The Markets October 18, 2010

Russell and Parametric Team up on Index Series

Russell Investments and Parametric Portfolio Associates have collaborated on a new index series that measures the return dispersion of a varied selection of securities.
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The Russell–Parametric Cross-Sectional Volatility Indexes (CrossVol) relies on Russell’s global index construction rules and a new calculation methodology developed by Parametric, according to a press release.  

The new CrossVol Indexes are subdivided in the same fashion as the underlying Russell Indexes, covering each of the major regions such as Global, U.S., Developed ex-U.S., and Emerging Markets. Within each region, cross-sectional volatility is calculated for separate market capitalization tiers and investment styles, including all cap, large cap, small cap, value, and growth, as well as economic sectors.  

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Paul Bouchey, Director of Research at Parametric, said in the announcement: “We monitor cross-sectional volatility in our investment process to adjust the size of our active bets. It’s a core part of our process. Having it available in the form of indexes makes our analysis much easier to perform.”   

Bouchey explained that as cross-sectional volatility increases, the payoff for an active bet increases. A good bet, for example, will pay off more with high CrossVol and less with low CrossVol. Similarly, the loss resulting from a bad bet will be more in periods of high CrossVol, but lower in periods of low CrossVol. 

Deals & People October 18, 2010

Merrill Picks Fickinger as Head of Financial Advisor Strategy

Tom Fickinger was appointed head of Financial Advisor Strategy, a newly created role, at Merrill Lynch.   
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According to an internal memo, Fickinger’s responsibilities as head of Financial Advisor Strategy include:

  • Driving strategic initiatives around adviser and team practices
  • Leading the Practice Management Development program (PMD) and the Practice Management Consulting Group (PMCG)
  • Supervising the career development of new-hires to each group
  • Assess the impact of potential regulatory reform on the firm’s overall Financial Advisor Strategy and ensure any necessary changes are implemented

He will report to both John Hogarty, chief operating officer, Global Wealth & Investment Management, and Lyle LaMothe, head of U.S. Wealth Management.  He will also serve as a member of the USWM Executive Committee.

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Fickinger has been with Merrill Lynch for 24 years.  Currently, he is the managing director for the New Jersey Region, and he will remain in this role until a successor is found.  He also was first vice president, head of Business Development – Investor Strategies Group in New York City and head of Financial Planning in Princeton.

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