Risk Management

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Market risk monitor Assessing current risks July 2018

September 2, 2018 Bilal 0

Click to access market-risk-monitor-july-2018-en-zz.pdf Overview Most of our risk metrics suggest a continuation of the benign risk environment with key measures such as volatility and correlations being supportive of risk taking. However, assessing these measures in isolation may not give the full risk picture given that we have entered a period of greater uncertainty. While the macro-economic and monetary policy background remains broadly supportive, the mid-year outlook from the BlackRock Investment Institute highlights increased longer-term uncertainty. Moreover, the recent lacklustre performance of many risk assets against the backdrop of rising rates may be indicative of gradual changes in required risk […]

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An Asset Allocation Primer: Connecting Markowitz, Kelly and Risk Parity

September 2, 2018 Bilal 0

https://www.pimco.co.uk/en-gb/insights/viewpoints/quantitative-research-and-analytics/an-asset-allocation-primer-connecting-markowitz-kelly-and-risk-parity   As curious as it may sound, few asset allocation primers describe portfolio models while connecting them to each other. This article does so by describing and contrasting the mechanics of standard asset allocation models, including the utility-based, Markowitz, Kelly, risk parity and fixed allocation approaches. It seeks to accomplish four objectives: First, it develops the mathematics of the models; second, it identifies the precise conditions under which the models are equivalent; third, it discusses the specifics – risk/return characteristics – of each approach; and last, it provides numerical examples that compare allocations to asset classes and return and […]

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Building better portfolios – Institutional | BlackRock

September 2, 2018 Bilal 0

Building better portfolios – Institutional | BlackRock https://ift.tt/2N3d7Bh General Disclosure: This material is prepared by BlackRock and is not intended to be relied upon as a forecast, research or investment advice, and is not a recommendation, offer or solicitation to buy or sell any securities or to adopt any investment strategy. The opinions expressed are as of July 2018 and may change as subsequent conditions vary. The information and opinions contained in this material are derived from proprietary and nonproprietary sources deemed by BlackRock to be reliable, are not necessarily all inclusive and are not guaranteed as to accuracy. As […]

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Portfolio Structuring and the Value of Forecasting

September 2, 2018 Bilal 0

Portfolio Structuring and the Value of Forecasting https://ift.tt/2NGlY8K This brief offers analysis of factor investing reviews types of factors and risk premiums as well as the value of forecasting, including issues with accuracy and improving efficiency. Abstract On 8 October 2015, CFA Montréal hosted its annual Asset Allocation Forum under the theme “Portfolio Structuring and the Value of Forecasting.” Two asset management approaches were compared: the factor investing approach, and the traditional approach. The most important aspects discussed by top speakers from the event are included in this brief. Foreword On 8 October 2015, CFA Montréal hosted its annual Asset […]

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When Alpha Meets Beta: Managing Unintended Risk in Active Fixed Income

September 2, 2018 Bilal 0

When Alpha Meets Beta: Managing Unintended Risk in Active Fixed Income https://ift.tt/2wwDN3G Past performance is not a guarantee or a reliable indicator of future results.  All investments contain risk and may lose value.  Investing in the bond market is subject to risks, including market, interest rate, issuer, credit, inflation risk, and liquidity risk. The value of most bonds and bond strategies are impacted by changes in interest rates. Bonds and bond strategies with longer durations tend to be more sensitive and volatile than those with shorter durations; bond prices generally fall as interest rates rise, and the current low interest […]