TRADITIONAL RISK/REWARD OPTIMIZATION OUT OF SAMPLE
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
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