Understanding variations in the risk of multi-strategy portfolios

Investors spend a great deal of time and effort setting a thoughtful risk budget for their portfolio,only to see all too frequently that the targeted risk will be missed by a wide margin when theinvestment process gets started. In this article, Gang Jiang, Bob Litterman and JacobRosengarten propose a simple, yet powerful, risk decomposition of the sources of the differencebetween achieved risk and budgeted risk. They also look closely at the rebalancing process inmulti-strategy portfolios, and introduce factor models to analyse the drift in correlations

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