How to model a trade war

In this article, we examine the impact of a potential trade war on a global multi-asset class model portfolio.

Posted 07.16.18 Christoph Schon, CFA, CIPM

Attribution Benefits of Axioma’s US Small Cap-Model

For a factor-tilt-based manager, Axioma’s new US Small-Cap Fundamental Model (USSC4) should confer an attribution benefit versus the all-cap US4 when factor performance diverges between the two models.

Posted 07.12.18 Melissa R. Brown, CFA

Just How Disappointing Has Momentum Been Recently?

Momentum has taken a beating from observers lately, thanks to the apparent recent breakdown in performance. But there may be a bit more going on here than meets the eye.

Posted 07.11.18 Melissa R. Brown, CFA

What’s in a Name? Stress-Testing Smart Beta ETFs

Many Smart Beta ETFs are bought with the expectation of long-term market outperformance. However, our recent set of stress tests have highlighted three issues investors and fund managers should understand. 

Posted 07.10.18 Melissa R. Brown, CFA

Stress-Testing Political Risk in Europe

In a situation eerily reminiscent of the build-up to the fateful Brexit referendum, many investors seem to once again underestimate the risk of political upheaval in Europe.

Posted 06.29.18 Christoph Schon, CFA, CIPM

Enhancing MinVol Strategies with Multiple Risk Models

Minimum Volatility strategies have historically delivered portfolios with significant excess returns and much lower volatility compared with broader benchmarks.

Posted 06.24.18 Dominic Clermont