Presentation Files

Visualizing the Time Series Behavior of Volatility, Serial Correlation and Investment Horizon

Statistical risk models are dependent on the return sampling frequency and window.  Traditionally, risk modelling is performed using daily or monthly returns.  While the relatively short horizon may be appropriate for asset managers concerned with near term risk, most asset owners and solutions providers have investment horizons measured in quarters…

Visualizing the Time Series Behavior of Volatility, Serial Correlation and Investment Horizon

Statistical risk models are dependent on the return sampling frequency and window.  Traditionally, risk modelling is performed using daily or monthly returns.  While the relatively short horizon may be appropriate for asset managers concerned with near term risk, most asset owners and solutions providers have investment horizons measured in quarters…

Exploring Developed & Emerging Market Country Allocation for Equities

• Approaches for building country allocation models for equities – Macro economic signals – Bottom-up aggregate fundamental and market signals • Forecasting horizon of the signals • Compare and contrast developed and emerging markets • Establishing benchmarks – Capitalization-weighted indices – Equal-weighted indices – Minimum variance indices • Portfolio construction…