Strategy Volatility : An asset class to make a portfolio more robust to crises
Investors, especially those of long-term maturity, should take advantage, to make their portfolios less vulnerable to episodes of market stress...
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Strategy How Smart is ‘Smart Beta’ Investing?
Investors increasingly embrace “smart beta” investing, by which we mean passively following an index in which stock weights are not proportional to their market capitalizations, but based on some alternative weighting scheme. Examples include fundamentally-weighted indices (...)
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Strategy Africa: A continent of opportunities
As global demand for commodities continues to grow, we believe Africa is in an enviable position with its vast resources, not only minerals but also food—60% of the world’s uncultivated arable land is in Africa...
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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 Can Fed check the TNote’s downturn?
The rise in the yield of the 10-year TNote has been impressive since the start of May, up from 1.60% to 2.90%, its highest level since July 2011 (TNote contract has shed around 6%). The steepening of the US sovereign yield curve has been just as impressive, as the 10-2Y (...)
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Strategy Recent changes in sovereign yields put under the microscope
Since the start of the year, yields for the 10-year TNote and Gilt have been more or less the same. At the same time, the yield spread between Bund and its UK and US counterparts has widened by 100bp, and is now not far off (...)
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Strategy Fed, Oil, yuan: towards a triple capitulation?
The first few days of the year were particularly challenging for capital markets. Further incertitude regarding the strength of the US cycle and the possibility that the Chinese economy is weathering a heavy depression drove risky assets lower, bucking the traditional (...)
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Strategy JPY at risk of reversal: who wins? who loses?
JPY and Japanese equities were the outcast of the rally, in diffidence of Abenomics’ and BoJ’s chances of success. They bear a risk of a reversal ahead of the coming BoJ meetings (April 28 & June 16) and the July Upper House (...)
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Strategy How does ‘quantamental’ fit with factor investing?
‘Quantamental’ is a relatively new portmanteau word in asset management lingo. Its creation is indicative of a trend in our industry. Quantamental is the fruit of the marriage of the quantitative and fundamental (also known as judgmental) disciplines in managing (...)
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Strategy CTAs as shock absorbers
In the space of alternative strategies, Global Macro and Event-Driven strategies rebounded the most since March 23rd. Both Merger Arbitrage and Special Situations sub strategies benefitted as M&A deal spreads tightened significantly since (...)
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Strategy Opportunity in volatility
The first three months of 2020 go down in history as the worst Q1 ever for global stock markets. Many measures of market stress reached levels last seen in the financial crisis and some price moves were on a scale not witnessed since the great Crash of 1929. The surge in (...)
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Strategy Hybrid call decisions become more nuanced
The re-statement by Santander’s chief executive on the 2018 earnings call on January 30 of the group’s existing policy to call hybrid instruments on economic terms seems to have been accepted calmly.
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Strategy ECB: an impressive QE
According to Philippe Ithurbide, Global Head of Research, Strategy and Analysis at Amundi, it will act through a number of channels among which interest rate, liquidity, wealth effect and forex channels, whose effects has already partly been felt in anticipation, to which (...)
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Strategy Dollar depreciation helps CTAS
Since the U.S. presidential election on November 3 th, the USD has started a descent that may have legs under the new administration. The easing of trade tensions and an accommodative policy mix could put additional pressure on the DXY, which was down -1.7% since the (...)
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Strategy Neural networks, the future of trading?
It is the latest innovation of algorithmic trading, and perhaps one of the most promising ...
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