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  • Markets & Economy

Quantifying “Unconventional” Risks in 2018

Entering 2018, it may be worth keeping an eye on “unconventional” risks, including monetary policy risk, political risk, and geopolitical risk. This article examines one way of measuring such risks and shows how they may interact with both equity prices and volatility.

  • Data Science
  • Markets & Economy

Forecasting Inflation like a Data Scientist

One way allocators can improve their inflation forecasts is to analyze it from as many perspectives as possible—just as a data scientist would.

  • Markets & Economy

The Commodity Futures Roll Return ‘Tax’: Addressing a Recent Headwind

The cost of rolling futures contracts, rather than the decline in commodity prices, has been the largest drag on commodity index performance over the past 10 years. Although difficult to implement, asset allocators’ best response may be to develop dynamic execution strategies to mitigate the roll return “tax.”

  • Markets & Economy

CTA and Macro Momentum Exposure

Momentum has been a consistent component of CTAs since 2004, but its influence on CTA performance remains lower than it once was. This highlights the potential importance of measuring both manager-specific and overall portfolio exposures in risk terms.

  • Markets & Economy

CTA Market and Portfolio Diversification

Just four factors collectively explain an outsized fraction of the SG CTA Index’s current risk, while elevated long equity and bond exposures may compromise the amount of diversification CTAs now offer.