Ibbotson Associates provides assistance to institutions that need to know the dangers and benefits of incorporating derivatives into an overall portfolio strategy. Services include evaluating and development procedures to monitor usage and to recognize red flags, and analysis of risk and benefits of derivatives strategies.
As of March 31, it had four institutional derivatives consulting clients.
The institutional client contact is Marius Daugirdas.
17 Madison Ave., Port Chester, N.Y. 10573; phone: (914) 939-1543; fax: (914) 939-2785
International Investment Group Inc. provides dynamic option overwriting on equity portfolios using major stock index options; artificial intelligence; historical simulation research with a synthetic option model; spreads, straddles and arbitrage with index options and futures.
As of March 31, it had nine institutional derivatives consulting clients.
The firm also provides asset management services. It uses stock index futures options, individual stock options, OTC equity options, OTC interest rate options, currency futures, FLEX options, stock index futures, exchange-traded stock index options, currency futures options and commodity futures.
Derivatives are used in hedging, synthetic indexing, domestic and global/international TAA, currency overlay, options overlay, arbitrage and dynamic overwriting with index options.
The institutional client contact is Kurt G. Hiebaum.
New England Pension
1 Main St., Cambridge, Mass. 02142-1524; phone: (617) 374-1300; fax: (617) 374-1313
New England Pension Consultants provides basic derivatives education for trustees and staff, derivatives policy development and derivatives-related manager searches.
The institutional client contact is Richard M. Charlton.
860 Fifth Ave., New York. N.Y. 10021; phone: (212) 724-7535; fax: (212) 580-9703
SSI provides performance measurement for derivatives portfolios, using downside risk and asymmetric risk measures including Sortino ratios. It specializes in risk measurement consulting.
The institutional client contact is Brian M. Rom.
245 Park Ave., New York, N.Y. 10167; phone: (212) 309-3400; fax: (212) 309-3773
Towers Perrin consults on using derivatives to implement policy, and evaluates managers for whom derivatives are integral to the investment process.
The institutional client contact is Catherine A. Higgins.
Trevor Robinson Investment
Westering House, Coombe Road, Otford TN14 5RJ England; phone: (44-195) 952-5150; fax: (44-195) 952-5159
Trevor Robinson Investment Consultancy advises investment management companies on appropriate controls on derivatives, audits existing positions in derivatives and provides training to board members on how to interpret derivative reports.
As of March 31, it had 12 institutional derivatives consulting clients.
1299 Ocean Ave., Santa Monica, Calif. 90401; phone: (310) 451-3051; fax: (310) 458-6936
Wilshire Associates provides performance measurement, portfolio analysis, dynamic stress testing and general consulting on short-term, bond and equity accounts using derivatives.
As of March 31, it had 75 institutional derivatives consulting clients.
The institutional client contact is Stephen Nesbitt.
The Woodward Group
666 Dundee Road, Suite 308, Northbrook, Ill. 60062; phone: (708) 432-9007; fax: (708) 432-1524
The Woodward Group focuses on the evaluation and understanding of derivatives risk, the development of independent risk management functions, development of criteria for use in evaluating risk management strategies and review of adequacy of and compliance with risk management policies.
The institutional client contact is Donald L. Horwitz.