We offer a new perspective on risk, discuss adding equity upside potential to fixed income portfolios, comment on the China Position Study and provide four studies in factor investing.
Standard measures such as volatility or standard deviation of (past) returns are often misleading. We propose using a different metric, Internal Portfolio Risk, to evaluate the level of risk in a portfolio.
Jay Raol and Amritpal Sidhu
Factor investing often entails a correlation matrix so complex that it cannot be fully analyzed. We show how this problem can be addressed using hierarchical clustering techniques.
Michael Fraikin, Edward Leung and Dr. Harald Lohre
We investigate the benefits of forecast combination for timing equity factors and analyze different aggregation methods based on predictive regressions and macro predictors as inputs.
Dr. Martin Kolrep, Dr. Harald Lohre, Erhard Radatz and Carsten Rother
Using hierarchical clustering techniques, we investigate meaningful ways of generating a coherent multi-asset multi-factor allocation to harvest the associated asset and factor premia in a balanced fashion.
- The value of investments and any income will fluctuate (this may partly be the result of exchange rate fluctuations) and investors may not get back the full amount invested.
- Where individuals or the business have expressed opinions, they are based on current market conditions, they may differ from those of other investment professionals and are subject to change without notice.
- This document is marketing material and is not intended as a recommendation to invest in any particular asset class, security or strategy. Regulatory requirements that require impartiality of investment/investment strategy recommendations are therefore not applicable nor are any prohibitions to trade before publication. The information provided is for illustrative purposes only, it should not be relied upon as recommendations to buy or sell securities.
Default rates forecast to rise, but from very low levels
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Artificial Intelligence in Financial Services: global study
Cambridge Judge Business School and the World Economic Forum have published a global study into the use of AI within financial services.
Strategies for Responsible Investing: Emerging Academic Evidence
This publication from Cambridge Judge Business School evaluates two contrasting approaches to responsible investing: “Divest or Engage?”.