Journal of Investment Strategies

Navigating risk cycles

Joakim Agerback and Tor Gudmundsen Sinclair


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.

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