Portfolio
One man’s trash is another man’s Treasury
With yields at record lows, investors are asking how much protection bonds will offer in a future crisis
Investors weigh merits of ESG hedging
Opinion divided over proposed tool for transferring risk of non-sustainable activities
Back to school: BlackRock uses quant quake lessons on Covid
Pandemic prompts a switch in approach from strategic to tactical
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,…
Fund managers seek to plug holes in ESG data
Social intel proves elusive as virus reawakens sense of corporate virtue
Bonds go back to the future as electronic volumes grow
Surge in bond ETFs and portfolio trades accompanies investor return to platforms
Covid scenarios, pt II: apocalypse how?
Second crowdsourced scenario exercise reveals polarised views in equities and FX
Custodian of the year: BNP Paribas
Asia Risk Awards 2020
Equally diversified or equally weighted?
New diversification measure enables construction of equally diversified portfolios
Fund size and the stability of portfolio risk
This paper examines the relationship between portfolio size and the stability of mutual fund risk measures, presenting evidence for economies of scale in risk management.
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.
Why investors are stuck with flawed VAR models
Buy-side risk survey: VAR wasn’t much use in March, but it is ingrained in the industry
Volatility scaling flops in credit alt risk premia
Strategies miss recovery from March plunge, prompting rethink on speed of mean reversion
Sometimes it’s fine to be boring
Diversification puts portfolios in the middle of the pack – where investors feel safe, writes Antonia Lim
China bond buyers tiptoe through credit analysis minefield
State backing for domestic companies is hard to gauge, as new investors are discovering
Quant firm deploys new metric for Covid sensitivity
Los Angeles Capital debuts new factor for measuring stocks’ sensitivity to the pandemic
Quantifying model performance
Quality of replicating portfolio is used to measure performance of a model
Investors trade the drama out of the crisis
How LGIM, Axa IM, Manulife and other buy-siders tackled the toughest markets since 2008
Safe havens no longer safe, quants fear
Equity-debt correlation breakdown and negative bond yields make investors nervous
Equivalence failure threatens European share trading
UK and EU investors may be forced to trade dozens of shares on less liquid exchanges, analysis shows
ICAAP/ILAAP – Unlocking business value from capital and liquidity assessment
Regulators consider banks’ internal capital adequacy and assessment process (ICAAP) and internal liquidity adequacy assessment process (ILAAP) important tools in managing risk. The European Central Bank’s (ECB’s) updated guidance – which came into effect…
Caveat pre-emptor: Man ESG chief talks snubbed markets
Robert Furdak is sparking discussions about responsible trend following in unsustainable stocks
Credit risk – The bank data challenge in frontier markets
As the regulatory net tightens, banks working in and across frontier regions are under pressure to source and maintain more accurate data in the assessment of counterparty credit risk, but some are investing in tools to tackle the problem
Neuberger Berman gets its Sherlock on
Asset manager deploys quant-cum-sleuth to sniff out portfolio risk