Giulio Renzi-Ricci is head of asset allocation for Europe at Vanguard, specializing in multi-asset portfolio construction, single fund solutions and econometric forecasting. His research has covered topics on factor investing, active-passive blending, dynamic portfolio optimization and ESG investing. His research has been published in The Journal of Investing and The Journal of Portfolio Management, among others. Before joining Vanguard, Giulio worked at NERA Economic Consulting where he provided expert analysis on financial derivatives pricing, and the suitability of trading and investment strategies. Before that, he was a fixed income structuring analyst at Banca IMI in Milan. Giulio holds a MSc in financial economics from the University of Warwick and a BSc in economics and finance from Bocconi University.
The authors apply k-means clustering to low interest rate periods in order to analyze the equity hedging property of government bonds.