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Opinion

Capturing true geographic exposures in risk reporting

New research by EDHEC-Risk Institute questions the usefulness of analysing geographic equities exposures based on the stock’s place of listing, incorporation or headquarters. Head of applied research, Felix Goltz, suggests that in a globalised marketplace, a more meaningful analysis of geographic risk exposures, and performance attribution, comes from looking at geographic segmentation data including total sales […]
Amanda WhiteJuly 8, 2015
Uncategorised posts

Investors need to revamp portfolio construction

Investors should re-consider their investment processes in order to achieve the needed “step-change in efficient portfolio construction” in a low return environment, the chief executive of the A$109 billion ($83 billion) Future Fund, David Neal, says. “It is the investment process that turns the universe of opportunities into a portfolio, and right now that process […]
Amanda WhiteApril 1, 2015
Research

Risk parity and beyond

This paper analyses whether the use of uncorrelated underlying risk factors, as opposed to correlated asset returns, can lead to a more efficient framework for measuring and managing portfolio diversification. The paper, by academics at EDHEC Business School and SYMMYS, acknowledges that the ability to construct well-diversified portfolios is a challenge of critical importance in […]
Amanda WhiteApril 9, 2014
Research

Risk Factors as Building Blocks for Portfolio Diversification

The Callan Investment Institute explores portfolio construction using risk factors in its latest paper. The research finds that while building purely factor-based portfolios is challenging and largely impractical for most asset owners, using factors to understand traditionally constructed portfolios can be very useful. The paper, from the research arm of Callan Associates, looks at ways […]
STAFF WRITERJune 20, 2012
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