Portfolio Construction
Risk & Portfolio Construction: Un-mixing the market ingredients
03 Jun 2013
Breaking down asset class into their respective common factor risks seems to yield real analytical insights. Martin Steward asks what investors should do in practice with those insights
Risk & Portfolio Construction: Theory and practice
03 Jun 2013
A survey conducted in September 2011 by Allianz Global Investors suggests that at least one-third of European institutional investors see the merit in analysing portfolios by risk categories as...
Risk & Portfolio Construction: Optimising the risk factors
03 Jun 2013
One of the most popular ways of implementing the insights that come from analysing portfolios according to risk factors rather than asset classes is ‘risk parity’.
Risk & Portfolio Construction: Portfolio dynamics
03 Jun 2013
Jepser Kirstein sketches the profound changes in institutional portfolio design over recent years – and notes that a better understanding of risk enables investors to increase as well as decrease it
Risk & Portfolio Construction: 21st-century portfolio construction
03 Jun 2013
Dan Mikulskis makes the case for a risk-parity approach to constructing portfolios of liquid risk premiums
Risk & Portfolio Construction: Villain with a role to play?
03 Jun 2013
If you want to maintain decent returns with genuinely diversified risks, some practitioners insist that leverage is a necessity. Joseph Mariathasan finds out why, and looks at the counter-argument...
Risk & Portfolio Construction: ‘It’s not overly quantitative’
03 Jun 2013
Look at how SAUL’s financial reports represent its asset allocation and you quickly realise that it does not think about that allocation in terms of asset classes, but in terms of strategies designed ...
Risk & Portfolio Construction: ‘Our objective is clear’
03 Jun 2013
Often when an investor starts to explore ‘smart beta’ – alternative weighting systems for equity portfolios and benchmarks – it signals some dissatisfaction with traditional active management,...
Risk & Portfolio Construction: The only way is up?
03 Jun 2013
Jennifer Bollen looks into what rising bond yields would mean for risk-parity portfolios
Risk & Portfolio Construction: A smart-beta framework
03 Jun 2013
Martin Steward speaks with Lombard Odier’s Jérôme Teiletche, co-author of a new paper that compares alternative equity portfolio construction techniques within a common framework
Risk & Portfolio Construction: ‘All equities are black boxes’
03 Jun 2013
In January 2011 the PNO Media Pension Fund terminated its US and European equity enhanced-index mandates with Barclays Global Investors and brought the assets in-house. However, it did not go passive ...
Risk & Portfolio Construction: Revenge of the quants
03 Jun 2013
The ‘risk-factor’ revolution offers the tantalising prospect of getting exposures for which investors used to pay alpha fees as bargain beta. But Brendan Maton notes that it raises as many questions...
Risk & Portfolio Construction: Time to diversify
03 Jun 2013
Investors diversify across asset classes, risk factors and investment styles. Maha Khan Phillips asks if trading time horizon brings anything extra to the process
Risk & Portfolio Construction: Always in style
03 Jun 2013
Four or five equity-investing ‘styles’ appear to be systematically rewarded over time. Maha Khan Phillips asks if it is possible to use them to diversify a long-only portfolio
Risk & Portfolio Construction: Don’t let the tails wag the dog
03 Jun 2013
Vincent Berard and Daniel Dimitrov explore ways to introduce tactical allocation tilts into a strategic portfolio using tail risk and alternative betas
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