Applied Research

Outlook 2020: It’s All About the Trade War…and a Potential Trump Card for Reelection?

If a buoyant stock market is a prerequisite for Trump’s reelection, then a trade-war resolution in 2020 is all but assured.

Posted 12.10.19 Olivier d'Assier

Beware what lurks beneath the surface of low volatility

On Friday November 8, the VIX closed at 12.07, a level not seen since Q4 of 2017. The US economy and stock markets have once again outperformed those of every other developed country this year. And investment-grade corporate-bond spreads — although higher than in Q4 2017 — have all fallen from the highs reached at the end of Q4 2018. That ...

Posted 11.12.19 Olivier d'Assier

Curiouser and Curiouser: Reflections on 2019 Factor Performance or “Shortchanged by the No-Short Constraint”

Many quant managers are having a tough year. While one might blame factors in general, their returns do not tell the whole story (or even the bulk of the story).

Posted 11.11.19 Melissa R. Brown, CFA

Minimum Variance: A Leg Up on Geopolitical Risk?

In our latest paper, we examined the impact of recent market risk events on a range of STOXX® minimum-variance indices vis-à-vis their corresponding global and regional broad benchmarks.

Posted 10.07.19 Christoph Schon, CFA, CIPM