A glossary of terms and concept frequently referenced in Windham Insights and Webinars, and applied in Windham products.

PORTFOLIO RISK
WEALTH SIMULATION
FACTOR ANALYSIS
OPTIMIZATION
EXPOSURE TO LOSS
CAPITAL MARKET FORECASTING

Risk Regimes

It has often been shown that volatilities and correlations are unstable. They may differ significantly depending on the sample used to estimate them. This video introduces a method to partition historical returns into those that are associated with quiet periods and those that reflect market turbulence.

 

 

Within Horizon Risk Measurement

Traditional risk measures focus primarily on the distribution of outcomes at the end of the investment horizon. This video describes several shortcomings of end of horizon risk measures and defines two innovative risk measures that consider risk throughout the investment period.

Full-Scale Optimization

Many assets and portfolios have return distributions that display significantly non-normal skewness and kurtosis. This video demonstrates an optimization technique that matches investor preferences with these non-normal returns.

 

 

Multi-Goal Optimization

Many investors are sensitive to both absolute performance and performance relative to a benchmark. This video introduces an efficient alternative to constrained mean-variance optimization for investors faced with the dual challenge of achieving absolute and relative performance objectives.