4/01/2018 Portfolio Strategy Keep Up The Momentum The momentum risk premium is one of the most important alternative risk premia alongside the carry risk premium. However, it appears that it is not always...
21/12/2017 Portfolio Strategy Megatrends and disruptions Consequences for Asset Management The asset management industry has to face three different types of challenges.
12/12/2017 Fixed Income & FX Credit Continuum: How to make it happen We have been living for the past few years under an unprecedented regime of unconventional monetary policies. Abundant liquidity poured into developed...
1/12/2017 Economy & Markets CIO Insights - Four investing paradigms for an era of regime... In a market environment characterised by disruptive trends and possible regime shifts, asset managers need to evolve and to enhance their capabilities...
9/11/2017 Portfolio Allocation Analysing the Exposure of Low-volatility Equity Strategies t... At the dawn of a potential rise in rates triggered by Central Banks in both Europe and the United States, doubts are being raised about the ability of...
1/11/2017 Retirement Pension Funds Letter 3 - Shifting approaches from yield spec... Shifting approaches from yield spectrum to credit continuum
16/10/2017 Asset Pricing & Behavioural Finance Understanding the Momentum Risk Premium Momentum risk premium is one of the most important alternative risk premia. Since it is considered a market anomaly, it is not always well understood....
20/09/2017 Portfolio Allocation Portfolio optimisation in an uncertain world Mean-variance efficient portfolios are optimal as Modern Portfolio Theory alleges, only if risk were foreseeable, that is under the hypothesis that price...
1/07/2017 Retirement Pension Funds Letter 2 Investors on both sides of the Atlantic, having been preoccupied for several months, now have clarity on several fronts.
1/06/2017 Machine Learning & Artificial Intelligence Parameter Learning, Sequential Model Selection, and Bond Ret... Parameter Learning, Sequential Model Selection, and Bond Return Predictability
