Extended-lister

Filters
 

TAGS

Nothing was found.

Showing 1 - 10 of 43 entries

  1. BLOG

    Chinese convertibles: Equities in fancy dress? 

    Oct 14, 2019 Gergely Szalka

    Emerging Markets , Fixed Income , Global Investing , Models/Client Cases , Risk Management

    Learn More

    Chinese corporate bonds that convert to A shares display equity-like characteristics. But investors who view these securities as equities in disguise are overlooking the complexities of the asset class.

  2. BLOG

    Retire in Monte Carlo? Simulating retirement outcomes 

    Oct 11, 2019 Anil Rao

    ESG Research , Factor Investing , Models/Client Cases , Risk Management

    Learn More

    Despite global equity performance, U.S. DC plan participants may be ill prepared to meet retirement-spending needs. We assessed four equity-allocation scenarios — including an equity multifactor allocation  and integration of ESG views —  to see which performed best.

  3. BLOG

    Stress testing Brexit: Deal or no deal? 

    Oct 9, 2019 Anikó Maráz , Thomas Verbraken

    Global Investing , Models/Client Cases , Risk Management

    Learn More

    Brexit has roiled markets since U.K. voters chose “leave” in the June 2016 referendum. We used our stress-testing model to examine how markets could react to deal and no-deal scenarios.

  4. BLOG

    Factors in Focus: Momentum hits a valuation speed bump 

    Oct 3, 2019 Waman Virgaonkar , Hitendra D Varsani

    Factor Investing , Factors , Models/Client Cases , Risk Management

    Learn More

    The momentum-value spread saw one of the largest corrections in history over the summer. What does our model show going forward?

  5. BLOG

    Senior bonds in name only 

    Oct 2, 2019 Máté Maródi

    Fixed Income , Models/Client Cases , Risk Management

    Learn More

    Write-down protection doesn’t extend to a new bond category issued by too-big-to-fail European banks: senior non-preferred. Investors in senior debt may wish to consider these bonds’ recovery risk.

  6. BLOG

    MBS prepayment modeling: AI 1, Humans 0? 

    Sep 27, 2019 David Zhang , Joy Zhang

    Fixed Income , Models/Client Cases , Risk Management

    Learn More

    Artificial intelligence has broken through in fields previously dominated by humans. Could AI surpass humans in modeling the complex risks of agency mortgage-backed securities?

  7. BLOG

    Should bank-loan investors worry about liquidity risk? 

    Sep 24, 2019 László Arany

    Fixed Income , Models/Client Cases , Risk Management

    Learn More

    Have bank loans posed more liquidity risk than corporate bonds when the market was stressed? We compared various liquidity metrics for bank loans and high-yield bonds during the December 2018 high-yield sell-off to find the answer.

  8. BLOG

    Are rates and equities losing their balance? 

    Sep 16, 2019 Peter Shepard

    Fixed Income , Models/Client Cases

    Learn More

    For most of the past two decades, a benevolent relationship between bonds and equity has prevailed as a central pillar of asset allocation. Falling equity markets consistently coincided with falling interest rates, providing an effective hedge between bond and equity allocations. Now, talk of weaker central-bank policy or a risk of deflation has many asset allocators focused on the future of the rates-equity correlation. 

  9. BLOG

    Back-to-school (momentum) blues? 

    Sep 13, 2019 Leon Roisenberg , George Bonne

    Factor Investing , Models/Client Cases , Factors

    Learn More

    The U.S. price momentum factor, which we highlighted for elevated crowding scores and vulnerability to negative performance at the end of June, suffered sizable drawdowns in the first seven trading days of September.

  10. BLOG

    A smoother ride? Looking at factor-based asset allocation 

    Sep 3, 2019 Andrea Amato , Chenlu Zhou

    Factor Investing , Models/Client Cases , Risk Management

    Learn More

    On the surface, holding-based asset allocation appears to produce stability. But is what you see always what you get? We investigate the pros and cons of a factor-based approach.

Showing 1 - 10 of 43 entries