Back to homepage

Tag "volatility"

A roadmap for defensive investing

A roadmap for defensive investing

🕔06:35, 28.Mar 2019

Chris discusses defensive portfolio exposures that can create potential buffers to volatility, for when it reappears. While the 2019 market rebound has undone much of the damage from 2018’s year-end drubbing, the brutal selloff offers a key reminder for investors

Read Full Article
Index Dashboard: Risk & Volatility March

Index Dashboard: Risk & Volatility March

🕔11:02, 21.Mar 2019

COMMENTARY As December’s price swings in U.S. equities fade into history, VIX has declined back to the low teens and – despite the potential for an upset from today’s Federal Reserve announcement – the volatility gauge closed last night at

Read Full Article
Seek opportunities, but be aware of short-term volatility

Seek opportunities, but be aware of short-term volatility

🕔17:02, 7.Mar 2019

Emerging Markets Charts & Views Emerging markets (EM) started 2019 on a strong footing and, as a result, some excessive valuation gaps have been partially closed. Yet, we continue to see opportunities in all EM segments (equity, bonds in hard

Read Full Article
Is volatility a friend or a foe?

Is volatility a friend or a foe?

🕔11:02, 17.Jan 2019

 Volatility is usually seen as something bad, a foe to long-term performance; but the insights it provides may actually make it more of a friend that can be used to help strengthen portfolio resilience. Volatility’s historical relationship with market drawdowns

Read Full Article
Finding opportunity in Europe’s volatility

Finding opportunity in Europe’s volatility

🕔14:04, 16.Jan 2019

Looking back at 2018, it was a year when European corporate earnings continued to grow, while market volatility was surprisingly high. The volatility was a result of both political noise and the fear of a slowdown in global growth. Volatility

Read Full Article
Strengthen your Core Through an Allocation in a Eurozone Low Volatility Strategy

Strengthen your Core Through an Allocation in a Eurozone Low Volatility Strategy

🕔15:02, 19.Dec 2018

Strategy Espresso Rotation among factors has continued recently, with elevated volatility, as equity investors switch between optimistic and defensive positioning. These moves are not surprising, as it is common to see heightened levels of volatility in late economic cycles. Interestingly,

Read Full Article
Dividend Strategies for Countering Market Volatility

Dividend Strategies for Countering Market Volatility

🕔17:02, 27.Nov 2018

Strategy Espresso In October, global equities endured their worst performance since May 2012, with US growth posting a negative return of almost 2 standard deviations. Last week we continued to witness the same bearish sentiment that we did in October. The increased

Read Full Article
Putting technology stocks volatility in perspective

Putting technology stocks volatility in perspective

🕔14:08, 8.Nov 2018

Technology stocks could remain volatile for some time amid the potential for slower earnings growth at some companies and greater regulatory scrutiny. There will likely be a dispersion of returns among the FAANG stocks, given different valuations and where they

Read Full Article
Index Dashboard: Dispersion, Volatility & Correlation

Index Dashboard: Dispersion, Volatility & Correlation

🕔17:02, 1.Nov 2018

October's reputation for higher market risk was maintained, as volatility, correlation and dispersion all rose from September's levels for the S&P Global 1200, and each of its regional components. It was a particularly chaotic month for South American equities. Brazil's

Read Full Article
Is It Time to Consider European Low Volatility Again?

Is It Time to Consider European Low Volatility Again?

🕔15:02, 30.Oct 2018

Strategy Espresso It was another rollercoaster week. After months of focusing on the good news and shrugging off the bad, US equity market sentiment sharply reversed, leaving most major US indices only modestly positive for the year. After that, European

Read Full Article
Diversification is key

Diversification is key

🕔03:02, 16.Oct 2018

Regional view – Asia With tensions between the two sides likely eroding the confidence of consumers and entrepreneurs, investors should brace for greater market volatility ahead.

Read Full Article
Tail Risk Adjusted Sharpe Ratio

Tail Risk Adjusted Sharpe Ratio

🕔09:02, 6.Oct 2018

Abstract The Sharpe Ratio has become a standard measure of portfolio management performance, taking into account the risk side. In that framework, the consideration of risk is reduced to returns volatility. The Sharpe Ratio does not encompass extreme risk, especially

Read Full Article
Tail Risk Adjusted Sharpe Ratio

Tail Risk Adjusted Sharpe Ratio

🕔09:36, 5.Oct 2018

Abstract Didier Maillard Professor Emeritus at CNAM, Senior Advisor on Research – Amundi didier.maillard-ext@amundi. com The Sharpe Ratio has become a standard measure of portfolio management performance, taking into account the risk side. In that framework, the consideration of risk

