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RaisePartner e-news April 08

Regime switches and rare events

This month, we pay a close attention to the latest regime switches on the markets by focusing on the dynamics of the correlations. See how the RP Quant Global Macro strategy has been detecting these changes on the financial markets.

After the failure of standard risk measures (such as the VaR) to detect the scope of the subprime crisis, financial actors have shown a growing interest for alternative risk measures: this month, the Quant Corner focuses on the Conditional VaR and its interesting properties for portfolio design.


	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

How does the RP Quant Global Macro Index react to the regime switches of the financial markets?

How does its composition adjust to the dynamics of the cross-sector correlations?

The correlations dynamics are key indicators of the market trends. Right before the subprime crisis, the correlations went up dramatically, leading the RP Quant Global Macro strategy to lower its exposition to the Equity sector.

Since the beginning of 2008, correlations seem to go down again, strenghtening the position of the Global Macro Index on the Equity sector: but should it be interpretated as the sign of a lasting rebound?

Click here to read on

The Quant Corner

Conditional VaR
"Finance is an area that's dominated by rare events," says Nassim Taleb*. "The tools we have in quantitative finance do not work in what I call the Black Swan domain."To illustrate what the Black Swan stands for, let’s look back at the past cou ... read more

RP Market Watch

			21-Apr-2008 \| Capital inflow towards emerging countries According to the “law of diminishing returns”, capital should have flown faster towards the emerging countries.For a long time the classic economic theory relied on the sacrosanct "law of diminishing returns". This law lies on an intuitive idea: the bigger the money invested in an economy (be it a country or a company), the more friction there are and the more the injected fuel is burnt. The upstream production means ge [...]

			14-Apr-2008 \| A world economy caught between fire and ice Thursday April 10th, the day before the G7 summit, the International Monetary Fund director Dominique Strauss-Kahn called for strong vigilance, referring to the growing signs of inflation in a worldwide low-growth economical context. Caught between “fire and ice”, the governments do not have much breathing space left.DSK also underlined that the rising food prices would not help the poverty reduction efforts worldwide, and could [...]

			31-Mar-2008 \| US household confidence at its lowest The drop in real estate prices and the credit crisis are at the root of the American economy current decline.The real estate crisis - As opposed to the 1991 and 2001 recessions, the current slowdown of the American economy is not being deliberately provoked by the Fed to hold back the inflation. This time, the starting point of the crisis is exogenous and is not controlled by the Fed: the real estate bubble burst. Real estate prices have dro [...]

			18-Mar-2008 \| Liquidity or solvability crisis? At first, financial markets considered the intervention of the Fed early last week as a divine intervention. By injecting billions USD and accepting subprime-related assets as a guarantee for these loans, the Fed tried to buy some precious time in the financial crisis. But instead of slowing down the pace, this intervention shrank time, as if it was confirming the deterioration of the situation on the financial markets. The bankruptcy of the [...]

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Numéro 5 sur 10 newsletters

Latest newsletters

Regime switches and rare events

RP Quant Global Macro Index

The Quant Corner

RP Market Watch

Capital inflow towards emerging countries

A world economy caught between fire and ice

US household confidence at its lowest

Liquidity or solvability crisis?