Having just experienced a global pandemic that sent equity markets into a tailspin in March 2020, riskmanagement is a more relevant topic than ever. It remains, however, an often poorly understood afterthought. Many portfolios are designed without any thought given to riskmanagement before they are handed off to a dedicated—but separate—riskmanagement team.
In StrategicRiskManagement:DesigningPortfoliosandManagingRisk, Campbell R. Harvey, Sandy Rattray, and Otto Van Hemert deliver a reimagining of the riskmanagement process. The book envisions a marriage between the investment andrisk processes, an approach that has proven successful at the world’s largest publicly listed hedge fund, Man Group.
The authors provide readers with a new framework for portfolio design that includes defensive strategies, drawdown risk controls, volatility targeting, and actively timing rebalancing trades. You will learn about how the book’s new approach to riskmanagement fared during the recent market drawdown at the height of the COVID-19 pandemic. You will also discover why the traditional risk weighting approach only works on certain classes of assets.
The book shows you how to accurately evaluate the costs of defensive strategies and which ones offer the best and
most cost-effective protection against market downturns. Finally, you
will learn how to obtain a more balanced return stream by targeting
volatility rather than a constant notional exposure and gain a deeper understanding of concepts like portfolio rebalancing.
Perfect for people working in the asset management industry and financial policy makers, StrategicRiskManagement:DesigningPortfoliosandManagingRisk will also earn a place in the libraries of economics and finance scholars, as well as casual readers who take an active approach to investing in their savings or pension assets.