In this paper, we intend to gain an understanding of the drivers of stock convexity, also known as gamma. First, using a bottom-up – firm-level – approach, we showcase that stock fundamentals, in particular metrics related to value (captured by
In this paper, we intend to gain an understanding of the drivers of stock convexity, also known as gamma. First, using a bottom-up – firm-level – approach, we showcase that stock fundamentals, in particular metrics related to value (captured by
Because of the 2015 Paris Agreement, the development of ESG investing and the emergence of net zero emission policies, climate risk is certainly the most important topic and challenge for asset owners and managers now and will remain so over
This white paper explores how corporate event data can be used to manage risk and aid compliance efforts.1 We will give an overview of the risk management process, detail how corporate events can be used in a risk framework, and
Growing positive momentum is driving the Ethereum platform and its Ether currency forward. When the artist known as Beeple sold a digital artwork in early March through Christie’s for $69.3m, he used non-fungible token (NFT) technology lodged on the Ethereum
In our white paper, The Mystery of SOE Debt, published in September 2020, we demonstrated that State-owned Enterprise (SOE) defaults are rare. In this update, we clarify that our SOE investment process excludes SOEs of the variety currently defaulting in China, so we stand …
In recent weeks, investors were relieved by the positive newsflow around the successful COVID-19 vaccine trials and subsequent implementation of roll-out programmes. However, experts agree that the positive effects on the recovery and getting back to “normality” is not likely to happen before the end of this year. As 2021 looks like a bumpy road, many investors are willing to increase equity risk and directionality, subject to selectivity.
Asset allocation and risk modeling of bitcoin in an institutional portfolio Bitcoin recently celebrated its twelfth birthday, but in historical terms it is still very much in its infancy as compared to other major asset classes. In this paper we
White Paper The resilience of the Swiss economy has once again been proven during the Covid-19 pandemic and is reflected by the Swiss equity market’s outperformance year to date. Several Swiss companies across all market cap segments have benefited from
April In this blogpost, we will update you on our monthly best-reads and longest-reads. If you follow our weekly blogposts, you know the best read research articles on a weekly basis. In this monthly overview, we provide you with a
White Paper Introduction Whatever price multiple of which you are a fan, whichever sectors you exclude, however you neutralize your exposures, whether you equal-weight or cap-weight, one thing remains true: cheap stocks have had an unhappy decade.1 In some cases
Part I: Reform, Relevance and Robustness The Survivability of the Euro, the second white paper in our Future of Europe series, offers a framework for assessing efforts begun in the past decade to strengthen the euro. The paper is presented
White paper Whether an investor is an individual looking to provide for spending during retirement, a pension fund looking to provide future benefits to participants, or an institution looking to provide a long-term stream of operating funds, a central goal
Executive Summary The growing interest in private equity means that allocators must carefully evaluate its risk and return. The challenge is that modeling private equity is not straightforward due to a lack of good quality data and artificially smooth returns.
Libra’s mission is to enable a simple global currency and financial infrastructure that empowers billions of people. This document outlines our plans for a new decentralized blockchain, a low-volatility cryptocurrency, and a smart contract platform that together aim to create
What can we learn from historic examples? This white paper uses internet search data to dissect and analyse hypes. we explain Trendmarks’ vision and mission with the use of internet search data. we briefly dive into the definition of a
Introduction Hurricanes, typhoons, droughts, wildfires, and other extreme weather events are causing record damage. Increasingly, climate change is impacting the economy and our daily lives and has come into focus as an existential threat to the world as we know
Introduction Hurricanes, typhoons, droughts, wildfires, and other extreme weather events are causing record damage. Increasingly, climate change is impacting the economy and our daily lives and has come into focus as an existential threat to the world as we know
White paper: The Modern Dilemma Over the past year, the World Economic Forum’s Investors team, in conjunction with Baker McKenzie, interviewed a number of chief executives, IBC Chairpersons and Community of Chairperson (CoC) members, and surveyed legal requirements in a number
As business leaders manage the ever-changing economic, political, and technological landscape they face a significantly magnified exposure to risk and uncertainty. This creates a highly complex portfolio of potential risks that, if managed poorly, can lead to lost opportunities that
Price momentum is most commonly understood as a phenomenon in which assets that recently enjoyed high (low) returns relative to others are more likely to experience high (low) returns in the future. It is customarily implemented as a cross-sectional trading
Reaffirming the philosophy that underpins our investment process Rosenberg Equities’ core investment belief is that earnings matter. Why? Because we believe that future earnings and fundamentals ultimately drive share prices. We seek to capitalise on this by building what we
Economists often seem to obsess about productivity. The stagnation of growth and incomes is often blamed on poor productivity growth. In particular, the “declining growth of total factor productivity…a measure of innovation” is the subject of much angst and hand
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
Working Paper This article develops the theory of risk budgeting portfolios, when we would like to impose weight constraints. It appears that the mathematical problem is more complex than the traditional risk budgeting problem. The formulation of the optimization program
Occasional Paper Series This paper presents a tractable, transparent and broad-based domestic cyclical systemic risk indicator (d-SRI) that captures risks stemming from domestic credit, real estate markets, asset prices, and external imbalances. The d-SRI increases on average several years before
With the increased availability of non-cap-weighted indexes, investors can now make more efficient allocation decisions by more precisely mapping their investment goals and constraints to the strategies used to build their portfolios. This requires a deep understanding of their investment
Our Emerging Markets Debt team has been analyzing ESG indicators for sovereigns for eight years, and started working with Sustainalytics five years ago to build ESG coverage of its corporates universe. During that time, it has continually enhanced its ESG
Summary The concept of “best ideas” is well understood in an investment context, but it is seldom grasped with such clarity in a broader organisational setting. We ask how a process of distillation and refinement might be used in decision-making
The concept of “best ideas” is well understood in an investment context, but it is seldom grasped with such clarity in a broader organisational setting. We ask how a process of distillation and refinement might be used in decision-making and
Interest in ESG investing has grown incontestably in recent years. This study covers the analysis of the risk-return profile of ESG as a selection strategy on global developed markets, and the integration effects of ESG in an index-linked management process.
