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More than a feeling: Quantifying consumer sentiment 

Factor Research Group , Factor Investing , Factors

Among a flood of alternative data sources, consumer sentiment based on citations online stood out.

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Is there another Woodford waiting to happen? 

Global Investing , Risk Management

When the Woodford Equity Income Fund suspended redemptions on June 3, 2019, it showed how, when a fund’s liquidity profile is misaligned with its shareholder profile and redemption constraints, a single large redemption request can trigger gating. 

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Under the hood: Rating ESG funds 

ESG Research , Global Investing

Nearly $31 trillion in assets under management were invested in funds that consider ESG issues in their investing process as of January 2018, a 34% increase from two years previously. Transparency is key to understanding what this expansion means.

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Liquidity and correlation in the Chinese credit market 

Fixed Income , Risk Management , Models/Client Cases

China’s stock market has drawn huge attention from global investors, especially as China A shares have been added to leading equity indexes. But the same cannot be said for the country’s 38 trillion CNY (USD 5.5 trillion) credit market, now the second-largest in the world. Despite the market’s overall size, foreign investor participation remains miniscule, with overseas bondholders accounting for less than 1% of the total holdings.

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Asian retail resilience: Have store hours affected performance? 

Real Estate Investing , Global Investing

Industrial real estate has outperformed retail assets in recent years, but the trend has been less pronounced in Asia, where store hours, among other reasons, might have led to more resilient retail performance.

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Reverse convertibles: Worth the risk? 

Risk Management , Models/Client Cases , Fixed Income

Do reverse convertibles offer any obvious risk-return benefits over high-yield bonds?

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Factors in Focus: Dynamic short term, strategic long term 

Factor Investing , Factor Research Group , Factors

We review factor performance over the second quarter, provide the perspective of a long-term view and look to indications from our adaptive multi-factor model heading into Q3.

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Bank loans: Will crisis follow the search for yield? 

Risk Management , Fixed Income , Models/Client Cases

In the post-2008 search for yield, investors have taken on considerable exposure to leveraged bank loans. We assess whether these loans pose systemic risk in the way subprime mortgages did during the last crisis.

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Beware of FRTB cliff effects. Sharp curvatures ahead. 

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

The Basel committee’s revised market-risk capital requirements contain a small surprise with potentially big implications. Cliff effects remain in the framework.

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Resilient carbon-transition portfolios: a road map 

ESG Research

Is your portfolio ready for the transition to a low-carbon economy? Which companies, industries and sectors are positioned to benefit? Which ones entail greater risks? The answers are a lot more complicated than alternative energy is in and coal is out.