Most approaches to portfolio construction are not well equipped to deal with tail risk, and at the same time they do not adequately compensate investors for the risk they take. A new methodology developed by GAM - expected drawdown parity (EDP) - seeks to address these two challenges. Combined with an intuitive analysis of correlations of return sources through the proprietary cluster map analysis, it provides a robust, forward-looking tool for portfolio construction.
No risk, no excess return
The week on Risk.net, July 7-13, 2018Receive this by email