Market Insight - 2012 Year in Review - January 2013
Research Paper
January 7, 2013
Preview
This white paper presents model backtesting results, using RiskManager, for a number of standard risk models applied to fixed income and equity portfolios during the period December 2011 to November 2012. This is a follow up to a similar exercise published for the 2011 calendar year. Compared to 2011, this past year has been less dramatic, with all models producing relatively stable forecasts. In terms of risk forecast performance, comparing ex-ante forecasts with ex-post returns, we find that most of the models produced acceptable forecasts for fixed income and equity portfolios, with some overstatement of risk from the most long-dated model.
Read the full paper
Read the full paper
Provide your information for instant access to our research papers.
The content of this page is for informational purposes only and is intended for institutional professionals with the analytical resources and tools necessary to interpret any performance information. Nothing herein is intended to recommend any product, tool or service. For all references to laws, rules or regulations, please note that the information is provided “as is” and does not constitute legal advice or any binding interpretation. Any approach to comply with regulatory or policy initiatives should be discussed with your own legal counsel and/or the relevant competent authority, as needed.