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Showing 221 - 230 of 441 entries

  1. BLOG

    Managing MBS risk in a rising rate environment (Part 1) 

    Sep 17, 2018 Yihai Yu

    Fixed Income , Risk Management

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    Bond investors lost $1 trillion during “the great bond massacre”1 of 1994, which was triggered by the Federal Reserve’s aggressive tightening of interest rates. Many U.S. mortgage-backed securities (MBS) investors and broker-dealers misjudged the risk that fixed-rate prime mortgage borrowers would defer prepayments due to market conditions. This risk — known as “extension risk” — means that borrowers may hold onto mortgages longer than previously expected.

  2. BLOG

    Global real estate: To hedge, or not to hedge 

    Sep 12, 2018 Will Robson , Bryan Reid

    Real Estate Investing , Risk Management , Global Investing

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    While not quite as profound as the Shakespearean original, it is still quite a tricky one for real estate investors to grapple with. Until fairly recently, it is one that has been avoided by the majority of real estate investors due to their heavy home bias. But the increasing global nature of the asset class, combined with rising currency volatility, means the question is becoming increasingly difficult to avoid.

  3. BLOG

    Remember, US inflation is a long and winding road 

    Sep 5, 2018 Andy Sparks

    Models/Client Cases , Fixed Income , Integrated Risk Management

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    A remarkable calm has settled upon the U.S. bond market, with interest rate and inflation risk now at their lowest levels of the decade. This optimistic sentiment was underscored at the annual Jackson Hole, Wyoming conference where Federal Reserve (Fed) Chairman Powell highlighted that there is “…no clear sign of an acceleration (of inflation) above 2% and there does not seem to be an elevated risk of overheating.”

  4. BLOG

    Weighty matters: Going beyond stock-picking 

    Aug 30, 2018 Anil Rao

    Factor Investing

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    Fundamental equity managers have traditionally looked for an edge using various strategies and approaches. Here we examine whether it historically has been possible to manage a fund’s risk exposures without disturbing the underlying investment process.

  5. BLOG

    Is momentum a crowded trade that is starting to unwind? 

    Aug 29, 2018 George Bonne , Leon Roisenberg

    Models/Client Cases , Factor Indexes , Factor Investing

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    The momentum factor has been on a tear the last year and a half. Is momentum a crowded trade that has started to unwind?

  6. BLOG

    Equity valuations resist running with the bulls 

    Aug 23, 2018 Saurabh Katiyar

    Factors , Integrated Risk Management

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    The U.S. bull market is now the longest in history, leading the way for strong global equity returns over the 10 years since the financial crisis. What does this mean for valuations? We found that while they are high, they have not reached extreme levels. What’s more, there are distinct valuation characteristics across regions, sectors and factors that may create potential investment opportunities.

  7. BLOG

    What if credit spreads widen? 

    Aug 21, 2018 Hamed Faquiryan

    Fixed Income , Risk Management , Integrated Risk Management

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    Despite robust economic growth in the U.S., market conditions — as defined by tight spreads and high valuations — have wary credit investors on the lookout for trouble as the credit cycle matures. One area of scrutiny is BBB-rated credit, which sits in the middle of the rating hierarchy. Should spreads suddenly widen, investors may want to be prepared for a potential wave of BBB credits cascading into the high-yield market.

  8. BLOG

    Does Turkey offer lessons for managing emerging-market currency volatility? 

    Aug 15, 2018 Raman Aylur Subramanian

    Emerging Markets , Global Investing

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    The recent 40% drop in the Turkish lira is part of a long-term trend of rising emerging-market currency volatility. Typically, investors do not hedge this exposure. Is it time to reconsider this approach?

  9. BLOG

    Did a yen for gender diversity benefit Japanese firms? 

    Aug 14, 2018 Minako Takaba

    ESG Research

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    Do Japanese companies and shareholders have a vested interest in working toward greater numbers of female managers and board members? Our analysis finds that, much like companies elsewhere, greater diversity improved performance at Japanese firms in recent years.

  10. BLOG

    Is Japan’s “lost decade” over? 

    Aug 14, 2018 Naoya Nishimura

    Equity Themes , Global Investing

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    The Japanese equity market’s spectacular crash in the early 1990s is referred to as the “lost decade.” Recently, this period has been extended to include the decade that followed. Despite this, most Japanese investors continue to favor an outsized domestic equity allocation. This home bias has come with a huge opportunity cost. Since the end of 1987, the cumulative return of global stocks was over 1,400% in yen terms, while the cumulative return of Japanese stocks was only 49%.

Showing 221 - 230 of 441 entries