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.
Turning on the fiscal taps
How bad will the economic fallout from COVID-19 be? Could it be worse than the Global Financial Crisis? These are difficult questions to answer with any certainty today.
Default rates forecast to rise, but from very low levels
Rating agencies Moody’s and S&P have recently forecasted that the level of corporate defaults will rise this year. The largest increase is expected in European high yield bond markets. What does this mean for bond investors?
Turning the oceans green: How shipping is cleaning up its act
On the 1st of January 2020, the global shipping industry adopted a set of regulations which affects its cost base greatly and is presenting companies with some important choices. How they react will in our view impact the performance of the sector and the relative performance of individual shippers from both an equity and credit perspective.