Amid Covid-19, some sectors are misbehaving — with a big impact on turnover for sentiment-aware investors

The Covid-19 pandemic has affected some sectors more than others. This impact was immediately reflected in changing exposures to three of the style factors in our fundamental multi-factor risk models.

Posted 05.28.20 Olivier d'Assier

The Impact of the Global Risk Environment on Active Risk

Melissa Brown discusses how recent changes in the global risk environment have impacted active risk, and describes why some analytics managers may want to examine when deciding when and how ...

Posted 05.20.20 Melissa R. Brown, CFA

Oil in a multi-asset portfolio: If you’re looking to reduce risk, look elsewhere…

Investing in oil as part of a multi-asset strategy can be risky for two reasons: first, the oil price is very volatile, and, second, because it is usually strongly correlated ...

Posted 05.14.20 Christoph Schon, CFA, CIPM

The colossal collapse of Mortgage REITs: An omen of bad things to come?

Mortgage REITs have been crushed by the coronavirus crisis, substantially underperforming the US equity market as a whole.

Posted 05.13.20 Diana R. Baechle, PhD

A Sentimental Chronology: The Ascents—and Descents—of the Wall of Worry in 2020

The notion that markets “climb a wall of worry” is a commonly held view in the investment world. Eventually, the concerns of those investors fade and they become risk-tolerant themselves.

Posted 05.12.20 Olivier d'Assier

Corporate Credit Portfolio Construction: Targeting low-beta names during the COVID-19 Market Crisis

In this post we investigate how a portfolio constructed to optimize exposure to the Beta style factor performed through the market crisis.

Posted 05.07.20 Dieter Vandenbussche

Frequently Tax Optimize or Drift Away and Lose Tax Alpha

When clients invest in tax-managed investment strategies, their goal is to track the model portfolio, while harvesting as many losses as possible.

Posted 05.01.20 Walid Bandar

Is BB the new BBB?

The recent decision by the Federal Reserve Bank to add high-yield funds to its asset-purchasing program triggered unprecedented flows into exchange-traded funds specializing in sub-investment grade securities.

Posted 04.28.20 Christoph Schon, CFA, CIPM