Abstract

http://ssrn.com/abstract=1889252
 
 

References (12)



 


 



Downside Risk Management in Emerging Markets


Issam S. Strub


The Cambridge Strategy

Edward D. Baker III


The Cambridge Strategy

April 26, 2012

Journal of Investment Consulting, Vol. 12, No. 1, 2011

Abstract:     
This article presents various techniques for downside risk control of an emerging markets equity index or long only fund. We evaluate different risk adjusted strategies applied to dynamic asset allocation between an emerging markets equity index and cash and at a later stage between an emerging markets equity index and a US bonds index. We demonstrate that it is possible to significantly reduce both volatility and maximum drawdown of an equity index without a notable decrease in returns by adjusting the allocation to the equity index according to risk levels measured either by volatility or tail risk using Extreme Value Theory. These techniques can be applied to the construction of risk control indices and funds which target a fixed level of volatility or tail risk through time.

Number of Pages in PDF File: 14

Keywords: Emerging Markets, Tail Risk, Extreme Value Theory (EVT), Dynamic Asset allocation, Value at Risk (VaR), Expected Shortfall (ES), Conditional Value at Risk (CVaR), Maximum Drawdown, Volatility, Risk Management, Risk Control Index

JEL Classification: C10, G11, G15

Accepted Paper Series


Download This Paper

Date posted: July 26, 2011 ; Last revised: May 7, 2013

Suggested Citation

Strub, Issam S. and Baker, Edward D., Downside Risk Management in Emerging Markets (April 26, 2012). Journal of Investment Consulting, Vol. 12, No. 1, 2011. Available at SSRN: http://ssrn.com/abstract=1889252

Contact Information

Issam S. Strub (Contact Author)
The Cambridge Strategy ( email )
36-38 Berkeley Square
7th Floor
London, W1J 5AE
United Kingdom
Edward D. Baker III
The Cambridge Strategy ( email )
7th Floor, Berger House
London, W1J 5AE
United Kingdom
Feedback to SSRN


Paper statistics
Abstract Views: 2,713
Downloads: 547
Download Rank: 26,666
References:  12

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo8 in 0.328 seconds