Investment Insights

Risk & Reward – 1st issue 2020

Research and investment strategies

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. 

Risk & Reward – 1st issue 2020

Are you taking enough risk? How do you know?

Michael Marshall

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.

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Risk & Reward – 1st issue 2020

Adding equity upside potential to fixed income portfolios

Robert Young and Leyla Greengard

We show how enhancing a fixed income portfolio with equity options may lead to a more appealing risk/return profile.

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Risk & Reward – 1st issue 2020

Forging ahead in China

Andrew Lo

We spoke to Andrew Lo on the China Position Study, a survey of global investor sentiment towards Mainland China.

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Risk & Reward – 1st issue 2020

A factor-based buy-and-hold strategy for bonds

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

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Risk & Reward – 1st issue 2020

Integrating low volatility style exposure into core equity factor investments

Michael Fraikin, Xavier Gerard, André Roberts

Some authors have recently cast doubt on the robustness of the low volatility effect. We challenge the generality of this position. 

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Risk & Reward – 1st issue 2020

A forecast combination approach to equity factor timing

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.

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Risk & Reward – 1st issue 2020

Economic versus statistical clustering in multi-asset multi-factor strategies

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.

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Investment risks

  • 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.

Important information

  • 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.