Okay #volatility twitter and #pensions twitter, the #AIMCo post mortem on their VOLatility Trading Strategy (VOLTS) program was released last week. aimco.ca/insights/volts…
@bennpeifert @choffstein @profplum99 @PensionPulse
@bennpeifert @choffstein @profplum99 @PensionPulse
If you work in financial technology development/implementation please use this as motivation for your painful, but vital work
"The limitations of the risk system had previously been recognized, and its replacement had been identified and was in the process of being implemented"
"The limitations of the risk system had previously been recognized, and its replacement had been identified and was in the process of being implemented"
A risk system is hard to implement because it needs fresh data feeds to all the live positions and prices. It is less hard to do a snapshot risk assessment and to react to its findings. Blaming technology is problematic here.
I take no pleasure in this (literally my pension). The key line:
"At the same time that the VOLTS portfolio was being shifted towards the higher risk capped/uncapped contracts the size of the portfolio was being substantially increased above that of the pre-2018 strategy"
"At the same time that the VOLTS portfolio was being shifted towards the higher risk capped/uncapped contracts the size of the portfolio was being substantially increased above that of the pre-2018 strategy"
I really appreciate the plain-talking explanation here. Even if we don't know the detailed nuances, it says bigger positions that are each more risky. If their internal recommendations are written that clearly it would really help. Were they? Are they now?
(All #fintwit threads must lead back to share buybacks. This blog last week is my original content) medium.com/@Zerodown0/sha…
Okay and inquiring minds want to know... what are the other 51 equity strategies in 140 characters per strategy? 
