A new Asian Crisis?

A Nomura research report looks at the rising financial risk premium across Asia. It shows that economic fundamentals are not as bad as they...

What we can learn from Asia’s “tapering”

J.P. Morgan’s David Fernandez points out that central bank “tapering” (moderation of balance sheet expansion and related monetary accommodation, currently envisaged by the U.S....

The ECB and the option of large-scale asset purchases

Large-scale asset purchases have become a plausible policy option for the European Central Bank. A BNP research report suggests that an initial meaningful program...

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Identifying the drivers of the commodity market

Commodity futures returns are correlated across many different raw materials and products. Research has identified various types of factors behind this commonality: macroeconomic...

Macro factors of the risk-parity trade

Risk-parity positioning in equity and (fixed income) duration has been a popular and successful investment strategy in past decades. However, part of that success...

Identifying market regimes via asset class correlations

A recent paper suggests identifying financial market regimes through the correlations of asset class returns. The basic idea is to calculate correlation matrixes for...

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