Finding the Missing Link

In this blog post, we present two use cases to explain how Linked Models can enhance your investment process.

Posted 07.11.19 Arnab Banerjee, PhD

Concerned about auto tariffs? Look to Asia for diversification…

Building on our earlier blog on the impact of US tariffs on EU car imports, we decided to take a look at the effects on automobile manufacturers in other regions.

Posted 07.10.19 Christoph Schon, CFA, CIPM

Pension Funds: Time to Rethink Asset Allocation Strategies?

In the past 10-20 years, positive interest rate sensitivity has had serious implications for Strategic Asset Allocation. We envision new equity products being developed which better control such interest sensitivity.

Posted 07.08.19 Dominic Clermont

What Is a Factor? The Impact of the Long-Only Constraint

In a follow-up to a recent paper, we drill down into the impact of a long-only constraint.

Posted 06.27.19 Melissa R. Brown, CFA

Fixed Income factors: Why do we build credit curves?

We take a look at how we build credit curves to serve as a foundation for fixed income models and the advantages they have over some other methodologies.    

Posted 06.20.19 Alan Langworthy

Factor Performance Continued to Fall Short in Q2—and Constraints Only Made Things Worse

Momentum’s recovery in Q2 was a welcome event for many factor-based investors. Unfortunately, that recovery probably wasn’t enough to pull quant managers out of the hole.

Posted 06.11.19 Melissa R. Brown, CFA