Portfolio Construction
Portfolio Construction: Convexity complexities
01 Jul 2011
Buying absolute return or tail-risk insurance strategies complicates the portfolio rebalancing process. But Martin Steward finds that a solvency management framework can re-impose some objectivity on ...
Portfolio Construction: Preparing for all probabilities
01 Jul 2011
Emma Cusworth discusses strategic asset allocation weights adjusted for the economic cycle
Portfolio Construction: A roadmap for portfolio rebalancing
01 Jul 2011
Will Kinlaw and Jay Moore discuss how pension funds can avoid traffic jams, road construction and the associated costs of delays as they get portfolios back on the road to strategic asset allocation...
Portfolio Construction: The changing asset allocation framework
01 Jul 2011
Stacy Cuffe, Lisa Goldberg and Frank Nielsen describe the move from asset-class allocation to risk-based allocation, and the problem of ‘risk-grouping’
Portfolio Construction: Risk as a profit centre
01 Jul 2011
Managing and monitoring tail risk is not just about insuring against extreme losses. Boryana Racheva-Iotova describes the potential for expected tail loss measures to feed into tactical portfolio...
Portfolio Construction: Offensive or defensive?
01 Jul 2011
Kathryn Kaminski argues that the adaptable, liquid,systematic profile of managed futures makes it a more efficient long-term approach to tail risk than insurance-style strategies
Portfolio Construction: Defensive or offensive?
01 Jul 2011
Jerry Haworth argues that options-based volatility strategies have five ‘killer apps’ that make them better tail-risk hedges than managed futures – as long as you buy them at the right time
Portfolio Construction: Hedge fund ALM
01 Jul 2011
The 2008 crisis showed how liquidity mismatches can undermine apparently robust hedge fund portfolios. Peter Meier and Jann Stoz argue that measuring returns autocorrelation can enable investors to...
Portfolio Construction: Three Blind Mice
03 Jun 2010
Accounting for fat tails of individual instruments is not the same as managing those tails at portfolio level. Svetlozar (Zari) Rachev and Georgi Mitov explore how advanced copulas might address the...
Portfolio Construction: Broaden your horizons
03 Jun 2010
On the hunt for truly diversified sources of risk, Martin Steward takes aim at different investment time horizons
Portfolio Construction: It’s the economy, stupid
02 Jun 2010
Efforts to diversify have for too long assumed that we live in non-cyclical economies, and ignored the mix of economic factors that drive asset-class risk. Lynn Strongin Dodds takes a tour of some...
Portfolio Construction: Allocating risk, allocating time
02 Jun 2010
Martin Steward talks to ex-FRR CIO Jean-Louis Nakamura about Lombard Odier’s volatility-driven allocation and its time-horizon tactical allocation process
Portfolio Construction: A question of skill
02 Jun 2010
The hedge fund world is supposed to be about skill. But Martin Steward asks, if you use a fund of funds, what skills are you buying – and whose?
Portfolio Construction: The horrible handful
02 Jun 2010
Raphael Douady outlines the top five investment risks that every investor in hedge funds should know about
