Portfolio Management

  • Identify sources of returns.
  • Identify sources of risk, manage the downside
  • Navigate through different market scenarios

Portfolio Construction
in a multi-regime setting

Asset Selection

  • Risk Contribution
  • Return expectation
  • Optimization/Balance
  • Hidden risks, correlation breaks, vanishing diversification
  • Stress testing, behavior in crisis
  • Macro-hedge
  • Risk vs. Expectations
  • Risk Sources
  • Hidden Risks, Fragility/Anti-Fragility
  • Asymmetries
  • Behavior Under Stress

Fund Selection

  • Risk vs. Expectations
  • Risk Sources
  • Alpha adjusted for extreme risk
  • Hidden Risks, Fragility/Anti-Fragility
  • Stress Testing, behavior in crisis
  • Asymmetries
  • Style drift

Risk Timing &
Market dynamics

  • Market Fragility
  • Crisis Probability
  • Regime Changes
  • Benefit, rather than suffer, from crises