Rank
|
Primary Business Name
|
Total AUM $(bil)
|
Avg Account Size $(mil)
|
Total Accounts
|
Historical AUM 2014 $(bil)
|
|---|---|---|---|---|---|
| 1 | Vanguard Group Inc. | $3,006.42 | $12,122.66 | 248 | $2,349.13 |
| 2 | Pacific Investment Management Co. LLC | $1,680.39 | $688.12 | 2,442 | $1,950.51 |
| 3 | Capital Research and Management Co. | $1,366.31 | $12,420.98 | 110 | $1,366.31 |
| 4 | J.P. Morgan Asset Management | $1,149.34 | $31.38 | 36,623 | $1,053.26 |
| 5 | FMR Co. Inc. | $918.63 | $3,280.81 | 280 | $866.59 |
| 6 | Wellington Management Co. LLP | $892.08 | $640.40 | 1,393 | $826.19 |
| 7 | BlackRock Fund Advisors | $863.38 | $2,230.96 | 387 | $814.15 |
| 8 | T. Rowe Price Associates Inc. | $742.73 | $537.04 | 1,383 | $689.29 |
| 9 | Northern Trust Investments Inc. | $689.81 | $20.04 | 34,424 | $638.42 |
| 10 | Goldman Sachs Asset Management LP | $689.16 | $15.64 | 44,051 | $614.19 |
| 11 | Fidelity Investments Money Management Inc. | $606.37 | $4,458.61 | 136 | $603.08 |
| 12 | Prudential Investment Management Inc. | $564.45 | $808.66 | 698 | $505.56 |
| 13 | Merrill Lynch, Pierce, Fenner & Smith Inc. | $560.74 | $0.35 | 1,589,138 | $485.51 |
| 14 | BlackRock International Ltd. | $545.80 | $375.12 | 1,455 | $551.97 |
| 15 | Morgan Stanley | $528.24 | $0.35 | 1,523,145 | $460.69 |
| 16 | Blackrock Advisors LLC | $523.61 | $1,526.56 | 343 | $454.14 |
| 17 | Franklin Advisers Inc. | $516.69 | $869.84 | 594 | $516.69 |
| 18 | AllianceBernstein LP | $477.47 | $13.15 | 36,318 | $430.68 |
| 19 | Invesco Advisers Inc. | $430.50 | $21.17 | 20,331 | $422.27 |
| 20 | Strategic Advisers Inc. | $427.63 | $0.77 | 554,156 | $388.66 |
| 21 | Dimensional Fund Advisors LP | $418.41 | $1,070.11 | 391 | $347.18 |
| 22 | M&G Investment Management Ltd. | $389.39 | $4,056.11 | 96 | $400.02 |
| 23 | SSGA Funds Management Inc. | $377.82 | $1,447.58 | 261 | $335.30 |
| 24 | Wells Fargo Advisors LLC | $375.93 | $0.29 | 1,306,969 | $334.76 |
| 25 | UBS Financial Services Inc. | $372.07 | $0.45 | 828,269 | $272.28 |
| 26 | Western Asset Management Co. | $371.11 | $539.40 | 688 | $379.35 |
| 27 | Nomura Asset Management Co. Ltd. | $353.41 | $254.80 | 1,387 | $305.98 |
| 28 | Columbia Management Investment Advisers LLC | $345.25 | $98.87 | 3,492 | $336.62 |
| 29 | Wells Capital Management Inc. | $335.70 | $221.44 | 1,516 | $340.14 |
| 30 | State Street Global Advisors Ltd. | $334.41 | $211.79 | 1,579 | $327.61 |
| 31 | AIG Asset Management (U.S.) LLC | $329.30 | $2,863.48 | 115 | $332.00 |
| 32 | J.P. Morgan Asset Management London | $309.55 | $504.97 | 613 | $146.41 |
| 33 | Mellon Capital Management Corp. | $296.05 | $410.62 | 721 | $270.21 |
| 34 | The Dreyfus Corp. | $293.92 | $1,660.57 | 177 | $299.30 |
| 35 | MFS Investment Management | $293.77 | $793.97 | 370 | $269.47 |
| 36 | Prudential Investments LLC | $270.19 | $1,437.17 | 188 | $260.82 |
| 37 | Dodge & Cox | $269.57 | $316.77 | 851 | $224.42 |
| 38 | Charles Schwab Investment Management Inc. | $267.46 | $204.79 | 1,306 | $248.49 |
| 39 | Morgan Stanley Investment Management Inc. | $257.36 | $638.61 | 403 | $234.59 |
| 40 | Wells Fargo Funds Management LLC | $254.51 | $40.98 | 6,211 | $252.69 |
