Posts Tagged ‘Correlation’

Look Forward, Not Back

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August 27, 2012

Ted Lucas of Lattice Strategies produces many worthwhile reads (conveniently, they’re all archived on Lattice’s website). The man is so well-read I wonder when he finds time to sleep. In this article, he references Antti Ilmanen’s new book Expected Returns, producing a wonderfully succinct piece highlighting the dangers of “conventional price history-based risk measures,” such […]

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AQR Tail Risk Hedging Whitepaper

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March 15, 2012

Tail risk hedging (and hedging in general) has been a hot topic of discussion in recent years. With the market rally and the VIX back down to historically low levels (~15 as of this writing), I thought it appropriate to share a paper published by AQR Capital Management in the Summer 2011 (AQR Tail Risk […]

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