Insights · Research
Research notes, white papers, and round-ups from our quantitative team.
In the ever-evolving landscape of real asset investments, fund managers seek strategies to enhance portfolio resilience and performance. A compelling opportunity lies in the strategic allocation to direct commodities. This approach offers several advantages that align closely with the objectives of
Geek Level: Read Time: The Speed Read: Growth sleeves within a pension’s asset-liability framework are built with the intention of improving funded status, but depending on the path of different macroeconomic drivers, these portfolios can lead to adverse outcomes due to risk mismatches. Key risks in
Speed Read: The concept of diversification has a long history and is often considered “the only free lunch” in investing. The benefits of diversification are well studied in academic literature, but in practice, correlations between traditional assets like stocks and bonds can change, affecting the
One of the great truisms in modelling is “garbage in, garbage out.” In few places is that more important than in financial modelling.
When individuals have uncertainty about a specific product or idea, they will often look to what their peer group is doing to help them decide. Social proof is a behavioural bias that can lead to decision making errors. By embracing a process-driven research flow to guard against behavioural biases
Geek Level: Read Time: The Speed Read: Bonds are traditionally thought of as risk-free or safe-haven assets. However, fixed income investments have unique risks relating to their sensitivity to interest rate fluctuations. Sensitivity to interest rates movements means that bonds are not risk-free, es
Geek Level: Read Time: The Speed Read: Diversification is the first line of defence for an investment portfolio. Utilizing a risk-parity engine for portfolio construction creates a portfolio that reduces the severity of drawdowns while increasing expected returns. Volatility scaling to tactically ad
Geek Level: Read Time: When an individual contemplates whether they want to make an investment, generally the first thoughts revolve around return expectations. If I am willing to invest in a company, either through debt or equity, what is my expected return, and is the return enough for me to feel
The traditional 60/40 balanced portfolio is no stranger to coming under fire. Many pundits have decreed the death of the balanced portfolio, arguing that a low yield environment will prove insurmountable and bonds will no longer be able to provide necessary diversification for investor portfolios. T
In Part 1 of this blog series, we illustrated how applying a prudent amount of leverage to a risk parity strategy allows investors to harvest a “diversification premium,” potentially leading to a more efficient outcome for investors who require a risk and return profile similar to global equity mark
My previous posts on volatility have covered what volatility is, why volatility matters, and how different constraints affect an investor’s ability to tolerate risk in the form of volatility. This installment in our volatility series will aim to provide a framework that helps to quantify an investor
We begin our discussion with a story to help us think about risk and bet sizing. Our protagonist, poker aficionado Annie, enters a casino prepared for a night of risk and reward. As a competent player, she finds she walks away with a few extra dollars in her wallet at the end of the night […]