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Showing 11 - 20 of 328 entries

  1. BLOG

    The last straw: Will plastic become the next stranded asset? 

    Aug 22, 2019 Samuel Block

    ESG Research

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    Oil and gas companies are accelerating investment in plastics, in response to the shift away from fossil fuels. But is this pivot sustainable? Could plastic become the next stranded asset?

  2. BLOG

    Where were the (factor) crowds this summer? 

    Aug 21, 2019 George Bonne , Leon Roisenberg

    Factor Investing , Factors

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    When factors have historically become crowded, they’ve often experienced significant drawdowns in subsequent months. So investors may find it instructive to consider which factors were relatively crowded at the end of 2018 — and how those same factors performed in the first half of 2019. Based on our crowding analysis, we found the risks to the U.S. price momentum and global profitability factors were elevated as of December 2018. And, in fact, when we looked at these factors from January through June 2019, we found U.S. momentum suffered a large drawdown in the first four months of 2019, before rebounding in May and June. Global profitability’s performance was negative through June.

  3. BLOG

    A reality check for MBS duration risk 

    Aug 15, 2019 Yihai Yu

    Risk Management , Fixed Income , Models/Client Cases

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    Empirical duration data can be used to check whether models for mortgage-backed securities are accurately measuring interest-rate risk.

  4. BLOG

    The changing face of real estate portfolios 

    Aug 14, 2019 Bryan Reid

    Economic Exposure , Global Investing , Real Estate Investing

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    Office and retail investments’ historic dominance of commercial real estate portfolios is decreasing, with other property types — including logistics centers, student housing, and data centers — increasing. This evolution highlights how technology and the search for yield have led investors to diversify and seek exposure to other property types.

  5. BLOG

    Liquidity risk under stress: Beyond bid-ask spreads 

    Aug 7, 2019 Diana Knipl

    Fixed Income , Models/Client Cases , Risk Management

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    Risk managers at investment funds are more and more focused on liquidity risk, as regulators have recently issued guidance that increases demands for liquidity stress testing. Although markets are currently considered fairly calm, the 2008 financial crisis showed how liquidity can deteriorate quickly under stressed conditions, resulting in widened bid-ask spreads. But by focusing solely on the change in bid-ask spreads, could investors underestimate their liquidity risk? The often-overlooked market impact — or the additional cost on top of the bid-ask cost for large trades — could also increase significantly, driving transaction costs still higher.

  6. BLOG

    Same target, different destinations 

    Jul 31, 2019 Anil Rao

    Integrated Risk Management , Models/Client Cases

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    Target-date funds (TDFs) have gained wide adoption in U.S. defined-contribution plans over the last decade, aided by the proliferation of auto-enrollment features and the funds’ presentation as a “set it and forget it” approach.

  7. BLOG

    Have appraisers been too bullish on retail real estate? 

    Jul 30, 2019 Will Robson

    Real Estate Investing

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    Appraisers of retail real estate have come in for criticism for excessive bullishness. Media commentary has fixated on the shuttering of shops, while retail-focused real estate investment trusts (REITs) are priced at substantial discounts to the value of their assets.1 Against this backdrop, many question whether appraisers are overvaluing retail properties. But MSCI data on transacted assets suggests that appraisers haven’t been over-optimistic on the retail sector; and, if anything, they appear to have appraised retail assets more accurately than other property sectors — industrial real estate, in particular.

  8. BLOG

    Home bias in fixed income: Has it helped or hurt? 

    Jul 29, 2019 Anikó Maráz , Andy Sparks

    Fixed Income , Global Investing , Integrated Risk Management

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    Has global diversification historically helped reduce risk in the fixed-income portfolios of U.S. defined-benefit (DB) pension plans? Our backtests show that globalizing bond allocations would have increased risk measured relative to a liability benchmark. For such plans, home bias in bond portfolios would have reduced active risk over the period of our study.

  9. BLOG

    Three scenarios for Fed rate cuts 

    Jul 23, 2019 Andy Sparks , Thomas Verbraken

    Economic Exposure , Fixed Income , Models/Client Cases

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    A consensus has emerged that the Federal Reserve will lower rates in the coming months, but investors remain uncertain over the timing and magnitude of the cuts. What impact could three rate-cut scenarios have on markets?

  10. BLOG

    Where there’s smoke: Cannabis for investors 

    Jul 22, 2019 Aurélie Ratte

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    Exposure to companies with ties to the cannabis industry raises challenges for investors. Some have sought to keep their portfolios cannabis-free while others have focused on long-term risks and opportunities.

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Showing 11 - 20 of 328 entries