Investment strategies
Credit Suisse bets on intraday vol signals to revive FIA sales
New line of fixed indexed annuities will use intraday data for more precise vol targeting
Nordic noir: Swedish state pension fund’s outlook is austere
Sweden’s AP1 aims to ditch illiquid assets and target realistic returns with equities
Quants tout alternative carry trades for the ‘new normal’
Low rates and flatlining yield curves leave investors seeking carry in swaps and swaptions
New HKEX warrant buyers surf vol in unfamiliar waters
While stock volatility is boosting inline warrant turnover, it’s driving bets more suited to wholesale products
A winning formula – Risk’s rising role in investment strategy
Risk.net surveyed 124 asset managers and hedge funds to explore the changing role risk offices play in the evolution of investment strategies, from early-stage product development through to portfolio management and re-evaluation, and the key financial,…
Lessons from the past – The evolving importance of historical tick data (Part I)
A recent Risk.net webinar in association with Refinitiv examined the opportunities and challenges for using historical tick data in today’s volatile markets. Panellists outlined the variety of ways the industry is harnessing historical tick data, but…
Lessons from the past – Overcoming historical tick-data challenges with the cloud (Part II)
The panel at a recent Risk.net webinar in association with Refinitiv outlined some of these challenges, including the expense of data cleaning, maintenance and storage; access to relevant data; and dataset integration. They agreed that cloud-based…
Eigenportfolios of US equities for the exponential correlation model
In this paper, the eigendecomposition of a Toeplitz matrix populated by an exponential function in order to model empirical correlations of US equity returns is investigated.
Optimal dynamic strategies on Gaussian returns
It is hoped that this paper will form a foundational approach to the study of dynamic strategies and how to optimize them. We make efforts to understand their properties without claiming to understand why they work (ie, why there are stable…
Is trading indicator performance robust? Evidence from scenario building
This paper challenges widely applied trading indicators with regard to their ability to generate a robust performance.
Alt risk premia chasing 'tail beta' – again
Quant strategies that failed in the coronavirus crash face a reckoning
Covid-19 tumult is testing AI fund returns
Some ML strategies have coped well, but others began to struggle as panic mounted
Factor strategies seesaw in coronavirus-hit markets
Quants struggle to second-guess ongoing effect of virus on investments
Caveat pre-emptor: Man ESG chief talks snubbed markets
Robert Furdak is sparking discussions about responsible trend following in unsustainable stocks
Companies delay climate policy action at their peril
Failure to take immediate action on the proposals set out in the Paris Agreement on climate change could cost approximately $1.2 trillion over the next 15 years in policy risk costs. Oliver Marchand, co-founder of Carbon Delta and executive director of…
A consistent investment strategy
This paper introduces a consistent performance strategy (CPS), which, if followed, leads to a portfolio having consistently positive returns over time and exhibiting a steady upward trend.
ETF strategies to manage market volatility
Money managers and institutional investors are re-evaluating investment strategies in the face of rapidly shifting market conditions. Consequently, selective genres of exchange-traded funds (ETFs) are seeing robust growth in assets. Hong Kong Exchanges…
ESG investing: It’s not just great to be good
Investing according to environmental, social and governance (ESG) criteria can be done in various ways, with continuing development of filters and ways of analysing companies. As the market in ESG indexes and investments linked to sustainability matures,…
Beyond market equilibrium – The future of active investing
Asset owners use indexes as policy benchmarks and reference portfolios in their asset allocation. Index investors track cap-weighted indexes that seek to capture the market return. Active investors select securities and build portfolios that aim to…
Scotiabank eyes capital savings following divestments
Wind down of overseas investments expected to increase CET1 capital ratio by 50bp
One size does not fit all – Adapting to meet investment goals
Guillaume Arnaud, global head of quantitative investment strategies (QIS), and Sandrine Ungari, head of cross-asset quantitative research at Societe Generale, explore the benefits of QIS for investors, why flexibility is crucial for investors to meet…
Volatility scaling unravels as market patterns shift
Waning power of quant approach could be a reason for trend following’s malaise