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Asset Allocation, Risk Management and the Variance Risk Premium: Portfolio Management and Risk Management implications of the S&P500 predic
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This dissertation shows the practical usefulness for asset allocation and risk management purposes of the variance risk premium, an index of market implied risk aversion. With reference to the asset allocation application, the short term forecasting ability of the variance risk premium is tested in a real time experiment by simulating long/ short quarterly rebalanced portfolios invested in the S&P500 based on the prediction of econometric models incorporating the premium. The result indicates that the use of the risk aversion index allows the Investor to outperform both the buy and hold strategy as well as similar strategies not including the risk premium both on a risk adjusted basis as well an on an absolute return one. With reference to the risk management application of the risk aversion index, we modify the filtered historical simulation approach to computation of the value at risk by relaxing the assumption of random walk and replace the model drift with a time varying conditional expectation of short-term stock returns. We find that there is little evidence that value at risk models can be improved with the predictability associated with the variance risk premium.
- Published on: 2011-09-14
- Original language: English
- Number of items: 1
- Dimensions: 8.66" h x .30" w x 5.91" l, .45 pounds
- Binding: Paperback
- 132 pages
About the Author
Giacomo Allori is Credit Risk Analyst in the team of Stress Testing and Quantitative Credit Risk Strategies in Unicredit Group. Previously he worked in the team of Fixed Income and Foreign Exchange strategists in Unicredit HVB and with the Market Risk Management in Banca Italease. He holds a Master in Science in Finance from the Bocconi University.
Most helpful customer reviews
0 of 0 people found the following review helpful.
to the point and effective!
By William Della Vedova
I was looking for short term stock returns insights and I found this book very useful;
Indeed it provides groundbreaking evidence of predictability of stock behaviors. In my opinion it will be a very useful guide for asset managers and risk managers.
When investing in a security, an investor faces at least two sources of uncertainty, namely the uncertainty about the return as captured by the return variance, and the uncertainty about the return variance itself. It is important to know how investors deal with the uncertainty in return variance to effectively manage risk and allocate assets, to accurately price and hedge derivative securities, and to understand the behavior of financial asset prices in general.
The author demonstrates the predictability of quarterly variations of the S&P500 by simulating portfolios invested according to trading rules based on a risk aversion index called "the Variance Risk Premium". In a nutshell, the Variance Risk Premium is a measure of marketwide risk aversion that, foretell the stock momentum, providing short/long signals according to under/overselling.
The variance risk premium can also be analysed from the perspective of asset allocation. Carr and Wu (2007) examines whether the excess returns of selling or buying variance swaps can be explained using common factor models such as the CAPM model and the Fama-French factors, which include returns of different segments of stocks on the market.
In the book a comprehensive backtesting is provided, The best backtesting simulated portfolios achieves a cumulated 15 Years return of +1000%, VS an almost flat return of the underlying index.
As far as the risk management application is considered, the models embedding the predictability beat those based on the random walk hypothesis at weekly frequency.
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