KNOWRISK Consulting

What are the odds that a randomly picked stock beats the index over 10 years? About 50/50, right? Not so fast. A recent Vanguard paper found that since 1990, only about 25% of US stocks beat the index over the time they were in it. 75% underperformed. Why? Losses are capped at 100%, but gains aren’t. Over time, a handful of stocks compound into giant winners and drag the index average up. The typical stock never catches it. Vanguard found just 10 stocks out of 12,500 created

By : Peter Urbani A move to change the settings of default funds may have skewed their returns lower, and pushed more KiwiSaver members to take risk, one commentator says. In recent times, more KiwiSaver money has gone into riskier funds. About half of all KiwiSaver FUM is now in growth and aggressive funds, compared to a third a decade ago. Even within categories, funds are adding more growth assets. Peter Urbani, chief executive at KnowRisk Consulting, said people were of

Inspired by MAN AHL’s “Hidden Dependencies” article by Steven Desmyter: http://bit.ly/4wrZ0Iy Because their DEAR framework has not yet been published, I started exploring how a more general multi-objective portfolio preference framework might work in practice. (any errors or differences in interpretation are mine ) More than 70 years after Harry Markowitz introduced Mean-Variance Optimisation, it is becoming increasingly clear that real-world portfolio construction is not a s

Portfolio construction is often framed as a question of what assets to include. But that is only half the story. The other half is how we define risk, and what changes when we optimise through different risk lenses. In this presentation, I ask a simple question: If we are comfortable with a benchmark portfolio’s return and volatility, how much more return might be available at the same level of risk when risk is measured differently? The starting point is the average net ret

By : Peter Urbani Peter Urbani, from KnowRisk Consulting, has been looking at the retirement projection calculators offered by KiwiSaver providers and other institutions, and said they differed significantly. “If you put the same inputs into 13 different KiwiSaver calculators ranging from Sorted to the banks and asset managers you get 14 different results.” Using the example of a 35-year-old earning $75,000 a year with a current balance of $25,000 and contributions of 3.5%, c

With the critical importance of ensuring supplemental retirement savings (KiwiSaver) balances are sufficient to fund most New Zealanders in retirement, the online KiwiSaver calculator tools take on a new importance for the average saver. More importantly, the current calculators do not do an adequate job of revealing likely KiwiSaver survival probabilities (of not running out of savings ) at higher confidence levels. This is because the straight-line method used, is guilty

The KnowRisk Portfolio Construction Tool is an easy-to-use, versatile interface that offers solutions to all of your portfolio requirements in one place: Get Returns Data Backfill missing data View Correlations and Correlation Clusters Include Constraints (incl. RBSA) Calculate Optimal Porftolios View Detailed Performance Attribution Features institutional grade Portfolio Attribution Features multi risk measures contribution at asset class sector and style level Potential for

By Martin Hesse Analytics: Peter Urbani Last week, in...

In today’s fast-paced and ever-evolving financial landscape, businesses, endowments, and institutions face increasing pressure to...

Injudicious use of Monte Carlo simulations could overestimate individual asset risks by two thirds if strict normality is assumed and the...