| 41 | Federated Investment Management Co. | $244.56 | $2,285.59 | 107 | $253.55 |
| 42 | Legg Mason Partners Fund Advisor LLC | $243.40 | $1,714.06 | 142 | $244.90 |
| 43 | TIAA-CREF Investment Management LLC | $240.64 | $30,079.64 | 8 | $238.38 |
| 44 | Goldman Sachs Asset Management International | $235.16 | $320.82 | 733 | $203.16 |
| 45 | Hamilton Lane | $224.55 | $1,297.99 | 173 | $187.03 |
| 46 | Bridgewater Associates LP | $219.12 | $1,543.08 | 142 | $196.58 |
| 47 | Loomis, Sayles & Company LP | $218.99 | $231.00 | 948 | $193.88 |
| 48 | NYL Investors LLC | $214.65 | $2,384.99 | 90 | $211.76 |
| 49 | Deutsche Investment Management Americas Inc. | $213.91 | $230.76 | 927 | $204.95 |
| 50 | BlackRock Investment Management LLC | $212.74 | $8.13 | 26,151 | $211.42 |
2015年12月16日星期三
CNBC ranks the top 50 money-management firms of 2015
http://www.cnbc.com/2015/09/15/cnbc-ranks-the-top-50-money-management-firms-of-2015.html
2012年8月30日星期四
2011年11月16日星期三
poor CRO from Andrew Lo's "Regulatory reform"
Quote:
"
Consider, for example, the case of a CRO of a major investment bank XYZ, a firm
actively engaged in issuing and trading CDOs in 2004. Suppose this CRO was
convinced that US residential real estate was a bubble that was about to burst, and
based on a simple scenario analysis, realized there would be devastating consequences
for his firm. What possible actions could he have taken to protect his shareholders? He
might ask the firm to exit the CDO business, to which his superiors would respond that
the CDO business was one of the most profitable over the past decade with
considerable growth potential, other competitors are getting into the business, not
leaving, and the historical data suggest that real-estate values are unlikely to fall by
more than 1 or 2 percent per year, so why should XYZ consider exiting and giving up
its precious market share? Unable to convince senior management of the likelihood of a
real-estate downturn, the CRO suggests a compromise – reduce the firm’s CDO
exposure by half. Senior management’s likely response would be that such a reduction
in XYZ’s CDO business will decrease the group’s profits by half, causing the most
talented members of the group to leave the firm, either to join XYZ’s competitors or to
start their own hedge fund. Given the cost of assembling and training these
professionals, and the fact that they have generated sizable profits over the recent past,
scaling down their business is also difficult to justify. Finally, suppose the CRO takes
matters into his own hands and implements a hedging strategy using OTC derivatives
to bet against the CDO market[4]. From 2004 to 2006, such a hedging strategy would
likely have yielded significant losses, and the reduction in XYZ’s earnings due to this
hedge, coupled with the strong performance of the CDO business for XYZ and its
competitors, would be sufficient grounds for dismissing the CRO.
"
2011年10月12日星期三
How do you use the implied volatility index? (B Brief)
"One of the things we look at is when you get an earnings beat or miss, how much does the market tend to move?"
"In fact, the higher the volatility, the more the market pays for a beat, and the more the market punishes a miss."
