We Help
Institutional investors in

  • Manager Selection
  • Portfolio Optimization
  • Risk Management

Institutional investors manage funds that are entrusted to them under very precise mandates,┬áin order to meet liabilities. Their allocations are divided into “pockets” that correspond to known risk profiles (bonds, equities, emerging markets, alternatives, etc.) Freedom exists for them in the choice of managers, which they are entitled to closely monitor and verify their tracking error against established benchmarks. The “alternative” pocket allows more leeway in the allocation and is essentially driven by “absolute return” concerns. Fund allocators must analyse and understand the risk of managers they hire, whether to track and beat a benchmark or to deliver absolute returns. Style drift may have dramatic consequences on their ability to match liabilities. A thorough up-to-date vision of their risks and expected performance given the economic environment is key to achieve their mandate and ensure that liabilities are properly covered.

Manager Selection

Alpha adjusted for extreme risk

Hidden risks, fragility/antifragility

Asymmetries

Style drift

Portfolio Optimization

Risk contribution

Return expectation

Optimization/Balance

Stress testing, behavior in crisis

Risk vs. Expectations

Asymmetries

Risk Management

Hidden risks, correlation breaks, vanishing diversification

Stress testing, behavior in crisis

Macro-hedge

Risk Sources

Behavior under stress

Market fragility

Crisis probability

Regime changes