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Roadmap for more upside: Designing an asymmetric risk-return-profile through systematic hedging (Zurich)

Event Description

Most investors agree that highest expected returns of traditional asset classes can be found in the equity markets. However, only few investors put all their money on the stock market as volatility and the risk to suffer from losses is perceived as too high.

To reduce risk, parts of the portfolio are allocated into fixed income assets. Due to the substantial decline in yields, the "cost" of holding fixed income investments for diversification purposes however, has dramatically increased in recent years – and with this the opportunity cost of diversification amongst asset classes.

As a result, investors aim at increasing their exposure in equities – without the willingness to accept a higher level of downside risk. To improve the trade-off between risk and return, systematic hedging strategies may allow designing asymmetric risk-return-profiles in order to re-allocate assets into equities whilst limiting the downside risk through additional convexity (downside protection).

Speaker Niklas Loer will focus on the following aspects:

  • Application of close-to-reality (non-parametric, stochastic) market models to estimate a portfolio's risk-return-profile from a buy-side perspective
  • How to measure and allocate the cost of convexity versus the cost of asset class diversification
  • Comparing the characteristics of symmetric and asymmetric risk-return-profiles from a risk-adjusted perspective

Event Type


Education Topic


Start Time

22/03/2018 12:15

End Time

22/03/2018 13:45





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Event Region


Location Info

​Saxo Bank-Trading Lounge

Ground Floor

Beethovenstrasse 33, 8002 Zurich


Speaker: Niklas Loer CFA, Director, Deutsche Bank (Switzerland) Ltd.

Niklas Loer is Head of Risk Return Engineering EMEA in Deutsche Bank's Wealth Management division. As a capital market specialist he is responsible for the development of individually tailored investment and hedging strategies for complex portfolios of private and institutional clients.

Niklas joined Deutsche Bank in 1999 and worked as a portfolio manager for institutional bond investors for several years. He then served as Executive Assistant to Juergen Fitschen (member of the management board)​, before joining the Risk Return Engineering Team in 2010. Niklas completed his studies in Business Administration at the Frankfurt School of Finance and Management and at the Warwick Business School in 2006. He has been a CFA holder since 2009.

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Event Category

CE Event

All Day Event





Content Type: MyCFA Calendar
Created at 13/12/2017 15:30 by
Last modified at 15/12/2017 16:45 by