How can funds with past sustainable returns collapse in a few months?
November 2011 , by Nicolas GausselAre these abrupt changes only an indication of the risks of the market, or is it investment behaviour which favours the occurance of these extreme risks ? These are the question tackled in the last « White Paper » of Lyxor
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<p>This is an excellent paper in that it clears away much of the superficial analysis (simply looking at past performance) that many researchers conduct in measuring the risk of a strategy. I discuss this in less detailed terms in chapter 9 of (...)
mikedever [Asset Management]