2019
Investment Insights
Risk & Reward – 1st issue 2020
February 25, 2020
Research and investment strategies
We offer a new perspective on risk, discuss adding equity upside potential to fixed income portfolios, comment on the China Position Study and provide four studies in factor investing.
Risk & Reward – 1st issue 2020
Are you taking enough risk? How do you know?
Michael Marshall
Standard measures such as volatility or standard deviation of (past) returns are often misleading. We propose using a different metric, Internal Portfolio Risk, to evaluate the level of risk in a portfolio.
Risk & Reward – 1st issue 2020
Adding equity upside potential to fixed income portfolios
Robert Young and Leyla Greengard
We show how enhancing a fixed income portfolio with equity options may lead to a more appealing risk/return profile.
Risk & Reward – 1st issue 2020
Forging ahead in China
Andrew Lo
We spoke to Andrew Lo on the China Position Study, a survey of global investor sentiment towards Mainland China.
Risk & Reward – 1st issue 2020
A factor-based buy-and-hold strategy for bonds
Jay Raol and Amritpal Sidhu
Factor investing often entails a correlation matrix so complex that it cannot be fully analyzed. We show how this problem can be addressed using hierarchical clustering techniques.
Risk & Reward – 1st issue 2020
Integrating low volatility style exposure into core equity factor investments
Michael Fraikin, Xavier Gerard, André Roberts
Some authors have recently cast doubt on the robustness of the low volatility effect. We challenge the generality of this position.
Risk & Reward – 1st issue 2020
A forecast combination approach to equity factor timing
Michael Fraikin, Edward Leung and Dr. Harald Lohre
We investigate the benefits of forecast combination for timing equity factors and analyze different aggregation methods based on predictive regressions and macro predictors as inputs.
Risk & Reward – 1st issue 2020
Economic versus statistical clustering in multi-asset multi-factor strategies
Dr. Martin Kolrep, Dr. Harald Lohre, Erhard Radatz and Carsten Rother
Using hierarchical clustering techniques, we investigate meaningful ways of generating a coherent multi-asset multi-factor allocation to harvest the associated asset and factor premia in a balanced fashion.
Other Risk & Reward issues
Investment risks
- The value of investments and any income will fluctuate (this may partly be the result of exchange rate fluctuations) and investors may not get back the full amount invested.
Important information
- Where individuals or the business have expressed opinions, they are based on current market conditions, they may differ from those of other investment professionals and are subject to change without notice.
- This document is marketing material and is not intended as a recommendation to invest in any particular asset class, security or strategy. Regulatory requirements that require impartiality of investment/investment strategy recommendations are therefore not applicable nor are any prohibitions to trade before publication. The information provided is for illustrative purposes only, it should not be relied upon as recommendations to buy or sell securities.
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