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Risk Budgeting
The mantra of every portfolio manager, fund manager and Trustee is to maximise investment return at minimal
investment risk – or in other words to operate at maximum efficiency.
Anyone involved in constructing an investment fund has come across the notion of managing risk. Under Modern
Portfolio Theory (MPT) minimising risk, or rather optimising return for a given risk tolerance, is the fundamental goal.
Risk Budgeting would appear to already be a fundamental part of the process, but at this point the cohesion starts to
break down. There is no single agreed theory as to how risk should flow through the investment structure, from setting
objectives to selecting stocks.
This reflects the fact that estimating risk is in itself a very challenging task and there are dissenting views as to its
usefulness. Most managers have different approaches as to how they tackle the integration of risk into their processes
and at a technological level it is an evolving science. At each step in the investment process there are rules of thumb
being applied, different roles carried out by different people and different technologies being applied.
Despite the problems, most investment policies would have something that they would call a ‘Risk Budget’: a plan for
allocating risk within the fund.
The points in the investment process where allocations are made would generally look like:
• Define objectives and set risk tolerance
• Select an asset class mix that meets objectives within risk tolerances
• Allocate between passive and active management
• Allocate to active managers within asset classes
• Allocate active risk by managers within their portfolio
Risk Budgeting - ARM.pdf
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