Navigating risk cycles

Joakim Agerback and Tor Gudmundsen Sinclair

Abstract

ABSTRACT

This paper introduces "risk cycle analysis" as a simple, yet effective, process that enables investors to identify environment-specific return stream characteristics. Specifically, the information extracted from risk cycle analysis may be helpful to investors during the portfolio-construction process because it provides information concerning the relationship between a return stream and periods of varying realized volatility on a common benchmark instrument.