RaisePartner | Newsletter - Combining reactivity and robustness

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RaisePartner e-news October 08

Combining reactivity and robustness

As worldwide financial markets continue to sink further, how can quantitative models help to design reactive and robust investment strategies?

In this newsletter, find out how the RP Quant Global Macro lives through the crisis and learn how risk filtering methods can help to build efficient risk models in a portfolio decision context.


	RaisePartner provides software components and web services for investment professionals. Through our customized solutions for portfolio optimization and risk analysis, our goal is to help our clients enhance their investment process by bringing together the best of quantitative and qualitative approaches.

RP Quant Global Macro Index

The RP Quant Global Macro Index is a quantitative global macro index allocated on a weekly basis with RaisePartner's robust asset allocation solutions.

Most asset classes suffered important drawdowns over the past couple of months. Despite the crisis, the maximum drawdown of the RP Quant Global Macro Index over the past year remains lower than 2%, i.e. lower than the max drawdown of the mid-term Fixed Income.

Click here to learn more about the RP Quant Global Macro Index.

The Quant Corner

Risk Filtering
A big misunderstanding originates from the gap between two domains of the quantitative finance: the descriptive statistics (to explain the risk) and the decision mathematics (to allocate the risk). The same words are sometimes used in both contexts, such as the important notion of robustness, but do not mean the same thing. As a consequence, risk models which are acknowledged as robust in a descriptive risk analysis framework will not be sui ... read more

RP Market Watch

			27-Oct-2008 \| Combining reactivity and robustness After reaching unprecedented levels, the oil price has been severely dropping since last July. The oil barrel lost about 40% of its value in less than 3 months.To what extend can quantitative models help to detect such drastic changes on the markets? Are there signals, information on the market that can be used to design reactive investment strategies?The RP Quant Global Macro Index is an example of how well-tuned quantitative models can hel ... read more

			23-Oct-2008 \| RaisePartner sponsor of GAIM Geneva RaisePartner is sponsoring the next Fund of Funds GAIM event taking place November 11th, 12th and 13th in Geneva. This conference will deal with the challenges and opportunities in a changing investment and economic environment. Come and meet us at our exhibition stand!read more

			20-Oct-2008 \| RaisePartner in Australia RaisePartner participated to the last Q group colloquium that was held in Sydney on October 16th. Among the many Quant topics that have been discussed, Véronique Piolle and François Oustry presented a Global Macro investment strategy with positive asymmetry preferences.read more

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Numéro 8 sur 10 newsletters

Latest newsletters

Combining reactivity and robustness

RP Quant Global Macro Index

The Quant Corner

RP Market Watch

Combining reactivity and robustness

RaisePartner sponsor of GAIM Geneva

RaisePartner in Australia