Dr. Harry M. Markowitz (1927), Special Advisor Risk Management

When being involved with Global Tactical Asset Allocation, Fiduciary Management, Hedge Funds and Emerging Markets, risk management is of the utmost importance for any serious, solid and responsible institutional advisor. In this area Compendeon is pleased to benefit from a long-lasting cooperation with Noble Prize Laureate Dr. Harry Markowitz, probably one of the brightest and most experienced minds in risk management and optimization.

The cooperation between Harry and Compendeon CEO/CIO Erik van Dijk started in the second half of the 1990s. It led – amongst other things – to important academic and applied research like the ‘Near Optimization’ methodology of risk management / optimization (published in the prestigious Financial Analysts Journal (2003)). This joint work provides important guidelines for all our products as far as risk management is concerned. According to Harry it is probably the ‘next generation’ Mean/Variance Optimization and therefore better than M/V for which he received the Noble Prize.

Well-known MIT professor Mark Kritzman compared Near Optimization (he labeled it the Markowitz-van Dijk Heuristic) with other optimization and risk management tools available in practice. His working paper indicates that our optimization technique is one of the best (if not the best) around in terms of expected, net return/risk ratios, when used as a guiding tool in portfolio rebalancing operations. Transition specialists like State Street have embraced this methodology as well.