News & Research

We can all agree that understanding risk – specifically, the reason why a risk number has changed – is key for sound portfolio management. This understanding becomes even more important in times of volatility when correlations that once moved in one direction can swing the other way, reducing – or even removing altogether – the diversification that was intended to protect a portfolio. But this change in risk could be down to a number of reasons, making this task quite a challenging one.

Understanding changes in risk estimates can be key, especially in times of crisis when volatilities spike and correlations point in the same direction, eliminating the diversification that was supposed to protect a portfolio.