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RaisePartner e-news September 09

Non Gaussian Active Risk Management

While markets seem to be recovering some strength, new questions arise: will conservative investment strategies be able to bounce back with the market? Is it possible to gather both conservative and rebound properties in one strategy with asymetric returns?

In this newsletter's Quant Corner, we present some methodology about non-Gaussian strategies based on positive asymetry prefence.


	RaisePartner provides software components and web services for investment professionals. Through our 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

This charts shows the performances of the RP Quant Global Macro Index (green) since June 2006.

While the Macro HF industry (represented by the HFRX Macro Index) suffers large drawdowns, the RP Quant Global Macro Index achieves a +26% return over the past 3 years with a stable risk/return profile.

Learn more here .

The Quant Corner

Non Gaussian Optimization
In this Quant Corner, we present a simplified allocation process taking into account preference for positive asymmetry. We propose an incremental approach to structure this quantitative allocation: after improving the reactivity of the second order model, we add non-Gaussian constraints in the allocation model to take into account preferences for positive asymmetry. The challenge here is: are we able to take into account ex-ante numerical e ... read more

RP Market Watch

			13-Aug-2009 \| Towards new stress-test practices in the HF industry The Hedge Fund industry underwent a real-life stress test in 2008: from $1.9 trillion, AUM dropped to $1.4 trillion in 2008 and then to about $1 trillion today, resulting into the liquidation of about 1 400 hedge funds last year (see [1]). What kind of stress tests could help cover these kinds of worst-case scenarios?Clearly, most existing stress tests failed to identify potential problems during the financial crisis. For instance, the stres ... read more

			16-Jul-2009 \| Back to basis series (2) - Keynes liquidity dilemma Financial markets play a key role to provide investors with liquidity and hence enable them to move capital from low-productive savings to highly-productive investments: schooling, training, research, innovation.On the contrary, capital immobilization is a strong obstacle for investing in the real economy. Indeed nobody is willing to own a piece of a machine producing solar photovoltaic modules since it might not be easy to cash out part of ... read more

			10-May-2009 \| Back to basis series (1) - Regulation and market efficiency "Financial markets must be regulated!"; behind this current unanimity and dominant thought, can't we recognize the troubling signature of "The Market" itself? Isn't it another expression of its powerful strength to make opinions converge as well as to erase discordant or more complex statements?As John Maynard Keynes used to say : "Worldly wisdom teaches that it is better for reputation to fail conventionally than to ... read more

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Latest newsletters

Non Gaussian Active Risk Management

RP Quant Global Macro Index

The Quant Corner

RP Market Watch

Towards new stress-test practices in the HF industry

Back to basis series (2) - Keynes liquidity dilemma

Back to basis series (1) - Regulation and market efficiency