Tag: risk management
RECENT ARTICLES
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...