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Working paper

Working paper

24.06.2019 - Working Paper

Factor Investing in Currency Markets: Does it Make Sense?

The concept of factor investing emerged at the end of the 2000s and has completely changed the landscape of equity investing.

Elisa BAKU, Roberta FORTES, Karine HERVE, Edmond LEZMI, Hassan MALONGO ELOUAÏ, Thierry RONCALLI, Jiali XU

DP033 wherre will the next financial crisis

DP033 wherre will the next financial crisis

02.08.2018 - Discussion Paper

Where will the next financial crisis come from? Are we ready to confront it?

"The stock market has predicted nine of the last five recessions"

Philippe ITHURBIDE

Senior Economic Advisor

2018-01- DP - Keepm Up the Momentum

2018-01- DP - Keepm Up the Momentum

04.01.2018 - Discussion Paper

Keep Up The Momentum

The momentum risk premium is one of the most important alternative risk premia alongside the carry risk premium.

Thierry RONCALLI

Quantitative Research

DP025 - Carry and Momentum Risk Premia

DP025 - Carry and Momentum Risk Premia

26.09.2017 - Discussion Paper

The Quest for Diversification: Why Does It Make Sense to Mix Risk Parity, Carry and Momentum Risk Premia?

Diversification should be the first objective of any large institutions because managing risk is a key source of long-term performance.

Edmond LEZMI, Hassan MALONGO ELOUAÏ, Thierry RONCALLI, Alexandre BURGUES, Raphaël SOBOTKA, Edouard KNOCKAERT

Alternative risk premia

Alternative risk premia

09.05.2017 - Monthly Cross Asset

Alternative Risk Premia: What Do We Know?

Alternative Risk premia are essential to understand the concept of diversification and renew traditional asset allocation. As smart beta and factor investing have dramatically changed equity investing, alternative risk premia will highly impact the landscape of strategic asset allocation, multi-asset management and alternative investment.

Thierry RONCALLI

Quantitative Research

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