The authors investigate risk in relation to peak-to-valley market drawdowns and aim to gain insights into the drawdown behaviour of asset classes across time intervals.
Asset allocation methods assign positive weights to cryptos in diversified portfolios
Quant says high volatility requires pricing and risk management models to be revisited
The authors return to the topic of their 2011 paper and investigate the maturation of target-date funds and their performance during the Covid-19 pandemic, finding that the funds have largely achieved their designation.
After half a century of outsourcing production to developing nations, companies are changing tack – with long-term implications for investors
Fidelity quants working on machine learning techniques to optimise investment strategies
Using reinforcement learning to help replicate asset managers' allocation strategy
Collapse in equity and bond prices leaves some funds with outsized exposure to private holdings
Following the implementation of phase six of the uncleared margin rules (UMR) this September, buy-side firms in-scope are carefully considering how to allocate capital and collateral more efficiently. Uchenna Uduji, ForexClear business manager, discusses…
Unhedged funds saw liabilities rise by up to 20% when rates pulled back
UK LDIs passed an early test from rising rates, but margin call pressure is mounting
With the right databases and intelligence, products can stand out above those of competitors
The authors use EMU data from the period between 2000 to 2020 to forecast equity risk premium and investigate Classification and Regression Trees.
Lack of inflation experience on risk teams not a concern, buy-siders say
Long-established inverse correlation between asset classes breaks down during first quarter
US institutions face a dilemma: go up a rating and lose yield or go down a rating and increase risk
A combination of machine learning techniques provides multi-period portfolio optimisation
The findings from research into the future of private market asset investing in Asia-Pacific, conducted by Asia Risk in partnership with IHS Markit, shine a light on the reasons private asset allocations decreased across the majority of investors in the…
FactSet explores why asset managers and owners are deploying novel bank-quality modelling and alternative datasets as they take aim at risk-informed portfolio management
Ultra-low rates force investors to rethink role of fixed income as diversifier
Traders signal shift to currency strategies, but is it passing fad or permanent fixture?
Second-largest US pension fund has also reduced fixed income allocation to 12% as rates have fallen
Total asset portfolios declined 6% through Covid shock