Investment Insights
June 20 2020

Risk Model Estimation Currency and its Impact on Global Low Volatility Funds

20 min read

Yuriy Bodjov, CFA, Vice President & Director, TD Asset Management

Risk models are systems developed to forecast the risks of a group of assets. Quantitative asset management relies heavily on the use of risk models. Knowing which model to use, for what purpose and which market environment is the key to success for any strategy. Low volatility equity strategies are particularly dependent on the choice of equity risk models. There is an unlimited number of risk models that could be used to build a low volatility strategy. As a matter of fact, we don’t even need a model; any measure of volatility could be used to rank the investments and construct a low volatility portfolio. However, it becomes more complicated if we consider foreign investments.

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