Building a Better Equity Risk Model
As there is virtually no limit to the number of strategies available to investors these days, crafting a universally accepted, fully scalable equity risk model is no small feat.
High noon in Europe as key votes loom
Sunday, March 4, will be an “interesting” day for European politics, with two votes that could be crucial for the future of the European Union. Both have the potential for ...
Treasury yields and factor returns? Acquaintances, but little in common…
Most style factors show weak relationships with rising yields.
Low Volatility ETFs Offer Little Relief as Volatility Roars Back
During the recent downturn, low volatility ETFs delivered, but failed to make up for their underperformance in good times.
It’s the inflation, stupid! Um, isn’t it?
For most of 2017, we observed a negative relationship between stock and bond price returns. This resulted in a healthy diversification benefit in our global multi-asset class model portfolio.
Keep Calm and Watch Your Exposures
Should I get in? Should I get out? Now that volatility is up, what should I do?
As the US Market Gyrates Not All Sectors Suffer Equally
Most US sectors have now reversed their gains for the year while their relative riskiness changed, which likely had a big impact on portfolios with sector bets.