INVESTMENT ANALYSIS & RESEARCH

PTT is constantly analyzing the investment ecosystem.  Periodically, we publish articles and whitepapers on interesting topics.  For more timely commentary, visit PTT MONITOR.

IS ALTERNATIVE ALLOCATION THE NEW RISK PARITY?

Is Alternative Allocation The New Risk Parity?
Risk Parity strategies have been effective and popular strategies since the early 1990’s. However, the tide may be going out for risk parity strategies as rising interest rate environments impact their ability to use leverage to boost returns.

While investors wonder if this is the ebb of risk parity strategies, the number of alternative mutual funds and ETF/ETNs continues to rise. Are alternative funds the new risk parity strategies?
Alternative Allocation.pdf
Adobe Acrobat Document 2.5 MB

SEMINAR ON ADVANCED PORTFOLIO MANAGEMENT TECHNIQUES

PTT has released a new seminar on Advanced Portfolio Management Techniques using 3-D Visualization and Monte Carlo Simulation.  A more interactive webinar will be released shortly.

r-Dex: RISK DOWNSIDE EXPOSURE

r-Dex is a risk analytic that PTT uses to evaluate potential portfolio losses from a market break. 
  • Overcomes problems with Value@Risk  by stress-testing at the left-tail of expected values
  • Better simulation of an extended  “shock” in a liquidity crisis with highly correlated assets
  • Dependent and/or Independent tail-testing of various asset classes
Think, Outsource, Trade
A review of IRO in the Hedge Fund Industry.
Think Outsource Trade.pdf
Adobe Acrobat Document 36.3 KB

OTHER INTERESTING TOPICS BEING RESEARCHED:

1)  Simulation & Optimization For Funds (aka Learning To Pitch, Not Just Throw Hard)

2)  Hedge Fund Replication & Portfolio Overlay Techniques

3)  Big Data & Investment Simulation - Understanding the Signal:Noise Ratio

 

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