László Arnay's research focuses on liquidity for regulatory, risk-management and portfolio-construction purposes and on portfolio-performance analytics. He holds a doctorate in applied mathematics from the University of Bristol and a master's degree in mechanical engineering from Budapest University of Technology and Economics.
Research and Insights
Articles by László Arany
Householding: One Client, Many AccountsResearch Report | Dec 7, 2023 |
Householding applies one target asset allocation across all family assets and manages them holistically for the highest practicable after-tax return. We compare the outcomes of two use cases for householding vs. a single-portfolio approach.
Measuring Tax AlphaResearch Report | Oct 27, 2023 |
The concept of tax alpha can help a wealth manager explain a client’s after-tax performance. We propose two frameworks to provide transparency around the after-tax attribution calculation used to measure tax alpha.
Comparing Apples to Apples in Bond-Fund Liquidity5 mins read Blog | Jan 24, 2023 |
The SEC has proposed changes to standards for classifying the liquidity of fixed-income instruments held by open-end funds. The new approach may not pick up differences between funds and may not signal worsening liquidity amid market stress, however.
Market Crowding Contributed to UK Gilt Turmoil2 mins read Quick Take | Oct 27, 2022 |
Analysis of the recent turmoil in the U.K. gilt market has primarily focused on the role of leverage and liquidity. However, investors also may want to consider the role played by bond-market crowding, and where similar conditions may exist.
Sanctions Bring a New Form of Russian-Bond CDS Risk5 mins read Blog | Apr 26, 2022 |
Sanctions on Russia have not affected credit-default swaps directly, but the settlement process following a default would rely on delivering and auctioning the sanctioned bonds. We examine this new form of recovery risk.
Bond Liquidity: How Bad Was COVID?5 mins read Blog | Sep 16, 2020 |
Was bond liquidity worse during the COVID-19 outbreak or the 2008 global financial crisis? We analyzed transaction costs from the forced selling of USD 10 million of U.S. corporate bonds, throughout the two crises.
Should bank-loan investors worry about liquidity risk?Blog | Sep 24, 2019 |
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.