of Engineering - Department of Finance and Risk Engineering, IBM Corporation - Thomas J. Watson Research Center and Parametric Portfolio Associates
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Abstract:

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CUSUM, performance measurement, alpha, excess return, active manager