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1. Introduction
2. Summary
3. Risk management: convergent/divergent exposures
4. Background (1)
5. Background (2)
6. Characteristics of emerging equity markets
7. What is an emerging market?
8. The emerging opportunity set is broadening
9. Local currency bonds are regionally diversified
10. Statistics for emerging market equities
11. Emerging markets equities are more volatile
12. Beta versus MSCI world
13. Emerging market returns show negative skew
14. Volatility exploded during the crisis
15. EM assets are negatively correlated with dollar
16. PE for emerging market stocks
17. Greater use of tactical asset allocation
18. Advanced Beta techniques
19. Advanced Beta
20. Alternatives to cap weighting
21. Relationship between Beta and return is weak
22. Low Beta stocks outperform high Beta stocks
23. MSCI emerging markets index universe
24. The objective is to reduce drawdowns
25. Risk assessment
26. Risk analysis through multiple dimensions
27. Size and liquidity premia in emerging markets
28. Possible EM equity program structure
29. EM equity and debt share factor exposures
30. Conclusion
31. Important disclosures
32. Simulation methodology
33. Contact information
34. Biography

Topics Covered

• Emerging market risks
• Portfolio construction
• Convergent/divergent strategies
• Lessons of the great recession and global financial crisis
• Characteristics of emerging market capital markets
• Emerging market equity and debt capitalization weights
• Emerging market correlations with major asset classes
• Emerging market return distributions
• Valuation models
• Advanced beta strategies
• Managed volatility strategies
• Tactical asset allocation
• Active portfolio management
• Risk management

Links

Series:

• Risk Management for Sovereign Institutions

Categories:

• Finance, Accounting & Economics
• Global Business Management

Talk Citation

Publication History

• Published on February 4, 2014