Diversification
When it comes to correlation, cleaning is a chore that pays
Recent trends in research may help firms obtain reliable correlations from limited data
Stock selection with principal component analysis
The authors of this paper propose a stock selection method based on a variable selection method used with PCA in multivariate statistics.
The dynamics of energy futures and equity sectors: evidence from the United States and Canada
This paper investigates a sector-rotation strategy in order to elucidate two congruent objectives.
What is the best risk measure in practice? A comparison of standard measures
This paper revisits the properties of risk measures and checks VaR, ES and expectiles with regard to whether or not they enjoy these properties.
Risk budgeting and diversification based on optimised uncorrelated factors
Meucci, Santangelo and Deguest introduce a risk decomposition method based on minimum-torsion bets
Index investing paper shows gap between theory and reality
Yale duo’s theories have little in common with experience of real investors
Commodity index advocates stick to their guns
Defying critics, Yale academics tout commodity investment in new paper
Emerging markets domestic focus rewards Aperios
But fund not envisaged to grow larger than $500 million
Banks find huge capital jump in FRTB impact study
QIS shows five-times increase under revised standardised approach to market risk
Basel lacks data to judge FRTB impact, critics claim
Isda AGM: Proposed trading book rules are “nuts”, says Ramambason of BNP Paribas
Trading book fears grow as rules enter home straight
Hedging threatened by treatment of liquidity and diversification, critics claim
Banks claim trading book rules will hit hedges
Regulatory measures of risk would leap 133% for some positions, warns ING
A passive play that’s here to stay
Sponsored survey: Deutsche Asset & Wealth Management
Insurers prepare for diversification benefit under Solvency II
Firms consider risk sharing arrangements and changes to product mix
Insurers warm to risk factor diversification
Insurers are rethinking their investment process in terms of risk factors
Markowitz attacks hedge fund diversification claims
Nobel prize winner Harry Markowitz says alternative investments may not deliver the diversification benefits sought by investors