Why is the US risk contribution suddenly so big?

In our recent Q4 2018 Risk Review webinar and research paper, we noted a sharp increase in the US’s contribution to overall risk in global developed-markets equity benchmarks. 

Posted 01.28.19 Christoph Schon, CFA, CIPM

5 things to look out for ahead of a yield curve inversion

Fears of an impending yield curve inversion have been somewhat mitigated thanks to the recent downward revision of rate forecasts by a number of Federal Open Market Committee members.

Posted 01.25.19 Christoph Schon, CFA, CIPM

Recessions, Expansions and Factor Performance: Not Much of a Factor-Timing Strategy

Given the recent inversion of the yield curve, and with companies like Apple guiding earnings estimates down, there’s more than just a whiff of a recession in the air.

Posted 01.18.19 Melissa R. Brown, CFA

Asset correlations and portfolio risk: what a difference a quarter makes

The last quarter of 2018 witnessed dramatic changes in the risk environment and multi-asset class correlations.

Posted 01.16.19 Christoph Schon, CFA, CIPM

A Shaky Start for Factor Returns, Especially in the US

With just nine days of factor returns for 2019, we have already seen sharp reversals of fortune in some factors, and an abundance of larger-than-expected returns in the US.

Posted 01.15.19 Melissa R. Brown, CFA

Harvesting Dividend Yield in China

The attraction to dividend yield’s defensive qualities in times of bear markets is well documented, but does this still hold for an emerging market like China? And if so ...

Posted 01.10.19 Olivier d'Assier

Minimum Variance Has Delivered in This Downturn

One of the major advantages of minimum variance strategies is that the lower-than-market volatility and beta should pay off by offering protection when the market stumbles, as it has recently.

Posted 12.21.18 Melissa R. Brown, CFA

Crowded Trades Don’t Explain Managers’ Recent Pain

A summary of our analysis of the speculation that there has been a large unwinding of crowded risk-factor positions.

Posted 12.19.18 Melissa R. Brown, CFA