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Nicholas Sharp

Research and Insights

Articles by Nicholas Sharp

    Product Insight - Integrated Fixed Income Risk and Performance Analysis in BarraOne - July 2014

    Report | Jan 9, 2019 | András Bohák , Attila Agod , Nicholas Sharp , Zsolt Simon

    This paper demonstrates how BarraOne's Performance Analytics, the correlated stress test engine, and the risk forecasting model can all be integrated to support the investment decision process. Using a case study, we follow the decisions of a hypothetical bond portfolio manager before and after the September 17, 2013 FOMC meeting where the Fed decided to delay tapering their bond-buying program. We leverage the MSCI Macroeconomic Model to forecast the outcome of the decision on tapering, then...

    Navigating Central Bank Intervention in Corporate Bond Markets

    Report | May 2, 2017 | Andy Sparks , Nicholas Sharp

    Since the 2008 financial crisis, major central banks have purchased $9 trillion of bonds in efforts to reinvigorate the global economy. We focus on the impact of the ECB’s Corporate Sector Purchase Program. We find evidence that it has been a significant force in driving euro spreads tighter and stimulating corporate issuance. We examine the impact of the ECB program on a hypothetical credit value strategy investing in euro-denominated corporate debt. The analysis highlights how the portfolio...

    Analyzing Credit Alpha in an Integrated Risk and Performance Analysis

    Report | Oct 30, 2015 | András Bohák , Nicholas Sharp , Zsolt Simon

    This Product Insight focuses on fixed income attribution and illustrates how an integrated risk and performance analysis can be carried out with BarraOne, for a corporate bond portfolio invested using a credit value strategy. The effectiveness of the analysis is illustrated in an important "real world" use case, showing how investors can analyze strategies which target the credit alpha coming from exposure to spread risk.

    Performance Attribution of Multi-Asset Class Portfolios using BarraOne

    Report | Jun 19, 2015 | Nancy Roth , Nicholas Sharp

    This paper focuses on BarraOne’s Performance Analytics solution and describes how we have modified standard performance attribution tools to address several interesting use cases which arise for increasingly popular multi-asset class investment strategies. The paper illustrates, through a practical case study, how the Visualization tool within the BarraOne Performance Analytics solution can be employed to understand the performance due to the allocation of capital both across different...

    Product Insight - Integrated Fixed Income Risk and Performance Analysis in BarraOne - July 2014

    Report | Jul 30, 2014 | Nicholas Sharp , Zsolt Simon , András Bohák , Attila Agod

    This paper demonstrates how BarraOne's Performance Analytics, the correlated stress test engine, and the risk forecasting model can all be integrated to support the investment decision process. Using a case study, we follow the decisions of a hypothetical bond portfolio manager before and after the September 17, 2013 FOMC meeting where the Fed decided to delay tapering their bond-buying program. We leverage the MSCI Macroeconomic Model to forecast the outcome of the decision on tapering, then...