Quant Strategies

Quant Corner: Understanding Active Risk and Tracking Error

Posted by Jess Gaspar, PhD, Managing Director, Head of Quantitative Research on Nov 7, 2016

Topic: Asset Allocation Investment Strategy Quant Strategies Risk Management

Investors frequently focus on the total return they experience in their portfolios. In periods when absolute returns are high, they feel good; in periods when absolute returns are low, they feel bad. Yet good performance and bad performance should not be evaluated in a vacuum, they should be evaluated relative to the risks undertaken in their portfolios.

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The Curious Case of Risk Exposures in Diversified, Multi-Asset Class Portfolios – A Deep Dive

Posted by Jess Gaspar, PhD, Managing Director, Head of Quantitative Research | Suresh Iyer, CFA, PhD, Director, Quantitative Research on Dec 30, 2015

Topic: Asset Allocation Equities Quant Strategies

Previous research at Commonfund has demonstrated that a traditional 70/30 stock/bond portfolio has north of 99 percent of its risk allocated to equities. Thus portfolio risk in the traditional portfolio is not broadly diversified across equities and fixed income, but rather, highly concentrated in one exposure: equities. Does a more diversified, multi-asset class portfolio do a better job of balancing risk?

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The Curious Case of Risk Exposures

Posted by Jess Gaspar, PhD, Managing Director, Head of Quantitative Research | Suresh Iyer, CFA, PhD, Director, Quantitative Research on Oct 30, 2015

Topic: Asset Allocation Quant Strategies Risk Management

Our research at Commonfund has found that a 70/30 stock/bond portfolio has north of 99 percent of its risk, as measured by standard deviation, allocated to equities. Thus, portfolio risk typically is not broadly diversified across equities and fixed income, but rather, highly concentrated in one exposure: equities. Does a more diversified portfolio, such as a typical endowment portfolio, do a better job of balancing risk?

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Quant Corner: What color is the little red schoolhouse?

Posted by Jess Gaspar, PhD, Managing Director, Head of Quantitative Research on Aug 17, 2015

Topic: Quant Strategies Risk Management

Welcome to the first installment of Quant Corner - where we take a closer look at investing and share insider tips, tricks from the trade, and break down common investing myths. Which brings us to the first topic: Dollar allocations ≠ risk allocation.

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Subscribe & Manage Your Frequency to Insights Blog

Posted by Commonfund on Jan 5, 2014

Topic: Asset Allocation Equities Fixed Income Governance and Policy Hedge Funds Industry Knowledge Market Commentary Operating Assets Outsourced Investing Partners People Private Capital Quant Strategies Responsible Investing Risk Management

Subscribe to the Insights Blog from Commonfund to stay informed with the latest information for nonprofit investors and the public sector.

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