Portfolio management
The impact of emerging risk on credit portfolio management
Bank credit portfolio managers are increasingly finding that non-financial risks, such as cyber risk and climate risk, are falling under the remit of credit portfolio management (CPM). This will also be impacted by the upcoming Basel III Final Reforms,…
We’ll help banks reach ‘other side’ of deposit squeeze – Ares CEO
Private credit firm talking with banks about liquidity and capital ‘solutions’
UBS found no advantage in quantum computing – ex data chief
Swiss bank tested various use cases in the trading business before giving up on the technology
Momentum transformer: an interpretable deep learning trading model
An attention-based deep learning model for trading is presented
‘Globalisation rewired’: what does it mean for investors?
After half a century of outsourcing production to developing nations, companies are changing tack – with long-term implications for investors
Dynamic rebalancing of a risk parity investment portfolio
The authors examine the All-Weather portfolio in relation to other popular portfolios and investigate the impact of various static and dynamic portfolio-rebalancing strategies on the All-Weather portfolio.
Quants search for way to size crypto bets
Standard models say as much as 4% of a diversified portfolio could go into digital assets
Linking performance of vanilla options to the volatility premium
A framework to account for vanilla options' performance in trading strategies is presented
Fog of war: the struggle to manage geopolitical risk
Financial firms ponder how to factor the Ukraine conflict and wider global unrest into stress-testing
Does reinvesting payouts in plain vanilla exchange-traded funds enhance household portfolio performance?
This study analyzes whether reinvesting payouts in exchange-traded funds that replicate broad and internationally diversified market indexes enhances households’ portfolio performance after transaction costs.
The risk-reversal premium
We show that including risk reversals in an equity portfolio creates a better portfolio compared with a pure index position.
Portfolio rebalancing and seasonality in Canadian financial markets
Using Canadian data for the period 1957–2018, this paper provides evidence in support of portfolio rebalancing by professional portfolio managers.
The evolution of Intesa Sanpaolo’s credit portfolio management practice
In this podcast, Zoi Fletcher speaks to Elisabetta Bernardini and Biagio Giacalone about the new approaches Intesa Sanpaolo has developed to credit portfolio management.
Fat-tailed factors
Independent component analysis is proposed as an alternative to principal component analysis
A practitioner’s view of the long-term and recent performance of multifactor investment strategies
In this paper the author studies the performance of factor investment strategies from a practitioner’s point of view.
Can ESG trading and best execution coexist?
Not everyone thinks making a statement on ESG would work against client interests
Bank-run fund derivatives platforms hit records
JP Morgan’s Nexus has seen balances double, while AUM on UBS’s Neo have tripled
EU’s new carbon-scoring metric bedevils investors
Buy-side risk survey 2021: Evic could have harmful consequences for green investing
A quant’s view on protecting stock-pickers from themselves
Ex-Citadel, Millennium risk manager says fundamental investors have much still to improve
Goal-based wealth management with reinforcement learning
A combination of machine learning techniques provides multi-period portfolio optimisation
Asia moves: Deutsche appoints Asia-Pacific treasurer, Citi boosts Australian sales team, and more
Latest job news across the industry
EU funds shudder at Mifid transaction reporting plan
Repeated Esma recommendations would increase costs of single portfolio management services
Asia moves: Crédit Agricole appoints Hong Kong CEO, UBS sales head joins Morgan Stanley, and more
Latest job news across the industry
Powering through tough times
Hitachi ABB Power Grids’ dominant position in Energy Risk’s 2021 Software Rankings reflects its deep understanding of current market challenges