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雷达卡
Guiding Principles for Investment Risk & Performance Analysis Functions
1. INTRODUCTION TO THE GUIDANCE .......................................................................................... 2
1.1 INTRODUCTION AND PURPOSE ....................................................................................... 2
1.2 SCOPE AND APPROACH ................................................................................................. 2
2. GOVERNANCE .................................................................................................................... 4
2.1 GOVERNANCE OF THE RISK AND PERFORMANCE UNIT ................................................................ 4
2.2 GOVERNANCE WITHIN THE RISK AND PERFORMANCE UNIT .......................................................... 5
3. INVESTMENT RISK MANAGEMENT ............................................................................................. 6
3.1 INVESTMENT RISK SHOULD BE INDEPENDENTLY MEASURED AND MONITORED ................................. 6
3.2 PORTFOLIO AND EXECUTION RISK CONTROLS ..................................................................... 6
3.3 A VARIETY OF RISK ANALYTICS SHOULD BE USED ................................................................... 6
3.3.1 Value at Risk (“VaR”) and Conditional Value at Risk (“CVaR”) ..................................................... 7
3.3.2 Percentage and Marginal Contribution to Active / Total Risk ....................................................... 7
3.3.3 Portfolio Characteristics ..................................................................................................... 7
3.3.4 Factor Attribution ............................................................................................................ 8
3.3.5 Style Analysis ................................................................................................................. 8
3.4 RISK CONCENTRATIONS SHOULD BE UNDERSTOOD AND ANALYZED ........................................... 8
3.5 PORTFOLIOS SHOULD BE SUBJECT TO REGULAR SCENARIO ANALYSIS AND STRESS TESTING ................ 8
3.6 PORTFOLIO AND POSITION LIQUIDITY RISK SHOULD BE MEASURED AND MONITORED ........................ 9
3.7 INVESTMENT RISK SHOULD BE REPORTED VIA THE USE OF KEY RISK INDICATORS ........................... 10
3.8 RISK MODELS SHOULD BE INDEPENDENTLY REVIEWED AND AUTHORIZED .................................. 10
3.9 RISK MODELS SHOULD BE BACKTESTED ON A REGULAR BASIS ................................................. 10
4 PERFORMANCE ANALYSIS ..................................................................................................... 12
4.1 FUND PERFORMANCE SHOULD BE REVIEWED REGULARLY ..................................................... 12
4.2 FUND OUTPERFORMANCE SHOULD BE CONSIDERED EQUALLY WITH FUND UNDERPERFORMANCE ....... 12
4.3 PERFORMANCE ATTRIBUTION SHOULD BE CONDUCTED REGULARLY ......................................... 13
4.3.1 Biggest Contributors / Detractors ....................................................................................... 13
4.3.2 Sub-portfolio / Sector Returns versus Benchmarks ................................................................... 13
4.3.3 Strategy Attribution ....................................................................................................... 13
4.4 THE PROCESS OF ATTRIBUTION SHOULD BE RELEVANT TO THE MANDATE.................................... 14
4.5 PERFORMANCE SHOULD BE CALCULATED AND REPORTED IN ACCORDANCE WITH GIPS................... 14
4.6 WHERE RELEVANT, PEER GROUP ANALYSIS SHOULD BE PERFORMED .......................................... 15
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