Read Full Article
Beware of the Q Trap

Beware of the Q Trap

🕔14:11, 14.Sep 2018

Macro and market perspectives Renewed volatility in risk assets has contrasted with a bright growth outlook: The BlackRock Growth GPS suggests potential upside surprises to the consensus. Some market participants believe trouble spots such as Turkey are due to quantitative

Read Full Article
Higher volatility puts low beta strategies in a sweet spot

Higher volatility puts low beta strategies in a sweet spot

🕔05:01, 11.Sep 2018

The Weekly Brief With the U.S. equity market under selling pressure in early September, the MSCI World has registered its worst week since late March, down almost -1.5%. This occurred in a context where the probability of an escalation of

Read Full Article
”I’m in the band” – a CTA Sub Strategy Comparision

”I’m in the band” – a CTA Sub Strategy Comparision

🕔11:04, 28.Aug 2018

RPM EDUCATIONAL # 8. Key point: Although trend following is the dominating strategy in the CTA universe, there are also other sub strategies with different characteristics. Whereas trend following is superior in trending markets and persistent crises; during non-trending periods

Read Full Article
August is often a quiet month for equity markets

August is often a quiet month for equity markets

🕔15:02, 23.Aug 2018

Index Dashboard: Risk & Volatility August is often a quiet month for equity markets and – excepting heightened volatility in a few international hotspots – 2018's edition looks set to be typical. Since our last report, U.S. equity volatility and

Read Full Article
Turkish turmoil: When liquidity tightens, idiosyncratic problems can trigger systemic moves.

Turkish turmoil: When liquidity tightens, idiosyncratic problems can trigger systemic moves.

🕔09:02, 14.Aug 2018

Turkey is in a genuine currency crisis. The lira fell 30% over 3 days. Fundamentally speaking, the reason for the Turkish meltdown is primarily a large current account deficit (6% of GDP) and reliance on outside capital. Markets don’t care

Read Full Article
Volatility Lessons

Volatility Lessons

🕔15:02, 8.Aug 2018

Stock returns are volatile. For July 1963 to December 2016 (henceforth 1963–2016), the equity premium—the difference between the monthly return on the market portfolio of US common stocks (Market) and the one-month US Treasury bill rate—averages a hefty 0.51% per

Read Full Article
Rebalance or Rush Hour?

Rebalance or Rush Hour?

🕔13:13, 3.Aug 2018

Key Points Systematic rebalancing raises the likelihood of improving long-term risk-adjusted investment returns. The benefits of rebalancing result from opportunistically capitalizing on human behavioral tendencies and long-horizon mean reversion in asset class prices. Investors who “institutionalize contrarian investment behavior” by

Read Full Article
Where will the next financial crisis come from?

Where will the next financial crisis come from?

🕔10:10, 3.Aug 2018

Are we ready to confront it?  The world is not yet completely out of the 2007- 2008 financial crisis, but the risk of a new crisis already arises. The theme of “regime shift” (volatility, interest rate, inflation, etc.) has resurfaced,

Read Full Article
Index Dashboard: Dispersion, Volatility & Correlation

Index Dashboard: Dispersion, Volatility & Correlation

🕔15:02, 1.Aug 2018

In July, shared U.S. equity risk declined while individual risks rose: market volatility fell and dispersion increased. Naturally, correlations also declined.  The higher S&P 500 dispersion this month was in part due to the mixed reactions to Q2 earnings; most

Read Full Article
The End of Sovereignty?

The End of Sovereignty?

🕔07:03, 18.Jul 2018

Globalization, nationalism and the implications for institutional investors Never before in human history have people, information and capital moved across borders at the speed, frequency and volume we see today. These global forces have blunted the ability of individual sovereign

Read Full Article
Expect the bumpy journey to continue

Expect the bumpy journey to continue

🕔15:04, 12.Jul 2018

CIO Investment Outlook Investors have been buffeted by a large number of negative headlines in 2018. We remain of the view that tightening global liquidity conditions are likely to exacerbate market volatility.  As we highlighted in our year ahead outlook,

Read Full Article
Axioma Multi-Asset Class Risk Monitor

Axioma Multi-Asset Class Risk Monitor

🕔13:02, 10.Jul 2018

Figure 1. Factor Correlations (60 days) and Changes in Correlations (vs previous 60 days)

Read Full Article

Search

Featured Events

  1. First Trust Event: The Antidote to Conventional Wisdom

    April 25 @ 17:00 - 20:00
  2. Long-term Equities

    May 21 @ 13:00 - 17:00
  3. Equity investing for the long-term

    May 22 @ 13:00 - 17:00

Asset Allocation Consensus

Search on date

April 2019
M T W T F S S
« Mar    
1234567
891011121314
15161718192021
22232425262728
2930