Outlook 2020: It’s All About the Trade War…and a Potential Trump Card for Reelection?
If a buoyant stock market is a prerequisite for Trump’s reelection, then a trade-war resolution in 2020 is all but assured.
Beware what lurks beneath the surface of low volatility
On Friday November 8, the VIX closed at 12.07, a level not seen since Q4 of 2017. The US economy and stock markets have once again outperformed those of every other developed country this year. And investment-grade corporate-bond spreads — although higher than in Q4 2017 — have all fallen from the highs reached at the end of Q4 2018. That ...
Curiouser and Curiouser: Reflections on 2019 Factor Performance or “Shortchanged by the No-Short Constraint”
Many quant managers are having a tough year. While one might blame factors in general, their returns do not tell the whole story (or even the bulk of the story).
Minimum Variance: A Leg Up on Geopolitical Risk?
In our latest paper, we examined the impact of recent market risk events on a range of STOXX® minimum-variance indices vis-à-vis their corresponding global and regional broad benchmarks.