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Showing 1 - 10 of 124 entries

  1. BLOG

    Long-Horizon Risk: The Past 50 Years 

    Apr 13, 2021 Monika Szikszai , Thomas Verbraken

    Fixed Income , Risk Management

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    For long-horizon investors that aim to ride out volatility, short-term risk measures may be insufficient. We used multiperiod stress testing to evaluate one- and five-year returns of hypothetical multi-asset-class portfolios using 50 years of history.

  2. BLOG

    Managing the Risks of LIBOR Replacement 

    Mar 17, 2021 Greg Scheuer , Maks Oks

    Fixed Income , Risk Management , Global Investing

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    Investors now have clarity on the process of transitioning away from LIBOR and falling back on replacement benchmark rates. We used stress tests to show that fallback modeling may be necessary to measure and manage the risks of LIBOR instruments.

  3. BLOG

    Are Growth and Value Indexes Still in Style? 

    Mar 9, 2021 Guillermo Cano , Abhishek Gupta

    Factor Investing , Risk Management , Global Investing

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    Growth and value indexes were created in the 1980s as finer tools than market-cap indexes to measure the performance of growth and value funds. Are style-specific indexes still a relevant choice to use as benchmarks for these funds?

  4. BLOG

    Climate Transition and Bonds: Risk or Opportunity? 

    Feb 23, 2021 Bruno Rauis , Juan Sampieri , Andy Sparks

    ESG Research , Fixed Income , Risk Management

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    The transition to a low-carbon economy could significantly redirect the flow of investments toward greener companies and technologies that limit carbon emissions. We consider the potential risk — and opportunity — for bond investors.

  5. BLOG

    Currency-Risk Hedging in Real Estate Benchmarks 

    Feb 22, 2021 Bert Teuben , Lionel Ebener , Chirag Gosar

    Real Estate Investing , Risk Management , Global Investing

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    Global real estate investors can expose themselves to currency risk. Using a hedged index, they may better align their benchmark and investment approach and ensure currency risk is accurately treated in allocation modeling and performance attribution.

  6. BLOG

    Cross-Currency Credit Spreads: Mind the Gap 

    Feb 8, 2021 Michael Hayes , Zach Tokura

    Fixed Income , Risk Management

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    An issuer’s credit spread should be consistent when measured in the USD- or EUR-denominated markets, because both are measuring the same credit risk. Yet divergence can occur as a result of liquidity or supply-demand imbalances, such as those in the COVID crisis.

  7. BLOG

    How Are High-ESG-Rated Bond Portfolios Distinct? 

    Feb 5, 2021 Hitendra D Varsani , Rohit Mendiratta , Guido Giese

    Fixed Income , Risk Management , ESG Research

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    ESG investing makes up an increasingly large footprint in equity portfolios, but ESG integration in bond portfolios is still in its early days. We examine the characteristics that make high-ESG-rated corporate-bond portfolios distinct.

  8. BLOG

    COVID Stimulus Helped Resilience of US ABS 

    Jan 29, 2021 Yini Yang , Joy Zhang

    Risk Management , Fixed Income

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    Issuance of U.S. asset-backed securities fell by a quarter in 2020 from the previous year, as credit tightened during the COVID-19 crisis. The performance of loans underpinning ABS proved resilient, however, as economic relief helped support consumers.

  9. BLOG

    Carrying on Through a Crisis, with Factors 

    Jan 13, 2021 Andrew DeMond , Manuel Rueda

    Factor Investing , Risk Management , Fixed Income

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    Factors have long had a place in constructing equity portfolios, but investors increasingly use factors in sovereign and corporate bonds, commodities and currencies. Which non-equity factors have been the best performers coming out of recent crises, and why?

  10. BLOG

    Private-Infrastructure Risk: Tilting at Windmills 

    Dec 8, 2020 Yang Liu , Sheng Yao

    Risk Management

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    Private-infrastructure investments are often treated as comparable to relatively safe long-duration bonds with attractive yields, but this approach can mislead investors as they evaluate risk, yield and portfolio hedges.

Showing 1 - 10 of 124 entries