Risk Architecture
Return is merely a byproduct of correctly managed risk. Institutional capital allocation relies on stringent quantitative models to define, measure, and bound potential downside scenarios.
Value at Risk (VaR)
A statistical technique used to measure and quantify the level of financial risk within a firm or investment portfolio over a specific time frame.
View Framework →Maximum Drawdown
The maximum observed loss from a peak to a trough of a portfolio, before a new peak is attained. A critical measure of capital preservation.
View Framework →Risk-Adjusted Return Metrics
Absolute return tells you nothing without knowing the risk taken to achieve it. Frameworks like the Sharpe, Sortino, and Treynor ratios allow for standardized comparison of manager skill.
Sharpe Ratio
Sortino Ratio
Information Ratio