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 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

        “In defence of pro-cyclicality”, by Adina Griguriu from Active Asset Allocation, in IPE.com 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 …

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 …