Investor Analytics: The Russo Ratio - Decoupling Volatility And Correlation

How much of your portfolio’s risk comes from the volatilities of the individual investments you’ve made and how much comes from the interactions those investments have with each other? Most portfolio risk models scramble volatility and correlation together and do not allow a separation of risk into a “pure volatility” component and a “pure correlation” component, even though those two measures are key ingredients in the models. We have devised a method of decoupling these two important

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risktech Forum? Register for access

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a RiskTech Forum account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can contact us to request an individual account here.