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.
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 ...
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 ...
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.
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.
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.
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.