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.
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.
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.
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.