Content provided by Rusty Vanneman, CFA, CLS Chief Investment Officer

We recently updated the CLS Risk Budgeting White Paper. Thanks to many hours of work led by Scott Kubie and Rui Wang, along with numerous contributions from the entire Investment Team and Investment Committee, we believe we were able to improve our risk budgeting methodology and capture some of the key enhancements to our research process.

For starters, our risk budgeting tool should become even more responsive to changes in asset class segment risk characteristics. Key changes to the methodology include weekly updates instead of monthly updates, and emphasizing a one-year time frame when incorporating various historical risk measures.

In addition, our research process has been fortified over the last year. As we’ve mentioned in past commentaries and blog posts, the size of our investment team has grown. This has enabled us to broaden our reach and ability to turn over more stones. It has also enabled us to build and incorporate more tools to support the portfolio managers and their portfolio decisions. For instance, we are now able to more effectively cover over 80 asset class segments and strategies. We have also expanded our investment analysis toolkit. While we still use many of the tools that we have used for years, we have broadened our investment analysis inputs, bringing in additional economic, fundamental, valuation, technical, and statistical factors.

In sum, we believe the new and improved CLS Risk Budgeting White Paper adequately captures some of the major enhancements that we’ve made over the last year. We’re excited to implement them, and we hope you enjoy the paper. At minimum, it will look very impressive on your desk, office lobby, coffee table, or bedside stand!

Download the PDF:

http://www.clsinvest.com/download/risk-budgeting-white-paper/

 

 

 

 

The views expressed herein are exclusively those of CLS Investments, LLC, are not meant as investment advice, and are subject to change. No part of this report may be reproduced in any manner without the express written permission of CLS Investments, LLC. Information contained herein is derived from sources we believe to be reliable, however, we do not represent that this information is complete or accurate and it should not be relied upon as such. All opinions expressed herein are subject to change without notice. This information is prepared for general information only. It does not have regard to the specific investment objectives, financial situation and the particular needs of any specific person who may receive this report. You should seek financial advice regarding the appropriateness of investing in any security or investment strategy discussed or recommended in this report and should understand that statements regarding future prospects may not be realized. You should note that security values may fluctuate and that each security’s price or value may rise or fall. Accordingly, investors may receive back less than originally invested. Past performance is not a guide to future performance.
0684-CLS-3/22/2013