Tag Archives: Emerging Markets

Does Risk Parity Maximize Risk-adjusted Returns?

While it is well known that risk parity strategies typically allocate more weight or apply leverage to asset classes with lower risk, it is not well understood how higher volatility affects the Sharpe ratios exhibited by the assets that get over- or under- weighted.  We find that in practice the strategy increases an asset’s weight […]

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Like That 40% Return? Better Understand Risks First.

A July 20th WSJ article featured Quantedge Capital, a quantitative global macro hedge fund manager that gained 40% after fees year-to-date through June. The fund’s 2016 performance is outstanding indeed, as compared with major asset classes in the chart below (here and below we use the fund’s performance data from Eurekahedge):  According to the investor […]

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Remembrance of Things Past: Carmignac Patrimoine’s Resurgence

Carmignac Gestion’s flagship fund, Carmignac Patrimoine, which grew in size and stature amongst the European investment management community due to sage risk management during the Financial Crisis and stellar long-term performance, faced a difficult 2013 and early 2014. Performing near the bottom of its peers in this window of time, investors questioned whether Patrimoine and […]

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Global Emerging Markets Equity

Global Emerging Markets Equity funds’ performance varies significantly across the category, with the best 5% of the funds in the universe outperforming the market (pegged to MSCI Emerging Market Index) by approximately 22% and the worst 5% underperforming by approximately 16% over the last 52 weeks (ending October 1, 2010).What role do favourable style allocations […]

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