Extended-lister

Filters
 

TAGS

Nothing was found.

Showing 11 - 20 of 46 entries

  1. BLOG

    Santander’s coco extension: The new market norm? 

    Mar 18, 2019 Imre Vörös , Gergely Szalka

    Models/Client Cases , Fixed Income , Risk Management , Integrated Risk Management

    Learn More

    Banco Santander announced it would extend — i.e., not call — its additional-tier-one contingent-convertible (coco) bond. Was the market caught off guard?

  2. BLOG

    The risk in risk-parity strategies 

    Mar 13, 2019 Thomas Verbraken

    Fixed Income , Integrated Risk Management

    Learn More

    The relationship between bonds and equities may be especially important to investors who employ a risk-parity approach. In our analysis, as the bond-equity correlation turned strongly positive, the effect on risk-parity portfolios was much greater than that on traditional 60/40 equity/bond portfolios.

  3. BLOG

    What would a “No deal” Brexit mean for markets? 

    Jan 17, 2019 Thomas Verbraken

    Global Investing , Integrated Risk Management

    Learn More

    Financial markets are increasingly edgy about prospects for the U.K. Parliament’s expected Dec. 11 vote on a Brexit deal with the European Union.

  4. BLOG

    U.S. real yields: opportunities and warning signs 

    Dec 12, 2018 Andy Sparks

    Fixed Income , Integrated Risk Management

    Learn More

    Despite the recent rally in the U.S. government bond market, real U.S. bond yields (i.e., nominal yield minus the market-implied rate of inflation) still remain substantially higher than at the beginning of the year. This may be both a blessing and a curse for investors.

  5. BLOG

    Investing in convertible bonds when rates rise 

    Nov 30, 2018 Gergely Szalka

    Models/Client Cases , Fixed Income , Risk Management , Integrated Risk Management

    Learn More

    Is my convertible bond more like a stock or a bond? How can I identify convertible bonds offering protection from rising rates?

  6. BLOG

    Credit binge hangovers have historically been a challenge 

    Nov 9, 2018 David Zhang

    Fixed Income , Risk Management , Integrated Risk Management

    Learn More

    Credit spreads and debt issuance are at historical levels, as credit markets show signs of overheating. History has shown that following an overheated credit market, long-term credit returns have been generally weaker, in absolute terms and relative to U.S. Treasurys; particularly for high yield (HY). Given the intensity of past credit binge hangovers, long-term investors may want to review their current asset allocation strategies.

  7. BLOG

    Is the bond-equity hedge slipping away? 

    Nov 1, 2018 Thomas Verbraken , Michael Hayes

    Equity Themes , Fixed Income , Integrated Risk Management

    Learn More

    In October, the 10-year U.S. Treasury yield hit a 7-year high in response to strong economic news, contributing to the second major equity sell-off this year.1 If positive moves in yield continue to drive down equities, this would mean an end to the hedge between stocks and bonds that has been in effect since around 2002. Investors may seek alternative means of diversification, with potentially deep ramifications for strategic asset allocation decisions and multi-asset class strategies.

  8. BLOG

    Hedge Fund returns: Is fund selection important? 

    Oct 22, 2018 Yang Liu

    Models/Client Cases , Factors , Integrated Risk Management

    Learn More

    Many investors view hedge funds as a way to generate returns uncorrelated with other parts of the portfolio. We found that performance and sources of performance varied, but that exposure to traditional and factor investing strategies accounted for the majority of a typical hedge fund’s returns. Should hedge fund investors pay particular attention to fund selection?

  9. BLOG

    Are Argentina and Turkey just the first dominoes to fall? 

    Oct 17, 2018 Thomas Verbraken , Limin Xiao

    Emerging Markets , Fixed Income , Risk Management , Integrated Risk Management

    Learn More

    Argentina and Turkey have experienced sharp corrections in their currency and debt markets over the past couple of months, leading investors to worry about possible contagion to other emerging-market (EM) countries. Are other emerging markets heading in the same direction?

  10. BLOG

    Is MBS refinance risk increasing? 

    Oct 12, 2018 Joy Zhang

    Integrated Risk Management

    Learn More

    With the Federal Reserve raising interest rates and the majority of agency mortgage-backed securities (MBS) under the refinance threshold, how much do investors need to worry about refinance risk? Our model indicates that future refinance regimes would be similar to recent 2016 experiences, and this view is consistent with current behavior of MBS empirical durations. However, investors may want to remain vigilant, as the recent trend toward looser mortgage credit standards by agencies and regulators could increase the prepayment intensity of future refinance waves.

Showing 11 - 20 of 46 entries