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Benchmark design for an active investment process

Choosing the appropriate benchmark for active managers is a common debate among institutional investors. Norges Bank Investment Management has produced a “discussion note’ on the benchmark design for an active investment process, in which it introduces a flexible modelling framework that aims to incentivise each portfolio manager to utilise their stock-picking skill.   The benchmark […]
Amanda WhiteNovember 28, 2014
Opinion

Risk parity – the benefits of a conditional approach

Risk parity is a meaningful and robust approach for building well-diversified portfolios, but it relies on historical volatility estimates, which penalises upside risk as well as downside risk and leads to a massive overweighting of bonds versus equities, even in a low yield environment. The authors from EDHEC Risk-Institute build the case for an alternative […]
Amanda WhiteJuly 31, 2014
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