From: Rogers, James
Sent: 03 January 2019 14:20
To: Nassuphis, Nick
Subject: JR Daily Report
Nick
With all the data that you have and the various reports you currently run, I was wondering if I could get you to published a daily report specific to myself (kind of a personal version of the “pair risk contribution” with a few extra bells and whistles).
Happy to discuss and evolve but as a starter I was thinking of including the following:
1) The fund pair risk contribution table (to give me a broad overview of the fund, how I am contributing to risk etc)
2) The correlation of my portfolio to markets: beta moves, oil, currencies, USD, etc (anything that is really useful and relevant)
3) the correlation of my pairs to one another in an easy to read format (for eg is JR10 highly correlated to JR15 which is highly correlated to JR25 etc etc)
4) the look-through exposures (similar to bullet 2) but to give me a sense of what factor/sector views I currently have expressed across my positions. (for eg xxx bps overweight banks, underweight insurance, underweight real estate, long/short specific country risk etc)
From: Rogers, James Sent: 03 January 2019 14:20 To: Nassuphis, Nick Subject: JR Daily Report
Nick
With all the data that you have and the various reports you currently run, I was wondering if I could get you to published a daily report specific to myself (kind of a personal version of the “pair risk contribution” with a few extra bells and whistles).
Happy to discuss and evolve but as a starter I was thinking of including the following:
1) The fund pair risk contribution table (to give me a broad overview of the fund, how I am contributing to risk etc)
2) The correlation of my portfolio to markets: beta moves, oil, currencies, USD, etc (anything that is really useful and relevant)
3) the correlation of my pairs to one another in an easy to read format (for eg is JR10 highly correlated to JR15 which is highly correlated to JR25 etc etc)
4) the look-through exposures (similar to bullet 2) but to give me a sense of what factor/sector views I currently have expressed across my positions. (for eg xxx bps overweight banks, underweight insurance, underweight real estate, long/short specific country risk etc)
When you’re free happy to discuss, no rush etc
Cheers