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Showing 11 - 20 of 118 entries

  1. BLOG

    Hertz So Good? 

    Sep 30, 2020 Hamed Faquiryan , Manuel Rueda

    Fixed Income , Risk Management

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    We look at the unusual bankruptcy of Hertz Global Holdings Inc. — whose equity rallied in early June, when holders of Hertz bonds were expecting losses as high as 90% in default — to discuss the importance and subtleties of firms’ capital structures.

  2. BLOG

    Can MBS Duration Turn Negative? 

    Sep 29, 2020 Yihai Yu

    Fixed Income , Risk Management

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    As mortgage rates have hit record-breaking lows, prepayment speeds have doubled. With the combination of a high price premium and elevated prepayment speed, could duration of mortgage-backed securities stray into negative territory?

  3. BLOG

    Stress Testing Inflation Scenarios 

    Sep 24, 2020 Thomas Verbraken , Daniel Szabo

    Fixed Income , Risk Management

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    Market-implied expectations indicate modest inflation. But some observers are concerned inflation may significantly rise, while others fear deflation. We discuss four inflation scenarios — and their potential implications for stocks and bonds.

  4. BLOG

    Bond Liquidity: How Bad Was COVID? 

    Sep 16, 2020 László Arany

    Risk Management

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    Was bond liquidity worse during the COVID-19 outbreak or the 2008 global financial crisis? We analyzed transaction costs from the forced selling of USD 10 million of U.S. corporate bonds, throughout the two crises.

  5. BLOG

    Alternative Views of Equity-Market Liquidity During COVID-19 

    Aug 26, 2020 Saurabh Katiyar , Reil Abucay , Chirag Gosar

    Emerging Markets , Global Investing , Risk Management

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    Institutional investors have typically used traded volume as a way to assess market liquidity. Adding alternative measures that gauge market impact and trading costs can provide a more comprehensive view for portfolio managers and traders.

  6. BLOG

    Understanding the Industry-Momentum Factor 

    Aug 19, 2020 Alex Johnson , Simon Minovitsky

    Factor Investing , Risk Management , Global Investing

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    When COVID-19 first swept through global equity markets, many factors exhibited unprecedented performance swings. How could institutional investors interpret the industry-momentum factor’s moves in the context of the underlying market dynamics?

  7. BLOG

    Did Bonds Deliver? Leveraging Fixed Income During the COVID Crisis 

    Jul 29, 2020 Juan Sampieri , Andy Sparks

    Fixed Income , Risk Management

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    Investors may employ leverage with lower-risk asset classes such as bonds to seek higher risk and returns. We assessed the effects of leverage on the returns of three hypothetical multi-asset-class portfolios during the COVID-19 crisis.

  8. BLOG

    Corporate Bonds Through a Factor and ESG Lens 

    Jul 20, 2020 Rohit Mendiratta , Hitendra D Varsani

    ESG Research , Factor Indexes , Factor Investing , Factors , Fixed Income , Risk Management

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    COVID-19 has had a profound impact on how companies manage cash flows and liquidity. Bond investors face the possibility of increased leverage, rating downgrades and defaults. Can factors and ESG metrics shed light on these risks?

Showing 11 - 20 of 118 entries