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IMPLEMENTING CLEVER Performance and Risk MANAGEMENT
The Risk/Return ratio is key to assess the real performance of a trade, a portfolio, a financial institution.
However, there is no ‘one-size-fits-all’ indicator or model to measure your strategies performances and portfolio efficiency.
While a simple linear regression-based factor models applies to most portfolios of risky assets, excluding options portfolio but including investments such as real estate or commodities, a much more powerful multi-regression factor model could have many advantages, including:
- The attribution of total risk to different sources, which is useful for performance analysis, benchmark selection or capital allocation.
- The evaluation of portfolio risks under “what if” or stress scenarios.
Let us help you develop the appropriate risk/return model.