Scarcity of safe assets drives momentum for alternatively weighted risk premia indexes

Calibrating risk

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The scarcity of safe assets is likely to reflect equity risk-premiums, which have risen during the past year, and low risk-free bond yields, which have become negative in inflation-adjusted terms, warned Barclays Capital at the presentation of its latest annual Equity gilt study in London in February. As investors continue to scrutinise risky stocks, alternatively weighted risk premium indexes designed to outperform market-cap indexes by investing in the least volatile stocks have been attractin

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