The Realities of Realizing Risk
Kathryn M. Kaminski, Ph.D., Chief Research Strategist, and Ying Yang, M.F.E., Junior Research Scientist, review realized risk in 2020 and the first half of 2021 and decompose realized risk into several key components.
Kathryn M. Kaminski, Ph.D., Chief Research Strategist, and Ying Yang, M.F.E., Junior Research Scientist, review realized risk in 2020 and the first half of 2021 and decompose realized risk into several key components.
Kathryn M. Kaminski, Ph.D., Chief Research Strategist, describes different top-level approaches to volatility and the ways in which managers can approach risk in their strategies.
Drs. Andrew Lo and Alexander Healy propose a futures overlay strategy designed to hedge out or control the common factor exposures of gated assets. The study demonstrates that by taking countervailing positions in stock, bond,...