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Portfolio Construction and Risk Management

Beta doesn't get much respect these days, but it still matters.  This portfolio manager was developing some net long exposure despite his risk model indicating strict neutrality across several metrics.  I built an approach that broke beta down into multiple buckets and found that high beta stocks were the culprit, affecting both stock selection and portfolio construction results.

Custom Risk Management Infrastructure

This multi-manager hedge fund sought market neutrality across several equity disciplines and credit.  This file includes a high level summary of the risk infrastructure and sample reports.

Multi-Asset Portfolio - Tracking Error Report

This organization provides broadly diversified portfolios and adds value through both asset allocation and manager selection.  Their primary measure of risk is tracking error to a policy benchmark that has been agreed to by their clients.

Risk Education and Asset Allocation Review

This plan sponsor is governed by professionals from non-investment fields.  They are concerned with the risks of their portfolio and want education along with ideas for how a different asset allocation might modify their risk exposure.

Investment Oversight - Process Analysis and Solution

This investment team had a very strong long-term record, but results had been lagging in recent periods.  I conducted a complete review of their people, investment process and results.  A lack of conviction in a particular sector was leading to owning second-tier names because they appeared cheap.  Otherwise, results were very good. A personnel change and a minor change to trading put them back in the top quartiles of their peer group.




The Power of Portfolio Construction: A Case Study

This market-neutral hedge fund has a strong history of producing alpha, but the portfolio has been built to be dollar-neutral at the sector level.  This case study shows why being beta-neutral is better, and why some sectors should be managed toward industry beta neutrality.

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