Must read articles

Diversification
RC - 2022.04 - SAN#16 - Cover
Thematic Paper 6.04.2022 Shifts & Narratives #16 - Investing in a fragmented world

One key aspect of the regime shift is the fall of globalization trend. In the piece we address the impact of de-globalization on investors, and in particular the road back to the benefits of international diversification

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Working Paper 26.03.2019 Optimal Allocation in the S&P 600 under Size-Driven Illiquidity
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A number of empirical studies have investigated how mutual funds do react to incoming financial resources.

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Working Paper 11.03.2019 Traditional and Alternative Factors in Investment Grade Corporate Bond Investing
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While the concept of factor investing has gained significant traction since the 2000s with the consequence of altering the landscape of equity investing, factor investing in fixed income remains in its infancy.

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Discussion Paper 4.01.2018 Keep Up The Momentum
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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 well understood.

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Working Paper 20.09.2017 Portfolio optimisation in an uncertain world
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Mean-variance efficient portfolios are optimal as Modern Portfolio Theory alleges, only if risk were foreseeable, that is under the hypothesis that price (co)variance is known with certainty. Admitting uncertainty changes the perception.

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Working Paper 12.04.2017 Alternative Risk Premia: What Do We Know?
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The concept of alternative risk premia is an extension of the factor investing approach.

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Working Paper 17.12.2015 Towards Greater Diversification in Central Bank Reserves
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Working Paper 15.03.2012 No contagion, only globalisation and flight to quality
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In this article, tests for globalization and contagion are separated using an ex ante definition of crises, and contagion tests are neutralized with respect to globalization effects

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