Sector-neutral, low-risk equity strategies can efficiently generate alpha while reducing exposure to defensive sectors and thus the interest rate exposure
Inflation has fallen significantly in the eurozone this year, forcing the ECB to announce a series of measures to head off deflation. So far, though, there is little sign of an end to the disinflationary trend.
The volatility of asset class returns is not constant over time. Similarly, traditional strategies aiming to capture factor premia also show variable volatility over time. Constant volatility approaches can be successful ways to exploit these anomalies, also when applied to factor investing.
Overview from the latest Axioma Quant Forum in London on 24 September 2014
During the summer, we created a quiz to work out which of the four main alpha quant factors suits each individuals personality best. Being quants, we could not resist the temptation to analyse the results…
Highlighting the importance of combining the four cardinal virtues of Plato in relation to the four main long-term factors of equity outperformance, rather than “timing” them.
Many investors became accustomed to earning attractive returns with hardly any risk from investing in money markets, but with interest rates now lingering near all-time lows, they have little choice but to take more risk to earn anything like an appealing yield.
The constraints of the zero lower bound means developed economies may be confronted with the prospect of a future of chronically weak demand and slow economic growth
Most investors are risk-averse: they are more sensitive about losing money (even if the loss is unrealised, i.e. they haven’t sold the loss-making position yet) than about missing out on a nice opportunity.
The fallout of the Great Recession and the way it has been addressed have only made finding an appropriate investment strategy more daunting than ever.
Interest rates saw sharp swings in 2013. 10-year Bund yields fell as far as 1.15% in May 2013, close to their historic low
William De Vijlder and chief economist Joost van Leenders tell the team about their outlook on the global economy and markets.
An overview of what was presented and discussed at the Nomura Global Conference in London on 8 May 2014.
A new paper by the Financial Engineering team shows how simple strategies based on astute risk management can generate additional returns for investors.
Target-date funds match a variety of investment horizons and individual long-term needs.
A strategy focusing on reduced exposure to potential swings.
Investors are increasingly on edge as various signals suggest that times are changing.
Many European investors in low volatility equities were caught by surprise: the volatility of their low equity portfolios has been as high as the market volatility.