Portfolio management
Does reinvesting payouts in plain vanilla exchange-traded funds enhance household portfolio performance?
This study analyzes whether reinvesting payouts in exchange-traded funds that replicate broad and internationally diversified market indexes enhances households’ portfolio performance after transaction costs.
The risk-reversal premium
We show that including risk reversals in an equity portfolio creates a better portfolio compared with a pure index position.
Portfolio rebalancing and seasonality in Canadian financial markets
Using Canadian data for the period 1957–2018, this paper provides evidence in support of portfolio rebalancing by professional portfolio managers.
The evolution of Intesa Sanpaolo’s credit portfolio management practice
In this podcast, Zoi Fletcher speaks to Elisabetta Bernardini and Biagio Giacalone about the new approaches Intesa Sanpaolo has developed to credit portfolio management.
Fat-tailed factors
Independent component analysis is proposed as an alternative to principal component analysis
A practitioner’s view of the long-term and recent performance of multifactor investment strategies
In this paper the author studies the performance of factor investment strategies from a practitioner’s point of view.
Can ESG trading and best execution coexist?
Not everyone thinks making a statement on ESG would work against client interests
Bank-run fund derivatives platforms hit records
JP Morgan’s Nexus has seen balances double, while AUM on UBS’s Neo have tripled
EU’s new carbon-scoring metric bedevils investors
Buy-side risk survey 2021: Evic could have harmful consequences for green investing
A quant’s view on protecting stock-pickers from themselves
Ex-Citadel, Millennium risk manager says fundamental investors have much still to improve
Goal-based wealth management with reinforcement learning
A combination of machine learning techniques provides multi-period portfolio optimisation
Asia moves: Deutsche appoints Asia-Pacific treasurer, Citi boosts Australian sales team, and more
Latest job news across the industry
EU funds shudder at Mifid transaction reporting plan
Repeated Esma recommendations would increase costs of single portfolio management services
Asia moves: Crédit Agricole appoints Hong Kong CEO, UBS sales head joins Morgan Stanley, and more
Latest job news across the industry
Powering through tough times
Hitachi ABB Power Grids’ dominant position in Energy Risk’s 2021 Software Rankings reflects its deep understanding of current market challenges
Covid-19 prompts buy-side rethink on stress tests and risk integration
FactSet explores why asset managers and owners are deploying novel bank-quality modelling and alternative datasets as they take aim at risk-informed portfolio management
Zooming in on equity factor crowding
A measure for crowding in trades is derived from supply and demand imbalances
Europe’s clampdown on fund outsourcing chills market
Esma proposals spark worries AIFMD review could wreck existing delegation models
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,…
Rent-a-fund managers rebuff ‘misguided’ Esma criticism
Europe regulator warns of conflicts of interest between risk and portfolio managers in AIFMD delegation model
Time to move on from mean-variance diversification
A new diversification measure appears to produce better results than mean-variance optimisation
Equally diversified or equally weighted?
New diversification measure enables construction of equally diversified portfolios
The evolution of pricing bonds and the data journey
Jason Waight, head of regulatory affairs, Europe at MarketAxess, considers why access to flexible data is key to using new trading protocols in fixed income
Pricing data in fixed income markets – Is transparency truly an issue?
Jason Waight, head of regulatory affairs, Europe at MarketAxess, explains how investment in commercial transparency solutions has proven itself in 2020, and why this leaves a question mark over the potential value of a centralised bond tape