"In earning season, when the volatility is high, that is actually time to be focusing more on fundamentals and less on the macro."
"In fact, the higher the volatility, the more the market pays for a beat, and the more the market punishes a miss."
"In earning season, when the volatility is high, that is actually time to be focusing more on fundamentals and less on the macro."
2011年9月9日星期五
2011年8月25日星期四
market price of risk
all of sudden, i'm having a new found understanding of market price of risk. very cool!
2011年8月24日星期三
fundamental models, affine
Let's start with Filipovic's
1. Affine Diffusion Processes: Theory and Applications
1. Affine Diffusion Processes: Theory and Applications
2011年6月22日星期三
Fund Flow
DFA is still the top ten largest money manager.
http://corporate.morningstar.com/us/documents/FundFlows/FundFlowsMay2011.pdf
http://corporate.morningstar.com/us/documents/FundFlows/FundFlowsMay2011.pdf
2011年6月17日星期五
2011年5月10日星期二
2011年3月1日星期二
Reflected BSDE & Swing option
A form student of Protter had an unpublished thesis on the RBSDE & swing option, as well as some credit related stuff. Very interesting. There is some one working on this topic on this planet. I'm relieved...
http://ecommons.cornell.edu/bitstream/1813/13608/1/Diener,%20Nicolas.pdf
http://ecommons.cornell.edu/bitstream/1813/13608/1/Diener,%20Nicolas.pdf
2011年1月7日星期五
2010年12月25日星期六
2010年11月13日星期六
Things I'm interested
counterparty credit risk
contagion model?
correlated default
Calypso system
RiskMetrics system
Copulas
contagion model?
correlated default
Calypso system
RiskMetrics system
Copulas
2010年11月12日星期五
damn it! the stopping time is independent on the control
The stochastic control is not working, since the stopping time is dependent on the proportion.
I am thinking of the superreplication of the lookback option now.
I am thinking of the superreplication of the lookback option now.
2010年11月8日星期一
We have solved M. problem?
The problem becomes quite interesting once I apply the viscosity solution theory.
Actually the second derivative Y_{xx} might not be always positive. (I made a terrible assumption last time by assuming Y to be strictly concave.) Hence, the value function Y(x) might be convex for small x and concave for larger x. It is very nice, since when it's convex, the value function satisfies the Black-Scholes-Merton equation. We should be fascinated about our result.
Cannot wait to discuss it with "Big Boss".
Actually the second derivative Y_{xx} might not be always positive. (I made a terrible assumption last time by assuming Y to be strictly concave.) Hence, the value function Y(x) might be convex for small x and concave for larger x. It is very nice, since when it's convex, the value function satisfies the Black-Scholes-Merton equation. We should be fascinated about our result.
Cannot wait to discuss it with "Big Boss".
2010年11月1日星期一
replication, superreplication & Stochastic Singular Control
After turning the random duration to finite during, I have discovered some interesting facts:
1. With the discountinous boundary conditions, the value function V(t,x) is not C^{1,2}. c.f. Pham's book (example on singular control)
2. Need to study viscosity solution (totally forgotten subject)
3. Now that it's a finite boundary problem, it becomes how to replicate/superreplicate the digital option with short constraint on portfolios
4. c.f. Cvitanic or Uwe Wystup's dissertation from CMU.
1. With the discountinous boundary conditions, the value function V(t,x) is not C^{1,2}. c.f. Pham's book (example on singular control)
2. Need to study viscosity solution (totally forgotten subject)
3. Now that it's a finite boundary problem, it becomes how to replicate/superreplicate the digital option with short constraint on portfolios
4. c.f. Cvitanic or Uwe Wystup's dissertation from CMU.
2010年10月31日星期日
Sam's Choice @ blogger.com: My First Blog:: On Stochastic Control on Random Ho...
http://samuelyusunwang.blogspot.com/2010/10/my-first-blog-on-stochastic-control-on.html?spref=bl: "The main reference paper is El Karoui's paper: 'Optimal Investment and consumption with random time'. Now the value function..."
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