Research

Fresh off the printing press! Eugene Fama and Kenneth French are back with an interesting lesson on volatility in equity markets.

This short article from Aon is helpful to understand better the differences between "Unconstrained bond", "Total return bond", "Absolute return bond" and "Multi-asset credit" portfolios. Very good and quick read.

Investment firm of the future. Can you imagine a world where systematic investment methodologies are more than half of active core AUM in public markets, private markets are dominating satellite exposures and asset management firms focus on solutions rather than beating benchmarks for segregated mandates?

Schroders explains that while factor investing within bond portfolios may sound puzzling to seasoned fixed income professionals, there are fundamental differences between factor investing in equity vs bond portfolios. #investing #factoring

For those of you considering adding Private Debt to your bond portfolios. This is a good article from Towers Watson on the decomposition of the illiquidity risk premium. #privatedebt #investing

This is a couple months old but it takes an interesting look at the fixed income asset class dynamics. The main themes discussed in the study are the following:

1. The "new normalization" of fixed income
2. Low yields remain the dominant challenge; but aging, regulation, and geo-politics are seeping into investor thinking
3. Managing the migration of ESG to fixed income
4. Core fixed income vs alternative credit strategy
5. Broad appeal of alternative credit
6. Most investors use a hybrid model of internal and external asset management

The people that have been following Nymbus know where we stand on that topic!

UBS's Investment Insights document considers the correlation between bonds and equities, its drivers and the likelihood that we are entering a new and higher correlation regime between these two core asset classes.

An attempt to dissuade investors from factor timing, recommending instead the use of 'strong hands' (patience and persistent style exposures) to get the most out of factor investing.

Interesting article on a systematic approach to style investing in fixed income.

Excellent paper advocating for a deeper view of credit in fixed income. Investors have traditionally gotten credit exposure through core fixed income portfolios and tactical add-ons. In this paper, the authors argue that the distinct attributes of credit, together with a greatly expanded opportunity set, can provide the basis for a more strategic approach in fixed income management.

Eight centuries of the risk-free rate: bond market reversals from the Venetians to the ‘VaR shock’ (Bank of England, 2017)

During a crisis, when portfolio managers are lessening risk, cash flows from equities into bonds, thus offsetting equity losses. Yet with yields currently near all-time lows, will they be able to offset the next equity downturn?

Deep learning has a ton of potential uses in investment management. This post suggests it might be way more accessible to code 10 years from now than currently. Software 2.0 might mean quant-based portfolio management 2.0 as well.