Lots of talk about town on #NVIDIA. When we speak to our #portfoliomanager clients, they are (rightfully) concerned about what would happen if this “super-stock” experienced a correction. In this article we look at the specific industry and style factors that are the most impacted by a drop in performance. https://lnkd.in/dWXE72HR Leon Serfaty, CFA Melissa Brown
Rod Jones
2d
Great piece.
Accomplished equity risk management executive with expertise in quantitative analysis, portfolio construction, risk reporting and oversight.
3dThis analysis really was prompted by queries from our risk model clients- I can't recall another time in my career working with risk models that I have been asked about an asset's impact on a factor (it's typically the reverse)! The stress test on the index is also unique, and opposite to how stress tests are typically conducted. Nevertheless, the results of both the stress tests and the factor portfolio attribution both illustrate the extent to which we are in uncharted waters with respect to concentration in the US market, at least within the history of our US models, which goes back to the early 1980's.