Research paper // Portfolio construction : seeking consistency between strategic risk and active risk
Seeyond and Investment and Client Solutions investment divisions present their research paper "Portfolio construction : seeking consistency between strategic risk and active risk".
Senior Financial Engineer
Seeyond, Natixis AM
Head of Investment and Client Solutions
« When investors purchase an actively managed multi-asset classe portfolio, they expose themselves to three types of risk:
- the risk which derives from the strategic allocation the investor has chosen (volatility);
- the risk resulting from the tactical management implemented by the allocation manager for this strategic allocation (allocation tracking error);
- and finally, the selection risk resulting from the different investment vehicles, if they are actively managed (selection tracking error).
As a result, how can we ensure that all the portfolio-related risks actually correspond with the investor's expectations ? »