systematic risk

Research

The pitfalls of risk modelling

Many portfolio managers use multi-factor models, but these are only as good as the various inputs used to construct them. MSCI looks at how flawed-model construction can result in optimised portfolios that are not efficient. The paper, Is Your Risk Model Letting Your Optimized Portfolio Down?, reveals that faulty risk models tend to underestimate risk […]

SAM RILEYAugust 31, 2012

Uncategorised posts

Systemic risk measurement an early warning for investors

Systemic risk could be the silver bullet everyone is looking for in portfolio management, with high systemic risk in markets proven to be a precursor to heightened tail risk.

Amanda WhiteMarch 14, 2012

Research

Systematic risk and the cross-section of hedge fund returns

This paper investigates the extent to which market risk, residual risk, and tail risk explain the cross sectional dispersion in hedge fund returns. The paper introduces a comprehensive measure of systematic risk (SR) for individual hedge funds by breaking up total risk into systematic and fund specific or residual risk components.

February 15, 2012