Demand for private markets has seen continued growth. Shar Kassam, vice-president at Nasdaq, and head of Nasdaq Asset Owner Solutions, explores why market volatility has led to additional considerations for portfolio construction, cashflow and liquidity…
This paper presents a novel, practical approach to risk management for multifactor equity investment strategies.
Is factor momentum greater than stock momentum? Yes – this paper argues – but only at short lags.
Independent component analysis is proposed as an alternative to principal component analysis
This paper revisits the cross-sectional approach to the performance analysis of multifactor investment strategies.
Portfolios could lose more than one-third of their value if inflation stays high, suggests crowd-sourced scenario exercise
Ex-Citadel, Millennium risk manager says fundamental investors have much still to improve
This paper treats covariance as uncertain in order to find a risk parity weighting that does not count on perfectly optimized hedges and is robust to changes in regime.
Ultra-low rates force investors to rethink role of fixed income as diversifier
A new diversification measure appears to produce better results than mean-variance optimisation
Strategies miss recovery from March plunge, prompting rethink on speed of mean reversion
This paper examines the dynamics and spillover behavior between time-varying optimal weights and hedge ratios in order to analyze optimal volatility allocation spillover and characteristic structure.
As impending global changes brought about by climate change loom, one issue in particular threatens to cause massive losses to institutional investors – rising sea levels. David Lunsford and Boris Prahl, of MSCI, explore where, despite the efforts of…
Amid a global push towards green policies, the reality of overhauling how industries worth trillions of dollars operate is causing concern. A forum of market participants and sponsors of this report discuss the levels of awareness of climate risk and its…
Machine learning shows promise in grouping assets better, predicting regime shifts
Guillaume Arnaud, global head of quantitative investment strategies (QIS), and Sandrine Ungari, head of cross-asset quantitative research at Societe Generale, explore the benefits of QIS for investors, why flexibility is crucial for investors to meet…
After a difficult 2018, investors are increasingly wary of risk premia, concerned that factors leading to underperformance might be a recurring problem. Imene Moussa, executive director at UBS, clarifies this issue
Venturelli and Kondratyev use quantum annealers to optimise portfolios
Hamza Bahaji introduces a new approach to core-satellite investing, the compound portfolio insurance