Authored by: Timur Kaya Yontar

Everything Old Is New Again: Portable Alpha in Theory and Practice

| Download

Executive Summary In an environment of low equity and bond returns, investors may again be looking to portable alpha as a possible solution. However, portable alpha is complex and comes with many risks, not the least of which is identifying the sources of alpha, as well as ensuring the liquidity of the alpha sources, monitoring…

Sharpening Your Beta: Understanding Risk Parity

| Download

Executive Summary Risk parity comprises strategies whose goal is to define a more “efficient” mix of assets that is more diversified across the risks caused by different asset classes and economic environments, and that yields a higher Sharpe ratio than more traditional approaches. In practice, risk parity aims to achieve this by balancing the volatility…