Go to content, Go to menu

LFIS’ Luc Dumontier in Risk.net on the Limits of Traditional Volatility Measures in Today’s Markets

24/05/19

In this piece from Risk.Net, LFIS joins other leading quant managers to discuss how volatility dynamics have changed and what this means for risk management and quant strategies as a whole.

LFIS’ Head of Factor Investing and Senior Portfolio Manager, Luc Dumontier describes why volatility has become a poor proxy for risk in equity markets and how using simple value at risk measures may be insufficient.  Luc illustrates this point with LFIS’ analysis of how recent market shocks in 2018 and most recently in May 2019 played out for certain quant strategies.  Understand why the Cornish-Fisher approach, which allows for skew and fat tails in the distribution of market returns might be a better approach in today’s fragile markets.

 

To access the Risk.net article (subscription required) click here.

For more information about LFIS’ Absolute Return Strategies, click here.

Back to list
Back to top
When navigating on our website, you agree to this policy and consent to our use of cookies in accordance with the terms of this policy. Read more.