Know Your Risk

As most media outlets and finance professionals take an introspective look 10 years after the global financial crisis, we thought it would be apropos to revisit a paper by Andrew Rozanov, CAIA titled “Volatility, NonRandomness or Non-Linearity: What Drives Portfolio Returns in Times of Stress and Dislocation?” This paper considers what underlying exposures drive portfolio returns in periods of extreme market stress and dislocation.