Risk Letter on Filtered Historical Simulations (FHS): How do you make your paths?

Filtered Historical

  A tail-focused asset path simulation technique An important feature of financial markets is that they are highly unpredictable. But despite market randomness, finance professionals spend considerable amounts of time and effort designing the best possible frameworks for reality. These frameworks, which help model and quantify the investment strategy, come in all shapes and sizes and are used in the …

Active Asset Allocation: US partnership with Sageview

Sageview Consulting and Active Asset Allocation will advise the asset allocation of the pension fund of Colony brands, one of the world’s largest catalog companies. Active Asset Allocation provides dynamic asset allocation solutions to manage the assets and liabilities of pension funds in order to improve and protect funding ratios and minimize contributions.

Understanding challenges around pension scheme discounting policies

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The lively debate around the use of the revised IORP Directive’s Holistic Balance Sheet (HBS) gives us an occasion to provide a quick overview of pension schemes’ liabilities discounting policies and asset allocation practices in Europe and in the US. We conclude by explaining the threat posed to those pension funds that continue to use fixed discount rates and we …

Active Asset Allocation Awarded Innovation Label by Reseau Entreprendre Cote d'Azur

          Active Asset Allocation has been awarded by Réseau Entreprendre Cote d’Azur (French regional public organisation created to foster the development of the local economy) the Innovation label. It reflects the will of the organisation to support Active Asset Allocation in its development to provide innovative asset allocation solutions.  

Drawdown Control Solution : Dynamic Asset and Risk Management (DARM)

[row] [/row]   Our Drawdown Control Solution relies on a proprietary technology called DARM. It dynamically allocates capital between the asset classes the investors wish to be exposed to while limiting the downside risk to a level that is pre-defined. DARM allows to take into account and manage efficiently investors’ issues (capital preservation, regulation, etc…) by redefining risk with their particular constraints (going further …

Risk Letter 1 : Volatility as a risk measure

Risk Letter

Volatility is the most widespread measure of risk. The reason of its success comes from the fact that it is easy to understand (volatility, as anyone knows, represents the deviation of an asset return from its historical mean) and also easy to compute (one can calculate volatility with a built-­in formula in a spread sheet). Common belief is that the …

Risk Letter 2 : At the in-efficiency frontier

Risk Letter

This second Active Asset Allocation « Risk Letter » looks at the delicate question of the choice of hypotheses, using the example of the efficient frontier. It touches upon the influence of an incorrect choice on asset allocation decisions and their consequences. What do pension funds and institutional investors all have in common? They all start the investment process by …