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Acadian adds risk tool to expand strategies; Anticipated shortfall likely to give clients better feel for more volatile investments.

Publication: Pensions & Investments
Publication Date: 27-NOV-06 		Format: Online
Delivery: Immediate Online Access
Full Article Title: Acadian adds risk tool to expand strategies; Anticipated shortfall likely to give clients better feel for more volatile investments.(Acadian Asset Management Inc.)

Article Excerpt
Byline: Joel Chernoff

BOSTON - Acadian Asset Management Inc. is turning to a little-used risk measurement tool, as company officials ponder developing new investment strategies.

The tool, known as expected shortfall, is a measure of how much money a strategy could lose, particularly from esoteric asset classes. It has been used for years by Wall Street trading desks and by some hedge funds, but is rarely used by money managers.

"As mainstream managers make more use of things like derivatives, going to something along the lines of expected shortfall does make sense,'' said H. Gifford Fong, president of Gifford Fong Associates, Lafayette, Calif., a fixed-income and derivatives consultant.

Expected shortfall is particularly important as Acadian considers moving into newer and more volatile asset classes, such as emerging market currencies and commodities.

Acadian, with $55...

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