Strategy TNote-Bund correlation: new regime
2016 marked a watershed for the sovereign bond market. European bonds underwent a sharp selloff in Q4 2016, this when the year had kicked off on a bullish note that lasted right through to September. The political events in 2016, the outlook for growth and for inflation and (...)
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Strategy The index revolution (finally) comes to hedge funds
One common knock on factor models is that they “replicate only beta” – not the pure alpha gold that allocators seek. This critique pre-dates the appreciation of factor rotations. Outside of some ivory tower statistics class, no one questions the “alpha” generated by, for (...)
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Strategy Machine Learning : Choosing the best regime for you!
Machine learning and big data techniques have been developed making it possible to apply sophisticated mathematical models (hidden Markov switching models, which we will examine later) to financial data series in order to identify market regimes. All this has created scope (...)
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Strategy Tim Albrecht and DWS Deutschland: celebrating 15 years of success
It has been 15 years since Tim Albrecht assumed responsibility for the DWS Deutschland fund. In July 2002, the volume of the equity fund, which had been badly battered by the tech bubble, stood at a mere 200 million euros. Today, investors entrust seven billion euros to the (...)
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Strategy L/S Equity strategies bear the brunt of the turmoil
L/S Equity and Event-Driven strategies underperformed due to their elevated market beta. L/S Equity strategies also suffered due to the rotation in risk factors which saw growth/ momentum stocks underperforming value and low beta (...)
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Strategy We have reduced our equity exposure through option strategies
Samir Saadi, Multi-Asset Portfolio Manager of CPR AM explains that he started the year heavily invested in equities to capture the good momentum of this beginning of the year. Convinced that the year would be special, CPR AM introduced optional hedging (...)
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Strategy ESG and climate: When credit becomes sustainable
Those investors who have opted to incorporate ESG and climate issues into their portfolios will emerge from the crisis with even greater faith in their convictions and all the keener to take more action for the future. New investors will undoubtedly soon join the movement to (...)
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Strategy Financial markets in 2016: From the « 3D » to the « 3R », a shift in market paradigm – is it going to last?
Three forces collided at the turn of 2015-2016 to make markets extremely anxious. First, the Fed stuck to its promise to start a tightening cycle in 2015, with an in extremis hike in December 2015. The accompanying “dot plot” priced in four more hikes for (...)
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Strategy Risk factor investing explained
Risk factor investing is growing in popularity, but there’s a risk of getting lost in the factor “zoo”. In this Expert Opinion Thierry Roncalli, Head of Quantitative Research at Lyxor Asset Management, explains the concept of risk factors and distinguishes between facts and (...)
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Strategy Negative real rates likely to be a lasting feature in the Eurozone
According to René Defossez, Strategist at Natixis, it seems reasonable to assume that, to begin with, the European Central Bank will endeavour to keep the 10-year nominal swap as low as possible, which means that the breakeven swap will remain deep in negative territory. (...)
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Strategy Five reasons why special situations outlook is brightening
Special Situations strategies have been under pressure in 2020, both on their event and credit arbitrage books. Due to their long structural market beta, managers have underperformed early this year. They have retraced most but not all they have (...)
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Strategy The University of Texas Investment Management Co. to hold $1 billion in gold bars
The endowment, which oversees funds held by the University of Texas took delivery of almost $1 billion in gold bullion as a hedge against inflation
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Strategy Africa: Kenya’s Mobile Frontier
When we first started out in the emerging markets space more than two decades ago, we were in “frontier” territory as we entered markets such as Indonesia, Thailand, Turkey and Brazil that were previously closed to foreign (...)
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Strategy Is Low Volatility investing overcrowded?
One may reasonably argue that the recent flows into the Low Volatility strategies might affect their future performance because of the flow pressure on the prices of the companies that generally are selected by this investment approach. More recently, some market (...)
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Strategy Equities vs. high yield ? The answer becomes clearer…
During the initial phase of the turnaround in high-risk American assets, equities and high yield moved very similarly. In contrast, since mid-2012, equities have been accelerating more quickly, outpacing the credit market by a decent (...)
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