Irene Aldridge to Speak at Cornell University on February 8, 2017
Irene Aldridge is scheduled to discuss how real-time and, more broadly, intraday risk is costing long-term portfolio managers at least 50 bps (0.5%) per annum. Registration is FREE, please click here to register today.
Many portfolio managers underestimate the effects of intraday risk on their portfolio compositions. This presentation discusses a quantitative study of the intraday risk in portfolios of equities, commodities, and foreign exchange. The study shows that accounting for intraday risk in portfolios with monthly, quarterly and even annual rebalancing can improve performance by as much as 50 bps per annum, and Sharpe ratio by 0.5.