Research

Every month, we share publications relevant to the field of portfolio management.

Volatility lessons

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

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Simplifying unconstrained fixed income investing

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.

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Investment firm of the future

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?

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Fact or fiction: Bond investors can add returns with factor-based investing

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

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Understanding and measuring the illiquidity risk premium

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

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Invesco Global Fixed Income Study 2018

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

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Who's afraid of rising rates?

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How fixed income ETFs give investors an institutional edge

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Artificial intelligence and the future of investment management

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

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Stock/Bond Correlations: Relationship Troubles...

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.

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Strong hands needed to unlock the potential of factor investing

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.

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Style investing in fixed income markets

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

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A required deepter view of credit

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.

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A history of the risk-free rate

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

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Shaping bond allocations

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?

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Deep Learning is Eating Software

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.

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