Tag Archives: leverage

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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Brilliance Bundled in Quantity: The Quest to Understand Liquid Alts

Liquid Alternatives are rapidly gaining a foothold in investors’ portfolios. A recent survey of Defined Contribution (DC) consultants by Pimco showed bullish predictions on the growth prospects for liquid alternatives and enthusiasm for the inclusion of these offerings in DC retirement plan lineups and products, including custom target date and target risk funds. 40 Act […]

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Chart of the Week: QE3’s Big Winners – Positioned for the Printing Press

While attention has focused on bond fund managers who benefited from the Fed’s much anticipated announcement of the next phase of Quantitative Easing (QE3) on Thursday September 13th, what happened with equity fund managers? Hindsight may be 20/20, but it is no secret that equity markets have responded ebulliently to past announcements; after all, money […]

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Quant Analysis of Paulson Advantage Funds

by Daniel Li and Alexandre Dussaucy By the end of September, John Paulson’s two flagship funds, the Paulson Advantage and the leveraged Advantage Plus fund, have lost 32% and 45%, respectively, for the year. As these losses loom large, many analyses and commentaries are trying to explain what went wrong. These reports, such as the […]

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