Volatility Skyrockets as Market Tanks

That the market’s recent rout was accompanied by rising levels of predicted volatility is hardly surprising. The magnitude of the increase, however, was another story.

Posted 10.26.18 Melissa R. Brown, CFA

Has the Tech Bubble Returned?

Using the Russell 1000 as our sample US Equities portfolio, we set out to compare today’s exposures to the AX-US4 Tech sector industry factors with their 1999 counterpart.

Posted 10.24.18 Olivier d'Assier

The top 10 cross-asset correlations to watch right now

Looking back at our work over the past couple of months, we have identified the 10 most significant correlation pairs that multi-asset class investors should focus on at the moment.

Posted 10.19.18 Christoph Schon, CFA, CIPM

Has the dollar peaked?

Even though markets seem to have shifted back to ‘risk-off’ mode we believe that the political uncertainty in Europe is likely to keep the greenback supported against its European rivals. 

Posted 10.15.18 Christoph Schon, CFA, CIPM

Wednesday’s Sell-Off Leads to Big Changes in Benchmark Risk

Wednesday’s sell-off in global markets clearly had an impact on risk, as factor volatility soared.

Posted 10.11.18 Melissa R. Brown, CFA

Momentum Had A Tough Day on Wednesday, But Low Volatility Soared

Yesterday, October 10, the factor gave back some return, and in many cases the return was larger than what would have been expected given the risk forecast on October 9.

Posted 10.11.18 Melissa R. Brown, CFA

Doom Loop Reloaded? – Stress testing Italian contagion risk

In an eerie reminder of the European debt crisis of 2010-2012, the Italian government has seen its financing rates rise dramatically over the past couple of months.

Posted 10.10.18 Christoph Schon, CFA, CIPM

Crisis Averted! Really?

What caused the financial crisis? Does anyone actually know? Was it lack of regulation or de-regulation? Or, was it lack of understanding of the significance and the complexity of the ...

Posted 10.09.18 Nicola Le Brocq