In this paper we propose a commodity strategy that incorporates cross-sectional factors grounded in the rich research available on commodity futures pricing. Over the period studied, the strategy exhibited an attractive return profile with no significant correlation to general commodity
In this paper we propose a commodity strategy that incorporates cross-sectional factors grounded in the rich research available on commodity futures pricing. Over the period studied, the strategy exhibited an attractive return profile with no significant correlation to general commodity
White Paper Overoptimism and overconfidence are two well-known psychological traits of our species. They are particularly dangerous in the late stages of an economic cycle where these terrible twins result in investors overestimating return and underestimating risk – a potentially
Why does value investing work? Why do other factor strategies work? For that matter, why does any active strategy—meaning, any strategy other than capitalization-weighted indexing—“work” in the sense of having a reasonable chance of beating the cap-weighted index other than
Occasional Paper Series Using a wide range of models we document a protracted fall in the natural (or neutral) rate of interest in advanced economies, driven by ageing, waning productivity growth, a rise in mark-ups, and a surge in risk
As a special initiative of the UN Secretary-General, the United Nations Global Compact is a call to companies everywhere to align their operations and strategies with ten universal principles in the areas of human rights, labour, environment and anti-corruption. Launched
It is an investment made with the intention of generating a positive social and/or environmental impact alongside financial returns. Impact investments exist across a diverse range of asset classes and geographies. Underlying investment candidates should demonstrate a clear “intentionality” within
We study whether the solvency problems of Spain’s weakest banks in the Great Recession have caused employment losses outside the financial sector. Our analysis focuses on the set of banks that were bailed out by the Spanish authorities. Data from
The policy news shock is constructed as the first principle component of the change in five interest rates. The first of these is the change in market expectations of the federal funds rate over the remainder of the month in
This paper is devoted to the question of optimal portfolio construction for equity factor investing. The first part of the paper focusses on how to make sure that a given equity portfolio has the targeted factor exposures, even before imposing
BIS Working papers Demographic shifts, such as population ageing, have been suggested as possible explanations for the past decade’s low inflation. We exploit cross-country variation in a long panel to identify age structure effects in inflation, controlling for standard monetary
Occasional Paper Series The article analyses recent developments in business investment for a large group of EU countries, using a broad set of analytical tools and data sources. We find that the assessment of whether or not investment is currently
Occasional Paper Series A macroeconomic stabilisation function for the euro area – as envisaged in the Five Presidents’ Report – plays a central role in the debate on deepening Economic and Monetary Union (EMU). We evaluate a broad range of
The big picture The epicenter of global growth is shifting towards APAC. With fundamentals taking over as the key driver of performance, Asia's growth premium is likely to underpin the region's outperformance in real estate.
The academic literature tells us that for suitably diversified portfolios, factors drive risk and performance outcomes (see for example [1, 2]). If this is the case, then well-diversified portfolios with identical factor exposures should have similar performance characteristics despite originating
Occasional Paper Series In this report, three methodological approaches are applied to assess the size of the International Monetary Fund: benchmarking Fund resources against a number of relevant global economic and financial indicators; an extrapolation of past and current IMF
Working Paper In the last few years, the financial advisory industry has been impacted by the emergence of digitalization and roboadvisors. This phenomenon affects major financial services, including wealth management, employee savings plans, asset managers, private banks, pension funds, banking
This fifth oversight report on card fraud analyses developments in fraud related to card payment schemes (CPSs) in the Single Euro Payments Area (SEPA) and covers almost the entire card market.1 It provides an overview of developments in card payment
Examining a shock to the salience of the sustainability of the US mutual fund market, we present causal evidence that investors marketwide value sustainability. Being categorized as low sustainability resulted in net outflows of more than $12 billion while being
