Risk Management

  • TRADITIONAL RISK/REWARD OPTIMIZATION OUT OF SAMPLE


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    Strategies that target high Sharpe ratios often do so at the expense of greater crash-risk.  Value-at-risk is a insufficient way to measure tail risk.
    • Statistical power is low
    • Model-selection risk
  • RACON MULTI-VARIATE RISK MANAGEMENT


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    Racon's risk management platform works to generate positive returns while reducing crash risk through the use of advanced tail risk methods:
    • Bayesian updating
    • GARCH correlation models and cross asset class allocations