The following research paper was selected for presentation in the Due Diligence Forum program at PortfolioConstruction Conference 2008. |
|
Category
|
Taking Stock (Australian
Equities)
|
Due Diligence Forum speaker |
David
Wanis
|
Due Diligence Forum summary |
Assessing and managing portfolio risk in small caps has traditionally been done by applying recent historic share price volatility and correlation data to an index based model in order to provide a ‘best guess’ estimate of future risk. The premise behind this method is that the recent past is the best estimate of future events and as such, portfolio risk measurement has become defined by this ex-post approach. This presentation and underlying research paper address an alternative approach using a combination of fundamental stock level research and quantitative methods to estimate ex-ante portfolio risk based on exposure to three primary characteristics: operating leverage; financial leverage; and, diversity of portfolio free cashflow to specific macro-economic influences. |
© 2008 Portfolio Construction Forum,
Brillient Investment Publishing Pty Ltd ABN 19 122 531 337.
All rights
reserved. Refer
Terms & Conditions of Use
.