Diversification
36 South opens volatility hedge fund for US pensions
US pension funds are attracted by the low correlation to mainstream asset classes offered by 36 South's flagship fund, says its CIO. He says European funds should not ignore the US market
The emergence of listed swaps and other esoteric futures contracts has piqued the interest of CTAs that are looking to increase diversification in programs by adding new markets
Hedge funds are under pressure to differentiate and explain their worth concludes a survey by SEI. Managers need to work with investors to find portfolio solutions rather than offer products
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How banks needs to consider their IT infrastructure
Banks are increasingly using their IT infrastructure to increase their competitive advantage. Learn how this can work in practice.
More Diversification articles
Properties of the most diversified portfolio
This paper expands upon "Toward Maximum Diversification", a 2008 paper by Choueifaty and Coignard (Journal of Portfolio Management 35(1), 40-51). We present new mathematical properties of the diversification ratio and most diversified portfolio (MDP),...
Risk without return
Risk-only investment strategies have been growing in popularity as traditional investment strategies have fallen short of return targets over the last decade. However, risk-based investors should be aware of four things. First, theoretical considerations...
Asset allocation with conditional value-at-risk budgets
Risk budgets are frequently used to allocate the risk of a portfolio by decomposing the total portfolio risk into the risk contribution of each component position. Many approaches to portfolio allocation use ex post methods for constructing risk budgets...
Latest Issue: Volume 2/Number 2, Spring 2013
Welcome to the spring 2013 issue of The Journal of Investment Strategies. You will find four papers in this issue: three research papers and one in the Investment Strategy Forum section. The research papers cover topics from high-frequency trading to...
Latest Issue: Volume 15/Number 3, Spring 2013
Farid AitSahlia Warrington College of Business Administration, University of Florida The twin objectives of risk diversification and expected return maximization are essential to portfolio efficiency. However, what constitutes an appropriate measure...
Volume 1/Number 4, Fall 2012
LETTER FROM THE EDITOR-IN-CHIEF Arthur M. Berd BERD LLC Welcome to the fourth issue of The Journal of Investment Strategies. This issue completes the first volume and the first year of our publication. We on the editorial board are proud of this achievement...
The role of diversification risk in financial bubbles
We present an extension of the Johansen-Ledoit-Sornette (JLS) model that includes an additional pricing factor called the "Zipf factor", which describes the diversification risk of the stock market portfolio. Keeping all the dynamical characteristics...
Using market and credit risk analytics to strengthen performance
How are banks improving their risk management techniques?
This handy guide reviews the various steps banks are taking to improve their risk management techniques, looking at the benefits and pitfalls of each one.
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Using market and credit risk analytics to strengthen performance
This white paper reviews the various steps banks are taking to improve their risk management techniques.
How financial services need to consider their IT infrastructure
The global credit crisis exposed the weaknesses inherent in the risk management and IT infrastructures employed by banks.
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