The Solution cannot come from a better alpha or risk model, but from an revolutionary Investment Process concept.
Problem 1: drawdown protection has been promised to Clients but is not delivered because Risk Limits arrive too late in the worst moment: i.e. when the alpha model is recovering! As a consequence, the recover takes much longer then expected.
Major Problems when the Risk Management is not integrated with the Alpha process:
Problem 2: Risk Limits are too tight, Risk Management is eating the Alpha, as a result performance is mediocre.
BeyondQuant: an Innovative methodology beyond common quant strategies
COntact
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