MONTREAL, April 19 /CNW Telbec/ - Brockhouse Cooper Asset Management's
White Paper: A Constant Volatility Framework for Managing Tail Risk has been awarded the 2010 AIMA Canada- Hillsdale Research Award
Authored by Dr. Alexandre Hocquard, Portfolio Manager; Sunny Ng,
Director Alternative Strategies and Dr. Nicolas Papageorgiou, Director
Quantitative Research and Associate Professor at HEC Montreal, the
paper presents a novel approach to managing tail risk.
"We are honored to have our research chosen for this prestigious award,"
said Mr. Ng. "We believe our innovative risk management strategy,
which is rooted in academia, presents our clients with a practical and
cost effective approach to managing tail risk."
The authors' research shows that the failure of strategic asset
allocation as the sole risk management tool can largely be attributed
to the fact that volatility is not stable over time, and historical
correlations between asset classes tend to break down during periods of
market stress. Conventional tail-risk hedging techniques such as the
use of options, swaps, and other insurance instruments can be costly
and implicitly create a drag on portfolio performance. In response,
the authors demonstrate that investors can better manage tail risk and
improve risk-adjusted returns by seeking to maintain a constant level
of volatility. Their approach uses futures contracts to dynamically
adjust the portfolio's exposure in response to changes in the
prevailing level of market volatility.
A summary of the paper will be published in the Canadian Investment Review. You may read the full text at: http://www.brockhousecooper.com/en/interact/publications/.
The ACHRA prize, now in its sixth year, is given annually to academics,
students or practitioners in Canada who conduct proprietary research
pertaining to any aspect of alternative investments. The winning
submission is determined by an independent adjudication panel chaired
by Paul Bates, Dean of the DeGroote School of Business at McMaster
University. The panel consists of leading academic faculty from
business schools across Canada.
Brockhouse Cooper Asset Management (BCAM) provides an open-architecture,
fully customizable asset management service for institutional and
private investors. In addition to select traditional investment
strategies, BCAM creates tailored investment solutions and products
designed to meet the specific requirements of clients. BCAM is a
division of Pavilion Asset Management Ltd, a wholly-owned subsidiary of
Pavilion Financial Corporation, a global financial services firm with
offices in Canada, the UK and Israel.
SOURCE Brockhouse Cooper Asset Management (BCAM)
For further information:
Deanna Allen, VP, Marketing & Communications,