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TheStreet Open House

Credit Suisse Asset Management Releases New White Paper On Investing In A "New Normal" Environment Of High Volatility And Low Yields

NEW YORK, April 10, 2012 /PRNewswire/ -- Credit Suisse's Asset Management division announced the release of a new white paper titled "New Normal Investing: Is the (Fat) Tail Wagging Your Portfolio?". Authored by Yogi Thambiah and Nicolo' Foscari, both from the Investment Strategy Americas CIO Office, the paper addresses how investors can adjust risk frameworks to deal with a "New Normal" environment of increasing volatility and low-yielding assets. 

The paper—the latest of several recent publications by the authors on the investing challenges in the new-normal environment—focuses primarily on risk-management techniques designed to better incorporate fat-tail risks and potentially minimize portfolio losses.

The paper's highlights and conclusions include:

  • In the new normal, fluctuations in risk appetite will be more frequent and portfolio returns will be increasingly derived from the tails;
  • As traditional measures of risk based on mean-variance optimization have failed to fully characterize return behavior, incorporating higher moments[1] (i.e., skew and kurtosis) of a return distribution have become increasingly important; and
  • Shifting the risk-management framework to accommodate fat-tail events can minimize potential portfolio drawdowns and help protect assets against extremely negative returns.

The authors conclude with a case study showcasing the proposed techniques in action.

For a copy of "New Normal Investing: Is the (Fat) Tail Wagging Your Portfolio?", please contact Katherine Herring at katherine.herring@credit-suisse.com or visit the Asset Management site at www.credit-suisse.com.

Credit Suisse AG

Credit Suisse AG is one of the world's leading financial services providers and is part of the Credit Suisse group of companies (referred to here as 'Credit Suisse'). As an integrated bank, Credit Suisse offers clients its combined expertise in the areas of private banking, investment banking and asset management. Credit Suisse provides advisory services, comprehensive solutions and innovative products to companies, institutional clients and high-net-worth private clients globally, as well as to retail clients in Switzerland. Credit Suisse is headquartered in Zurich and operates in over 50 countries worldwide. The group employs approximately 49,700 people. The registered shares (CSGN) of Credit Suisse's parent company, Credit Suisse Group AG, are listed in Switzerland and, in the form of American Depositary Shares (CS), in New York. Further information about Credit Suisse can be found at www.credit-suisse.com.

Asset Management

In its Asset Management business, Credit Suisse offers products across a broad spectrum of investment classes, including hedge funds, credit, index, real estate, commodities and private equity products, as well as multi-asset class solutions, which include equities and fixed income products. Credit Suisse's Asset Management business manages portfolios, mutual funds and other investment vehicles for a broad spectrum of clients ranging from governments, institutions and corporations to private individuals. With offices focused on asset management in 19 countries, Credit Suisse's Asset Management business is operated as a globally integrated network to deliver the bank's best investment ideas and capabilities to clients around the world.

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