andrewweismanfiresale-sfqwafafewsep28-2016

New formulation offers important advantages over standard FLAM:   The formulation is exact (free of approximations)   Provides simple closed-form solutions for skill and breadth   Broadens applicability of FLAM (e.g., fund-of-funds use case) 

Multi-year study of hedge fund investment allocations and strategies

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…

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…

• 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…

Risk-Based Investing }Allocating risk instead of capital Risk Parity }The special case of risk-based investing where risk allocations are equal Risk Factor Investing }Allocating not to asset classes but to risk factors. Examples: The small cap premium, Liquidity premium