Recessions, Expansions and Factor Performance: Not Much of a Factor-Timing Strategy

Given the recent inversion of the yield curve, and with companies like Apple guiding earnings estimates down, there’s more than just a whiff of a recession in the air.

Posted 01.18.19 Melissa R. Brown, CFA

Asset correlations and portfolio risk: what a difference a quarter makes

The last quarter of 2018 witnessed dramatic changes in the risk environment and multi-asset class correlations.

Posted 01.16.19 Christoph Schon, CFA, CIPM

A Shaky Start for Factor Returns, Especially in the US

With just nine days of factor returns for 2019, we have already seen sharp reversals of fortune in some factors, and an abundance of larger-than-expected returns in the US.

Posted 01.15.19 Melissa R. Brown, CFA

Harvesting Dividend Yield in China

The attraction to dividend yield’s defensive qualities in times of bear markets is well documented, but does this still hold for an emerging market like China? And if so ...

Posted 01.10.19 Olivier d'Assier

Minimum Variance Has Delivered in This Downturn

One of the major advantages of minimum variance strategies is that the lower-than-market volatility and beta should pay off by offering protection when the market stumbles, as it has recently.

Posted 12.21.18 Melissa R. Brown, CFA

Crowded Trades Don’t Explain Managers’ Recent Pain

A summary of our analysis of the speculation that there has been a large unwinding of crowded risk-factor positions.

Posted 12.19.18 Melissa R. Brown, CFA

Yellow Vest contagion: do the bond markets care?

With the Yellow Vest protests, the risk premium of French governments over their German peers is now the widest it has been since the run-up to the presidential election.

Posted 12.14.18 Christoph Schon, CFA, CIPM

7 things you need to know about risk for 2019

For the first time in a decade, risk-free assets are competing on par with risky assets and perhaps more favorably if looking at current levels of volatility.

Posted 12.13.18 Olivier d'Assier