Beta
European banks search for consensus on credit spread risk
New EBA guidelines spawn diverging interpretations of which products must be assessed for CSRBB
Markets search for FX factor as rates fall flat
Traders signal shift to currency strategies, but is it passing fad or permanent fixture?
ETF provider of the year: Yuanta SITC
Asia Risk Awards 2020
For a post-Covid world, quant fund revives a contentious idea
Crisis puts out-of-vogue practice of “porting” alpha back in play
Quant firm deploys new metric for Covid sensitivity
Los Angeles Capital debuts new factor for measuring stocks’ sensitivity to the pandemic
In downturns, vol travels down the supply chain – study
Customer VAR breaches strike at stressed suppliers, research shows
Hedging incentives for financial institutions
Using a simple model, this paper derives two results that provide guiding principles for hedging by, and capital regulation of, financial institutions.
Costs of capital under credit risk
In cost-of-capital computations, credit risk is only taken into consideration at the level of the debt beta approach. We show that applications of the debt beta approach in company valuation suffer from unrealistic assumptions about the market index and…
ETF investing – Building better portfolios
At the Asia ETF Forum 2019, Hong Kong Exchanges and Clearing (HKEX) welcomed industry experts from around the region to six key Asian exchange-traded fund (ETF) cities, offering attendees an updated view on the growing ETF market in Asia. This article…
Fund ratings flip as 2008 losses fade from view
Over 90% of top-rated US equity funds have betas greater than one
Podcast: Ronn on using a financial-economics approach to forecast crude oil spot prices
Professor of finance talks about using equity, index and crude oil options to forecast spot prices
Capturing alpha in Asia’s ETF market – Trends to watch in 2019
As the inclusion of China A-shares into major indexes could potentially lead to record inflows into China, 2019 is set to be an exceptional year for the Asian exchange-traded funds (ETFs) market. Meanwhile, investors in the region are increasingly eyeing…
Beta hedging: performance measures, momentum weighting and rebalancing effects
In this paper, the authors discuss the various performance measures of beta hedging and offer a new synthetic criterion that accounts for both risk-adjusted returns and losses of trading strategy.
Alt risk premia study finds ‘zero alpha’, clear beta to bonds
Vanilla exposures explain as much as two-thirds of returns, authors say
Risk premia strategies do not reward downside
Study says alt premia approaches do not compensate for exposure to rough markets; hints at data mining
Extending the ETF frontiers: Institutions are finding new ways to use ETFs
Growing institutional adoption of exchange-traded funds (ETFs) has been an undeniable trend over the past few years. In this article, Hong Kong Exchanges and Clearing (HKEX) explains why institutions are increasingly using ETFs to gain targeted exposure,…
New directions – Diversification of alternative risk premia strategies
Despite a difficult year, investors remain keen to use alternative risk premia strategies. However, current approaches may be less diversified than they appear, especially given cross-contamination in cash equity factors. According to Nomura, a more…
Python – Is the buzz justified?
Python is rapidly becoming the world’s most popular programming language and its versatility and ease of use has enabled it to achieve widespread adoption in finance, becoming the multipurpose tool of choice for quantitative analysts and other financial…
Pensions and insurers give new impetus to Asia’s ETFs
Cost-conscious institutional investors are embracing exchange-traded funds (ETFs) to lower transaction fees and achieve higher returns. Hong Kong Exchanges and Clearing (HKEX) explores the theme of yield‑chasing among insurers in Asia’s expanding ETF…
Banks shelving alternative beta products at increasing pace
Data suggests overfitting partly to blame for mothballing of two in five strategies