Worth asked CMRA to use their multifactor approach to look at ten selections from our column "Our Favorite Equity Funds" in which we track 20 top-performing funds for our readers. The firm’s qualitative analysis began with a study of the publicly available information in a prospectuses and published fund holdings, focusing on such indicators as the degree of illiquid investments, the permissible leverage, the clarity of investment objectives, the ability to operate outside the stated objective, and the restrictiveness of the guidelines. On the quantitative side, CMRA calculated risk measures like beta, standard deviation and the enhanced Sharpe ratio.

(September 1997) 

Former Citibankers Lisa Polsky and Leslie Rahl have walked and talked derivatives since the market's infancy in the early 1980s. William Falloon invites them to reminisce.

(December 1997) 

"It's an important step for people to be able to measure all the risks that matter in one place."

(April 2, 1997) 

"VaR does not demonstrate the worst-case scenario..."

(January 20, 1997)

Capital Market Risk Advisors, warns that risk models based on historical default data could prove invalid for credit derivatives linked to syndicated loans.

(July 21, 1997) 

TOP 50
LESLIE LYNN RAHL              Capital Market Risk Advisors
"The impossible we do right away. The more difficult takes a little longer." A founder of the swaps business and an innovator in interest rate caps, collars and floors, Leslie Lynn Rahl had certainly taken this adage to heart by the time she founded CMRA in 1994.

Before setting up her company, she worked at Citibank, where she was at the forefront of the swaps and derivatives team for nine years and responsible for market-making, hedging and proprietary trading for books in excess of $100 billion. She left to run Leslie Rahl Associates, a consulting firm specializing in swaps, options and derivatives. Rahl has also been active on a number of boards and presently sits on the board of directors of the International Association of Financial Engineers ((IAFE). She is a graduate of the MBA programme at the Sloan School of Management at MIT and is looking forward to the day when she finally gets some sleep.

"Being scammed by a rogue trader is somehow more socially acceptable."

(May 1997)