Sun, Apr 20, 2014
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

Banner
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. Opalesque Exclusive: Classic Auto Funds Limited (CAF) launches several car investing funds[more]

    Bailey McCann, Opalesque New York: A new trend in alternative alternatives is emerging - car appreciation funds. Classic Auto Funds Limited (CAF) is the first to market with several funds that make super elite luxury cars into real asset investments. As a result of growing overseas demand couple

  2. CTAs could face new challenges in a rising rates environment[more]

    Bailey McCann, Opalesque New York: CTAs have taken a beating performance wise lately, and asset flows reports show that investors aren't sticking around to see how the movie ends. Now, a new white paper from Roy Niederhoffer and Coen Weddepohl notes that as interest rates start to tick back u

  3. Investing – Big hedge funds bought Puerto Rico's junk bonds, Fidelity explores new trading venue amid flash trade concerns, Crisis-era Greek bonds reward early buyers with big effective returns, Cargill unit discloses stake in Freddie preferred[more]

    Big hedge funds bought Puerto Rico's junk bonds From Reuters.com: Several large hedge funds doubled down on Puerto Rico in last month's giant bond sale despite the U.S. territory's financial struggles, the Wall Street Journal reported, citing confidential documents reviewed by the newspa

  4. Opalesque Exclusive: Hedge fund replicators evolve[more]

    Bailey McCann, Opalesque New York: Hedge fund replicators as a group of products tend to get a bad rap from hedge fund managers who suggest that the best a replicator can offer is dynamic beta capture. A

  5. Commodities – Popular value fund manager David Iben bets on Russia, gold,[more]

    From Reuters.com: With large bets on Russia and North American gold miners, one of the best performing stock pickers in the wake of the 2008 financial crisis is back with a new fund that reflects his deep aversion to following the crowd. In the Kopernik Global All-Cap Fund, David Iben is follo