Risk and Reward - Q1 2020

Risk and Reward - Q1 2020
This edition includes seven articles, covering a wide range of topics including factors, risk management, fixed income and the investment opportunities in China.

The first edition of 2020 leads with an article that examines the level of risk in portfolios. Michael Marshall, Risk Manager at Invesco Multi Asset, writes that standard measures such as volatility or standard deviation of (past) returns are often misleading. We propose using a different metric, Internal Portfolio Risk, to evaluate the level of risk in a portfolio.

Risk and Reward then turns to China, where Andrew Lo, Managing Director and Head of Asia Pacific, talked about the recent China Position Study, what the survey results mean, his views on China and what the future of investment in China could look like.

Also in this edition are four new studies on factor investing: we analyze a factor-based buy-and-hold strategy for bonds, discuss the merits of hierarchical clustering techniques for multi-asset multi-factor investing, investigate ways of integrating the low volatility factor in core equity portfolios and outline methods to combine forecasts in order to gain optimal factor exposures.

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