All Risk Management articles
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White papersPensions Watch | Issue 22: What’s been happening and what’s on the horizon in the world of pensions
Given the ever-greater regularity of unanticipated impactful events with equally unpredictable tipping points, we look at the importance to pension scheme fiduciaries of risk management. In particular, we consider the need for both more inventive scenario analysis and stress testing of schemes’ resilience against a multitude of ever-present and emerging risks allied to more nimble governance.
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White papers
Incorporating ESG Risk In Fundamental Market Risk Models
This paper investigates the possible impact of ESG Risk when incorporated into front office driven Fundamental Market Risk Measurement approaches. The main principle is, that ESG risk is implicitly embedded in observable market risk factors, like share prices and credit spreads, and interprets the ESG risk of an equity portfolio as an additional jump component to an ordinary GBM process.
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White papers
The corporate bond is back
We believe that corporate bond yields are close to an inflection point, with the high levels of yields achievable providing a buffer to further yield rises. In short – the corporate bond is back.
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White papers
Market Scenarios and Risks - November 2022
We maintain the probabilities of our scenarios unchanged. Some of the risk factors we identify may occur in our central scenario, which is probably not yet fully priced-in by markets.
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Research Report
Policy changes and emerging risks for companies and investors
Biodiversity is the new climate change, with policymakers attending the COP-15 UN Biodiversity Summit in December expected to seal a ground-breaking agreement to protect nature. This new Paris-style global accord should accelerate efforts to tackle the biodiversity crisis and align finance flows and investment portfolios with nature-positive objectives.
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White papers
TalkingPoints: Assessing the Impact of 20 Years of SPIVA
What is SPIVA and why did S&P DJI start putting these reports out 20 years ago?
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White papers
Toning down the optimism of backtests
Past performance does not guarantee future returns. This statement is true of any strategy, be it of a systematic or discretionary nature. Systematic strategies seemingly provide a little more comfort in the form of lengthy historical backtests, which indeed never look bad.
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White papers
Market Scenarios and Risks - October 2022
We maintain the content and probabilities of our scenarios. Note that some of the risk factors we identify may occur in our central scenario, which is probably not yet fully priced-in by markets. It would take a combination of risk factors for the downside scenario to materialise. The downside is counterbalanced by an upside scenario, that of a rapid decline in inflation due to an easing of gas prices and/or to the combined tightening of global monetary policies, the impact of which can be underestimated.
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White papers
Accessing CLOs: risk, return and liquidity considerations
Outlines how to access and invest in the CLO market Compares open-end vs. closed-end CLO fund structures and single-manager and multimanager CLO approaches
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White papers
Fast Filtering with Large Option Panels: Implications for Asset Pricing
The cross-section of options holds great promise for identifying return distributions and risk premia, but estimating dynamic option valuation models with latent state variables is challenging when using large option panels.
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White papers
Managing the Risks of a Low-Carbon Portfolio
We recognize that much of the world still runs on fossil fuel. However, we firmly believe investors can construct portfolios that substantially reduce their carbon footprints while retaining exposure to all sectors—including energy.
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White papers
SPIVA® U.S. Mid-Year 2022 Scorecard
The S&P 500® made an all-time high on the first trading day of 2022, but as monetary taps tightened, U.S. equity markets turned bearish. The Federal Reserve had telegraphed its intention to raise rates before the year turned, but when the conflict in Ukraine triggered a spike in energy and raw commodity prices, producing a 40-year high in U.S. inflation, the central bank accelerated its plans.
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White papers
ECB meeting: bold rate hike; watch out for more to come
What is your take on the September ECB meeting and what could the next steps be?
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White papers
Trend Setters: How Time-Series Momentum Works Across Market Cycles
Trend is a time-series, momentum-based alternative risk premia strategy. It has provided a consistent and diversifying source of return across varying market conditions, even during periods of high inflation. We enhance the risk-adjusted return profile of our trend strategy using machinelearning techniques.
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White papers
SPIVA Institutional and the Pharaohs of Finance
Ptolemy I (367 BC-282 BC), one-time companion of Alexander the Great and later pharaoh of Egypt, has an important role in intellectual history.
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White papers
SPIVA Institutional Scorecard
In this report, we add institutional accounts to the mutual funds analyzed in the S&P Indices Versus Active (SPIVA) U.S. Scorecard. We aim to provide the institutional community with the ability to judge managers’ true skill without the possible distortions that fees may create on performance comparisons. We also examine the impact of fees on both account types and illustrate the similarities and differences between the performances of open-end funds and segregated institutional accounts across categories.
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White papers
Allview: Market Risk Monitor - September 2022
Each month, Allspring’s Investment Analytics team assembles a top 10 list of market risks that it believes have the potential to influence investment portfolios.
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White papers
Articulating asset allocation across different time horizons
In a previous paper, we addressed the issue of how to set investment objectives. In this paper, we address another key issue in the definition of asset allocation: how to articulate it across different time horizons.
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White papers
The impact of credit risk for pension plans engaging with CDI
Cashflow-driven investing (CDI) has gained significant traction in recent years as pension plans have successfully de-risked and strengthened their balance sheets over the last decade. Increasing numbers of plans are able to allocate significant proportions (potentially all of their assets) to fixed income like assets so that cashflow income closely matches expected liability payment, thus providing a simpler hedge and reducing the complexity of portfolios. Investment products, strategies and asset classes have developed to facilitate this approach.
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White papers
S&P U.S. Core Indices Mid-Year 2022: Analyzing Relative Returns to Russell
In Q2 2022, the S&P 500®, S&P MidCap 400® and S&P SmallCap 600® all fell about 15%, continuing the declines from Q1 as of June 30, 2022. The S&P 500 experienced its worst first half since 1970.
