Expected drawdown parity tackles tail risk

GAM portfolio construction offers alternative to backward-looking methods


Most approaches to portfolio construction are not well equipped to deal with tail risk, and at the same time they do not adequately compensate investors for the risk they take. A new methodology developed by GAM - expected drawdown parity (EDP) - seeks to address these two challenges. Combined with an intuitive analysis of correlations of return sources through the proprietary cluster map analysis, it provides a robust, forward-looking tool for portfolio construction.

No risk, no excess return

To continue reading...