Etude Cognizant Consulting & Digital Business : Dix convictions sur les Fintech Investment Advisory

La société de conseil et de services COGNIZANT vient de publier sa dernière étude sur les Fintech Investment Advisory. Dans ce document organisé en trois chapitres et un addendum, COGNIZANT partage ses observations et analyses permettant de comprendre l’impact des Fintech Investment Advisory sur la chaîne de valeur du conseil en investissement sur le marché français de l’Asset et du …

Risk Letter on Drawdown: From a risk measure to an asset allocation strategy

All investors want to maximize their portfolio’s returns while minimizing their risks. But how should you measure ‘risk’? Standard risk measures, such as Volatility or Value-at-Risk (VaR), provide only limited information about the risk your portfolio is exposed to. The most common measure, Volatility, has a number of drawbacks (which we wrote about in a previous Risk Letter [1]), but …

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

  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 …

A case study on funding ratio management with a US pension fund

  Active Asset Allocation uses the most advanced actuarial techniques combined with powerful modelling of asset classes behaviour in order to help define a dynamic asset allocation for investors with liabilities. Assets are dynamically allocated between a liability matching portfolio and a growth portfolio by implementing advanced risk budgeting techniques. Our solution aims at achieving full funding as quickly as …

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 …

Risk Letter 2 : At the in-efficiency frontier

          At the in-efficiency frontier, by Adina Grigoriu, member of the French Institute of Actuaries 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 …

In defence of pro-cyclicality, by Adina Grigoriu

          Adina Grigoriu asks, is pro-cyclical risk management necessarily a cost – or can it be an unexploited source of performance?  EIOPA’s call for advice on the review of the IORP directive has brought forward many questions. One that both pension funds and their advisers raise is: “What is the cost of risk management?” But isn’t …

Direction Retraite – la gestion des risques, source inexploitée de performance

          La gestion des risques, centre de coût ou source inexploitée de performance ? Par Adina Grigoriu, Directeur Général de Active Asset Allocation “Il y a dans la finance, comme dans la haute couture, des modes et des saisons.  La pression subie par les investisseurs pour s’y conformer est grande.  C’est donc sans grande surprise qu’aujourd’hui, …

Risk Letter 1 : Volatility as a risk measure

          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). …