Spectral risk measures are relatively new entrants to the field of risk management, with the distinctive feature that they relate the risk measure directly to the user’s risk aversion function. This post discusses the pros and cons of using them … Read more
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Editor’s note: Though technical, this article gives a good overview of how quantitative methods can be used to improve investment management processes. Even if you don’t follow the math, it will be useful to read through the reasoning. “Study the … Read more
2 CommentsOne of the most important and oft-discussed topics in asset management is benchmarking. Even though the daily turnover in global currency markets has reached over US$4.7 trillion1, investors need to be aware of some key issues when it comes to … Read more
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The fundamental aim of any portfolio construction methodology is to deliver optimal risk-adjusted performance. While “risk” can be defined in a number of ways, maximum drawdown is probably one of the clearest ways to measure an investor’s risk appetite and … Read more
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