Asset Allocation

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Working Paper 23.11.2021 ESG and Sovereign Risk - What is Priced in by the Bond Market and Credit Rating Agencies?

In this paper, we examine the materiality of ESG on country creditworthiness from a credit risk analysis viewpoint. To address this, we consider a granular set of 269 indicators within the three ESG pillars to determine what the sovereign bond market is pricing in.

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Insights Paper 12.11.2021 Combining active and passive investing in Multi Asset: an institutional investor framework

Numerous factors have been driving the development of passively managed vehicles and their increasing weight in institutional investors’ portfolios

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Working Paper 9.11.2021 Green Sentiment, Stock Returns, and Corporate Behavior

In this paper, we propose a new method to estimate nonfundamental demand shocks for green financial assets based on the arbitrage activity of exchange-traded funds (ETFs).

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Asset Class Views 9.11.2021 Asset Class Return Forecasts - Q4 2021

As we enter the tail end of the Covid-19 recovery boost, authorities in developed markets are seeking to implement fiscal packages of varying degrees to control the eventual economic cool down.

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Thematic Paper 15.10.2021 Shifts & Narratives #10 - China is finally emerging from the US’s shadow

Today, with developed market equities highly correlated and bond yields remaining subdued, investors are searching for other sources of income. In this respect, China’s assets could prove to be a useful diversifier for global portfolios, as they are likely to become increasingly independent from US ones.

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Discussion Paper 7.10.2021 Strategic Asset Allocation for a Default Pension Plan

This literature review discusses how to design a default life-cycle asset allocation for a defined contribution (DC) pension scheme.

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Working Paper 6.10.2021 Liquidity Stress Testing in Asset Management - Part 3. Managing the Asset-Liability Liquidity Risk

This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions.

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Monthly Cross Asset 4.10.2021 Covid headwinds ease as China risks rise

At the time when EMs are navigating towards a healthier environment (Covid cases numbers shifting downward and vaccination rollouts speeding up), China’s selfinduced deceleration is now looming.

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Monthly Cross Asset 8.09.2021 Special Europe: investing in the recovery

As the European economy is recovering from the largest economic shock of modern history, we are revising our growth and inflation assumptions to the upside.

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