All Risk Management articles
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White papersMarket Scenarios and Risks - January 2021
This month, we update the probabilities and narrative of our central and alternative scenarios, taking into account 4Q20 developments in vaccinations, fiscal and monetary policies, and (geo)politics. We have a higher conviction on our central scenario and we are raising its probability from 65% to 75%. We are lowering the probability of our downside scenario from 25% to 15%, which remains above historical levels.
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White papers
Liquidity Stress Testing in Asset Management
This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers liability liquidity risk (or funding liquidity) modeling, the second dimension focuses on asset liquidity risk (or market liquidity) modeling, and the third dimension considers asset-liability liquidity risk management (or asset-liability matching).
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White papers
Benchmarking Alternative Risk Premia - A yardstick for performance
The use of systematic investment strategies to obtain exposure to alternative risk premia increased considerably in the last decade as investors sought new ways to diversify their portfolios’ primarily equity and fixed income market risk exposures. Investors can now access a wide array of transparent, rules-based strategies to complement alternative investments in hedge funds.
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White papers
Income investing: The return of Goldilocks and the three bears
The Goldilocks environment is back, but bears are lurking in the shadows. Francois de Bruin explores the risks and opportunities that need to be managed to get outcomes that are “just right”.
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White papers
Water disruption: investment risk from multiple angles
We believe water risk must be accounted for in portfolios today, not in 2030 or 2050. But how can this be done? We outline how water is impacting the day-to-day operations of investee companies and what the risks are.
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White papers
Risk-managed equities: A diversified approach to hedging
When it comes to meeting their long-term return objectives, many investors are caught between a rock and a hard place. The low interest rate environment is forcing them to allocate more to equities, but at the same time, they can’t afford to experience a significant drawdown.
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White papers
2021 Outlook: The Uneven Recovery
The recovery in many ways looks real and durable—but it also looks uneven and, in some cases, quite unpredictable. In this discussion, investment professionals from the public and private markets discuss where they expect to see risks and opportunities in the year ahead.
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White papers
Blog | Getting negative about negative interest rates?
Central banks have welcomed the news about a recent COVID-19 vaccine breakthrough. However, implementation risks remain on vaccines, and a more flexible policy armory may still be required because monetary policy initiatives, since the COVID-19 crisis, have closely followed the GFC playbook.
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White papers
Learning about Risk Management: Insights from Unconventional Risk-Takers
Think financial professionals have a corner on risk management? Think again. Learn how a Hollywood movie mogul, a poker champion, and a big wave surfer can offer key lessons in risk management, risk mitigation, and client communication.
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White papers
Market scenarios and risks - November 2020
This month, we amend the narrative of our central and downside scenario to take into account a larger than expected Covid second wave in Europe and delayed fiscal support in the US. We reduce the probability of our central scenario from 70% to 65% and increase the probability of the downside scenario from 20% to 25%.
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White papers
Degrees of Risk
Recognition as a PRI Leader on climate reporting will help us raise awareness of the importance of “Climate Value-at-Risk.”
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White papers
Water Disruption: Investment Risk From Multiple Angles (Chapter 1 of 6)
(Chapter 1 of 6) Before the well runs dry: The time for investors to understand water risk is now.
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White papers
Liquidity trends in the wake of Covid-19: implications for portfolio construction
The Covid-19 crisis has triggered the deepest liquidity squeeze since 2008. Unlike the Great Financial Crisis (GFC), an unprecedented real economy shock led to extremely quick deterioration of financial conditions and showed that, under extreme circumstances, liquidity may dry up not only within risk assets, but also within risk free ones.
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White papers
How best to approach climate change risk management?
Chris Wagstaff considers how asset owners might best approach climate change risk management by adopting a number of non-mutually exclusive mitigating actions to address transition and physical risks.
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White papers
Not a Coincidence
We recently issued our mid-year SPIVA® reports for the U.S., Australia, and Europe, and other regions will follow in due course. Although one can sometimes find exceptions in the short run, the long-term results of SPIVA can be easily summarized:
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White papers
Markets scenarios & risks - October 2020
This month, we do not amend the narrative of our central and alternative scenario. Economic data confirm a slower recovery path in line with our central scenario and Central Banks maintain their accommodative stace. We maintain the probability of our central scenario at 70%, 20% for the downside scenario and 10% for the upside.
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White papers
Growth versus Value: Balancing the Risks
Across Europe, measures implemented to contain the Covid-19 pandemic are being gradually lifted. The infection rates on the continent show different dynamics with some exceptions. At the same time, the capital markets are recovering. Therefore, we are currently at the crossroads between crisis and recovery.
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White papers
North Atlantic Hurricane Season – 2020 Forecast August Update
The early June forecast is refined, accounting for the evolution of global climate patterns in June-July (Figure 1). This August update reflects a trend towards a more active signal from the main climate indicators but does not explicitly include the record-breaking early season activity observed so far this year.
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White papers
Fleeting Alpha Scorecard: The Challenge of Consistent Outperformance Year-End 2019
The Fleeting Alpha Scorecard is a semiannual report showing how well outperforming mutual funds from one three-year period continue to outperform thereafter. It combines two other S&P Dow Jones Indices reports, the SPIVA® U.S. Scorecard and the the Persistence Scorecard. The former measures the percentage of active managers that beat their benchmarks across various equity and fixed income categories. The latter shows the likelihood that strong performers in early periods maintain their status relative to other funds in subsequent periods.
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White papers
CPI-Plus Targets Risks and Realities
It is common for investors, especially institutional investors, to have investment goals of CPI-plus. CPI refers to one of the most common measures of inflation: the Consumer Price Index (CPI). The “plus” reflects the goal of beating inflation by at least a certain amount. In this note, we outline the risks and realities of achieving an inflation-plus investment goal.
