The Latest
Opinion

How to hedge long-term inflation-linked liabilities without inflation-linked instruments

Given the capacity constraints on local inflation-linked bond markets, what are other options for hedging long-term inflation-linked liabilities? This is a question Ontario Teachers’ Pension Plan has been deliberating on as it supports an academic chair at EDHEC-Risk Institute with a focus on analysing the design of novel forms of liability-hedging portfolios that do not […]
Opinion

Risk parity – the benefits of a conditional approach

Risk parity is a meaningful and robust approach for building well-diversified portfolios, but it relies on historical volatility estimates, which penalises upside risk as well as downside risk and leads to a massive overweighting of bonds versus equities, even in a low yield environment. The authors from EDHEC Risk-Institute build the case for an alternative […]
Opinion

Evolution in risk reporting for sophisticated institutional investors

Risk reporting is increasingly regarded by sophisticated investors as an important ingredient in their decision-making process, authors from EDHEC argue that  the effective number of (uncorrelated) bets could be a useful risk indicator to be added to risk reports for equity and policy portfolios. Risk reporting is increasingly regarded by sophisticated investors as an important […]