Risk Letter | The 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 | At the in-efficiency frontier

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 …