Back to homepage

Tag "quantitative research"

Conditional Skewness in Asset Pricing Tests

Conditional Skewness in Asset Pricing Tests

🕔08:58, 8.Sep 2022

If asset returns have systematic skewness, expected returns should include rewards for accepting this risk. We formalize this intuition with an asset pricing model that incorporates conditional skewness. Our results show that conditional skewness helps explain the cross-sectional variation of

Read Full Article
Trend-Following Research Series Part 2: Rising Rates and Trend-Following

Trend-Following Research Series Part 2: Rising Rates and Trend-Following

🕔16:34, 23.Jun 2022

All asset classes have benefited from 30 years of falling interest rates, as future cash flows have been discounted at steadily lower rates, boosting present values. Trend-Following strategies, which take long and short positions across equity, interest rate, commodity, currency,

Read Full Article
Natural language processing – a new tool to decode the Fed

Natural language processing – a new tool to decode the Fed

🕔13:01, 17.Jul 2020

Research & Strategy Insights  What is natural language processing, and how can we use it to analyse FOMC minutes and the Beige Book? Until recently, quantitative economic analysis has been mainly based on the study of hard data and survey

Read Full Article
The Coronavirus and ESG Investing, the emergence of the Social pillar

The Coronavirus and ESG Investing, the emergence of the Social pillar

🕔15:08, 12.Jun 2020

Amundi’s Quantitative Research team has been studying the evolution of ESG investing across asset classes and geographies for the past several years. With the coronavirus pandemic, we have carefully examined these Responsible Investing trends and have identified some interesting findings:

Read Full Article
The Data Science Revolution

The Data Science Revolution

🕔16:22, 27.Mar 2020

How the new richness and accessibility of data, and advances in data science, are enhancing both quantitative and traditional fundamental investment research—and sparking a revolution in active management. Spreading from its origins in technology and retail, data science is now

Read Full Article
Harnessing ESG as an Alpha Source in Active Quantitative Equities

Harnessing ESG as an Alpha Source in Active Quantitative Equities

🕔15:02, 23.Feb 2019

IQ insights At State Street Global Advisors (SSGA), we engage in environmental, social and governance investing (ESG) across a broad range of asset classes and investment styles. Approaches range from the screening of ESG themes to the full integration of

Read Full Article
How the Research Enhanced Quantitative Strategy Adapts to Evolving Market Conditions

How the Research Enhanced Quantitative Strategy Adapts to Evolving Market Conditions

🕔09:02, 6.Oct 2018

As quantitative strategies gain prominence in equities markets, institutional investors are seeking solutions for how to fit these strategies into their overall asset allocation. Some investors are looking to strategies such as PineBridge Investments’ Research Enhanced as either a passive

Read Full Article
The glide path less traveled

The glide path less traveled

🕔06:18, 27.Mar 2018

A critical examination of assumptions, outcomes, and glide path specification This paper defines key assumptions, derived from empirical data, to deliver highly accurate and representative simulations of participant outcomes. The paper constructs an alternative glide path design that we believe

Read Full Article
Quarterly Robeco

Quarterly Robeco

🕔13:00, 23.Mar 2018

Quant Investing Sustainability Investing This Year’s Five Engagement Themes Wanted: Strong Hands The Digital Future Of Finance Stephen Schaefer On The Origin Of Factors Long Read: Industrial Innovation

Read Full Article
Yield curve modelling and a conceptual framework for estimating yield curves

Yield curve modelling and a conceptual framework for estimating yield curves

🕔14:20, 9.Feb 2018

Non-technical summary It is important for central banks to have reliable representations of the term structure of interest rates available. One of the main advantages of this curve is that the underlying instruments are considered free of credit risk and

Read Full Article
A Long-Term Quant’s Perspective on the Recent Market Meltdown

A Long-Term Quant’s Perspective on the Recent Market Meltdown

🕔14:05, 9.Feb 2018

Market Pulse The market’s recent plunge and the massive pickup in volatility feels like a bolt from the blue, but we’ve been long overdue for a market correction after a year of stock market volatility that was the lowest since

Read Full Article

SEARCH