Thu, May 17, 2012
A A A
Welcome Guest
RSS RSS icon
Get FREE trial access to our award winning publications
Alternative Market Briefing

Likelihood of a "Risk Shock" may be receding

Wednesday, February 01, 2012

amb
Melissa Brown
Bailey McCann, Opalesque New York:

According to a report released today, although benchmark risk continued to rise globally at the end of 2011, the likelihood of a "risk shock," taking place this year seems to be receding.

This finding is the result of research conducted by Axioma, a New York-based risk management company which released its Quarterly Risk Review today. The report compares the results of several risk models across global markets and asset classes to identify risk trends on a quarterly basis.

I spoke with Melissa Brown, Senior Director of Marketing at Axioma and one of the report’s authors about the implications for funds and investors.

"Agreement among our four risk models increased in developed markets in the fourth quarter," noted Brown. "Short-horizon models may lead their medium-horizon counterparts as risk changes, and statistical models may pick up new or different factors that are not detected by their fundamental counterparts, so we may be less likely to be in for a "risk shock" than we have been for a while."

The report notes that benchmark risk was still on the rise at the end of 2011, a condition which is expected to continue through the early part of this year. Eurobloc markets, especially the so-called PIIGS (Portugal, Ireland, Italy, Greece and Spain), led the pack in predicted risk, in both local and USD terms.

Brown explains that in developed markets, stock correlati......................

To view our full article Click here

Banner
Today's Exclusives Today's Other Voices Banner More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing
  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. People – Hatteras Funds expands investment management team, Harcourt Investment Consulting appoints new head of alternative investments, Commonfund recruits industry veteran Brett Lane to its hedge fund group[more]

    Hatteras Funds expands investment management team Hatteras Funds, a boutique alternative investment specialist providing unique alternative investment solutions for financial advisors and their clients, announced that Thomas Riegert, CFA, has joined the firm as Associate, Portfolio Manag

  2. Institutions – Update: CalPERS commits $500m to managed account overseen by Blackstone, Euro 14bn pension fund for Philips to drop private equity, hedge funds, Fund of hedge fund managers pushed out by UK schemes’ direct investment, Houston Municipal puts $85m with alternative managers[more]

    Update: CalPERS commits $500m to managed account overseen by Blackstone From Reuters/PEhub.com: CalPERS, the biggest U.S. public pension fund, will commit $500 million to a managed account overseen by Blackstone Group LP, the world’s largest private equity firm, according to details prov

  3. Kyle Bass’ Japan macro fund down 29% for April[more]

    From Valuewalk.com: Kyle Bass is the founder of Hayman Capital. He is famous now for buying Greek Sovereign Credit Default swaps at $1,000 for $1 million of the price. He Supposedly made a 650x return for each swap which he bought. He was also early in the subprime game and shorted that successfully

  4. Opalesque Exclusive: Park Hill to represent new credit hedge fund manager MeehanCombs[more]

    From Komfie Manalo, Opalesque Asia: Global placement agent Park Hill Group, which has $126.4bn of commitments for its private equity and hedge fund clients, has selected MeehanCombs LP as the credit opportunities hedge fund manager

  5. A SQUARE 31 Mar 2011: Infrastructure funding needs worldwide, benefits to investors, implementations difficulties, and lessons learn from the financial crises. An analysis by Jay A. Yoder, CFA, Partner and Head of Real Assets at Altius Associates.[more]

    Infrastructure funding needs worldwide, benefits to investors, implementations difficulties, and lessons learn from the financial crises. An analysis by Jay A. Yoder, CFA, Partner and Head of Real Assets at Altius Associates.