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Most Recent News & Research
Analytics | Portfolio Construction
Corporate Credit Portfolio Construction: Targeting low-beta names during the COVID-19 Market Crisis
In a previous post (here) we analyzed the risk of US High Yield and Investment Grade portfolios using the Axioma Factor-based Fixed Income Risk Model (FFIM), which is calibrated using cross-sectional techniques and incorporates style factors.
Analytics | Portfolio Construction
Multi-Portfolio Optimization and Fairness in Allocation of Trades
When trades from separately managed accounts are pooled for execution, the realized market-impact cost can be far greater than the sum of the predicted cost over all accounts.
The traditional Markowitz MVO approach is based on a single-period model. For long-term investors, multi-period optimization offers the opportunity to make “wait-and-see” policy decisions by including approximate forecasts and long-term policy decisions beyond the rebalancing time horizon.
