Reading Time: < 1 minuteIf you’d like to read more about these ideas then why not check out my first blog which mentioned the ideas, from back in September 2012 here, or you can read more detail about how volatility control allows you to protect a portfolio against sharp falls, for a much reduced cost compared to a passive … More Short video: Driving to the conditions, equity volatility and how to control it

Reading Time: 3 minutesThis Tuesday I’ve got the pleasure of moderating a panel discussion at the CBOE Risk Management Conference on the subject of option usage among institutional investors. Over the last few days I’ve been thinking about how to approach this topic with the panellists, who represent some of the largest and most sophisticated institutional investors across Europe … More The Role of Options

Reading Time: 4 minutesEver since the world’s major central banks first started their various programs of liquidity injection and asset purchase, financial markets have for the most part existed in an odd world where, paradoxically, bad news on the economy was believed to hail increased asset purchases and therefore was positive news for the prices of equities, credit … More Why Bad News is no longer Good News (almost)

Reading Time: 3 minutesThe Highway Code is full of great advice, designed to keep us safe on the roads, what is less well-known is that it also contains some very helpful advice on investment strategy, take for example sub-paragraph 146 of General Rules, Techniques and Advice for all drivers :  146 Adapt your driving to the appropriate type and … More What does The Highway Code say about investment strategy ?

Reading Time: 5 minutesRecent research by Deutsche Bank helps pension funds understand differences between the models commonly used by asset managers and advisors to allocate their assets Deutsche Bank (DB) recently published a substantial piece of work analysing different approaches to portfolio construction which makes a useful contribution to the existing material available on the issue. http://pull.db-gmresearch.com/cgi-bin/pull/DocPull/64-FF1A/74067871/0900b8c086a8e89a.pdf As … More What does diversification mean to you ?

Reading Time: 4 minutesA version of this article subsequently appeared in the July 2013 of Outlines on page 6 UK Pension funds and inflation UK defined-benefit pension funds tend to have liabilities linked to inflation, due to the contractual revaluation of benefit payments for active and deferred members each year, and the annual increases granted on pensions in … More Inflation risk – mind the cap (and floor)

Reading Time: 6 minutesIt’s a question that’s been on my mind for a few weeks. Ever since the gold price saw moves which amounted to experiencing an entire year’s worth of volatility in a single day, I’ve been wondering whether such an asset deserves a place in the portfolio of a long term investor seeking diversified sources of … More Does Gold belong in an institutional investor’s portfolio ?

Reading Time: 4 minutesA lot of the criticisms of Risk Parity that I come across share similar themes, some of which are based on misunderstandings of what most Risk Parity providers actually do. These FAQ are designed to address some of the more common themes that we see and hear in the industry press 1.       Is Risk Parity … More Six FAQ On Risk Parity

Reading Time: 3 minutesSeveral long term studies have presented compelling evidence, and fundamental reasoning, that trend following is an investing approach that delivers good risk adjusted returns. First up is AQR’s A Century of Trend Following Investing, where the authors present evidence to show that a combination of relatively simple trend strategies operating over 1, 3 and 12 … More The trend is my friend (again): business as usual after “wrong type of volatility”

Reading Time: < 1 minuteNo great surprise given the recent events in Cyprus, but as we can see from the chart below VSTOXX continues to trade at a higher level than the VIX or VFTSE volatility indices, continuing a trend that’s been evident since late 2011. (click to enlarge) In particular the Cyprus situation has seen the VSTOXX index … More Equity Market VolRadar : VSTOXX Trading At a Premium to VIX