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11.27.2020 9 new Morning Note posts under Morning Note (9)

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"Can You See How Risk Was Managed?"

posted by CAPIS on 10/07/2020 at 10:08 am

by CAPIS

10/07/2020 at 10:08 am

This is the third and final installment is our series on Transition Management

 

Without intraday exposure charts, it would be impossible to confirm a risk management strategy.  However, when equipped with those intraday sector exposure charts, you can see how the event was handled.

The example below illustrates a clear effort to quickly reduce market and sector exposure imbalances. The dotted line represents market exposure, which became neutral to the target in the first few minutes. All other sectors were neutral by mid-day.

 

Below is an example that lacked a risk management strategy. The most obvious risk is market exposure represented by the dotted line. The portfolio began overexposed by $50 mil and reached $60 mil underexposed to the market at 13:30. This is risk clearly illustrated.

 

The CAPIS Difference:

Since 1998, CAPIS has been a trusted independent provider for transition management services; Providing unique post-trade transparency. As a true independent agency broker, CAPIS does not have the conflicts associated with proprietary risk books, internal investment management or affiliated execution venues. Our focus is simple: provide clients with superior execution, complete transparency, and personal service.

To learn more about CAPIS and how we can be a valuable resource, please contact David Choate at dchoate@capis.com and follow us on Twitter (@capisinc) and LinkedIn for more updates and insight from our team.

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