Fri, May 27, 2016
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

How active risk-based allocation can save your bacon

Tuesday, January 14, 2014

amb
Cédric Baron
Benedicte Gravrand, Opalesque Geneva:

Among the ways a plain vanilla fund can eschew the great ups and downs of the markets – and deliver absolute returns - is a strategy with the long name of "active risk-based allocation."

Cédric Baron, manager of the ARMA funds at Lyxor Asset Management, shares on Opalesque Radio how the strategy can do that. (ARMA stands for "absolute return multi assets" and there are two funds in the ARMA range, ARMA and ARMA 8, both using the same investment process with different level of target volatility. ARMA posted a 3.26% return with 2.6% volatility and ARMA 8 recorded a 9.38% performance with 7.5% volatility.)

Active risk-based allocation is an allocation process based on the risk balance methodology, he tells Sona Blessing during the broadcast.

"Most of the time, when you try to make an allocation, you think in terms of nominal weight and you decide what percentage of your portfolio you will invest in any one single asset," he explains.

"With the risk based allocation, (instead) we think in terms of risk distribution. We set a risk budget to each asset class or to each asset we invest in, and we determine what weight we have to invest so that each risk contribution of each asset in the portfolio will be equalized. The aim of such allocation is to have a portfolio ......................

To view our full article Click here

Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing


  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Performance - Hedge fund ETFs take a battering, Have long-short credit funds delivered?[more]

    Hedge fund ETFs take a battering From ETFStrategy.co.uk: It was a blow for the hedge fund world when Hillary Clinton’s son-in-law Marc Mezvinsky announced he would be closing his Greek-focused fund after it plummeted in value by 90%, just two years after it launched. For passive investor

  2. Ares Capital to buy American Capital in $3.4 billion deal[more]

    From PIOnline.com: Ares Management's business development company Ares Capital Corp. is buying troubled BDC American Capital for $3.43 billion, said a joint news release by the BDCs and another release by Ares Management. Ares Capital Corp.'s assets are expected to grow to about $13.2 billion when t

  3. Launches - Man Group and American Beacon launch new emerging debt fund, Nikko AM launches new Japan equity UCITS fund[more]

    Man Group and American Beacon launch new emerging debt fund American Beacon Advisors, an experienced provider of investment advisory services to institutional and retail markets, launched the American Beacon GLG Total Return Fund today. The Fund became effective May 20. The America

  4. Emerging markets hedge funds perform strongly, but capital base erodes[more]

    Komfie Manalo, Opalesque Asia: Latin American Emerging Markets and Russian hedge funds lead industry gains in the first months of 2016, posting strong performances through April as global and EM equity, commodity and currency markets surged in recent weeks following steep losses to begin the year

  5. Americas - Australian banks sending U.S. hedge funds broke, Ryan Puerto Rico ‘rescue’ bill could be windfall for hedge funds[more]

    Australian banks sending U.S. hedge funds broke From SMH.com.au: US hedge funds are not having the best of years. Profits are hard to find, they're underperforming and the punters are losing patience, withdrawing US$15 billion ($20.8 billion) in the March quarter. They're expected to wit