Martin Leclair and Lewis Powell

The volatility of correlation and its impact on portfolio design

Since the development of modern portfolio theory, many institutional investors have used mean-variance optimization techniques to help identify their appropriate asset mix. This quantitative approach allows an investor to assess various allocations by considering the trade off between risk and return, and the relationship between the assets. The inputs to this approach include expected asset […]

July 6, 2016 September 13, 2019
09:43

The implied volatility of your investment policy

In our introductory article on volatility, A Real-Life Stress Test, we argued that the capital markets have entered a prolonged cycle of higher expected volatility. We suggested this was a time of opportunities. Indeed, a well-designed investment policy and skilled managers would surely turn this volatility into a value-add for institutional investors. In this article, […]

April 28, 2016 September 13, 2019
09:24

A real-life stress test

The year 2016 started out with a bang, to say the least. The past year marked a transition in financial markets as the U.S. hiked overnight interest rates for the first time in nine years, releasing volatility and, with it, the rally in equity markets we’ve enjoyed so much over the last five years began to […]

March 3, 2016 September 13, 2019
09:12