Portfolio management
Forecasting value-at-risk
Alvin Stroyny and Tim Wilding build a dynamic risk framework for multi-asset global portfolios
Harnessing AI to achieve Libor transition
Chris Dias, principal at KPMG, explains how the vast increase in accuracy that artificial intelligence (AI) offers when dealing with large volumes of complex agreements is crucial to exploring the market opportunities and mitigating the risks of the…
The future of emerging markets – 30 years on from the launch of the MSCI Emerging Markets Index
For the past 30 years, emerging markets have provided return enhancement and risk diversification opportunities for global equity investors. The opening of the domestic Chinese capital market and its integration into international markets is likely to…
Risk and finance – Better together
Changing regulations and new accounting standards are creating enormous challenges for financial organisations. Thorsten Hein, principal product marketing manager, risk research and quantitative solutions at SAS, explores why, to successfully meet these…
JP Morgan AM creates Taiwan trading hub
New local centre aims to channel orders in bulk, cutting price slippage
ETF investing – Building better portfolios
At the Asia ETF Forum 2019, Hong Kong Exchanges and Clearing (HKEX) welcomed industry experts from around the region to six key Asian exchange-traded fund (ETF) cities, offering attendees an updated view on the growing ETF market in Asia. This article…
Tying allocation to selection
Hamza Bahaji introduces a new approach to core-satellite investing, the compound portfolio insurance
The implications of value-at-risk and short-selling restrictions for portfolio manager performance
This paper provides a framework to analyze the performance of a portfolio manager under a value-at-risk (VaR) constraint, in a Markowitz setup.
How to stress-test portfolios for Brexit and trade wars
Options markets point to likely market moves in different scenarios, write StatPro risk specialists
Black was right: price is within a factor 2 of value
CFM’s quants verify Fisher Black’s intuition on mean reversion still applies today
Rival strategies split multi-factor fund investing
Goldman, Robeco challenge conventional ‘bottom-up’ portfolio design
Complying with regulatory initial margin and automating the collateral management process
Since the introduction of uncleared margin rules, collateral management has been thrust into the regulatory spotlight, becoming a priority for firms with over-the-counter derivatives portfolios
AllianceBernstein digs into its own data, looking for alpha
Firm combs through information about its portfolio managers for signs of bias and bad habits
BV–VPIN: Measuring the impact of order flow toxicity and liquidity on international equity markets
The authors analyze the impact of different values of the VBS and sample size applied as inputs in a BV–VPIN model based on the US market in order to ascertain the optimal criteria for application across all other countries in our data set.
Passive funds turn predator in pursuit of pricing edge
State Street, Amundi, HSBC sharpen trading tactics to exploit index changes
Equity hedges protect Munich Re from vol spike
Net derivative liabilities fall 95% year-on-year
International and temporal diversifications: the best of both worlds?
In this paper, the authors focus on seven stock market indexes: two US, three European, one emerging and one Japanese. They select different pairs of markets and, with the help of wavelets, decompose these series at different timescales.
Basel liquidity rules block Fed’s QE exit
LCR and NSFR could produce $1 trillion shortfall in plans for balance-sheet ‘normalisation’
Optimal equity protection of Solvency II regulated portfolios
In the context of equity investments, this paper examines the relationship between the cost of acquiring protection (in the form of put option) and the reduction of capital charges that it entails. The paper develops the idea that Solvency II regulations…
Interconnectedness risk and active portfolio management: the information-theoretic perspective
This paper extensively compares mutual-information-based networks with correlation-based networks on a stand-alone basis and in the framework of active investment strategies.
Agnostic risk parity: taming known and unknown unknowns
This paper offers a new perspective on portfolio allocation, which avoids any explicit optimization and instead takes the point of view of symmetry.