Presents:

"Market Dispersion and Its Implications
for Active Management"

Event Description:

What does it mean to say that a particular index (or portfolio) is diversified? Or more diversified than another, or more now than it was before? In order to speak meaningfully about the internal diversity of an index or portfolio and its variation over time, quantitative metrics are required. The most commonly encountered is the correlation statistic, but correlations contain critical and unavoidable flaws. It turns out that another measure—asset dispersion—has strong qualifications as a complementary tool. Craig Lazzara, Head of Index Strategy for S&P Dow Jones Indices will discuss:

• Dispersion: definition, current levels
• Measuring market opportunity
• Relationships among dispersion, correlation, and volatility
• How dispersion “helps” defensive indices
  

BIOGRAPHY:

Craig Lazzara, CFA
Senior Director
Index Investment Strategy 

Craig Lazzara is global head of index investment strategy for S&P Dow Jones Indices. The investment strategy team provides research and commentary on the entire S&P Dow Jones Indices’ product set, including U.S. and global equities, commodities, fixed income, and economic indices. Craig previously served as product manager for S&P Indices’ U.S. equity and real estate indices. These include the S&P 500 and the S&P/Case-Shiller Home Price Indices, two of the most widely tracked benchmarks in the world.

Prior to joining S&P Indices in 2009, Craig was a managing director of Abacus Analytics, a quantitative consulting firm serving the brokerage and investment management communities. He previously directed marketing and client service for ETF Advisors and Salomon Smith Barney’s Global Equity Index Group, as well as for the Equity Portfolio Analysis group at Salomon Brothers. Earlier, Craig served as chief investment officer of Centurion Capital Management and Vantage Global Advisors, as a managing director of TSA Capital Management, and as a vice president and portfolio manager for Mellon Bank and T. Rowe Price Associates.