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Persistent link: https://www.econbiz.de/10010412144
Higher than average Price-to-Earnings (P/E) ratios and Cyclically-Adjusted Price-to-Earnings (CAPE) ratios have been tolerated by investors recently on the basis of low interest and inflation rates. This white paper analyzes what level of returns can reasonably be expected going forward from...
Persistent link: https://www.econbiz.de/10013251107
Adaptive Asset Allocation builds on Harry Markowitz’s 1952 Modern Portfolio Theory by providing greater risk management to traditional static allocation models. By adjusting risk exposures within the portfolio in response to the macroeconomic environment, investors can reduce exposure to...
Persistent link: https://www.econbiz.de/10013250291
In this paper, we use the DCC MIDAS approach to assess the validity of the wake-up call hypothesis for developed and emerging markets during the global financial crisis (GFC). We use this approach to decompose the total correlations into short- (daily) and long-run (quarterly) correlations for...
Persistent link: https://www.econbiz.de/10012996921
We show that cross-border financial flows arise when countries differ in their abilities to use assets as collateral. Financial integration is a way of sharing scarce collateral. The ability of one country to leverage and tranche assets provides attractive financial contracts to investors in the...
Persistent link: https://www.econbiz.de/10012962544
The objective of this paper is to examine the absolute and risk-adjusted effects on distribution rates and total wealth created by adding loss-limiting trend following strategies to buy and hold portfolios. Using 150 years of equity and bond data, we found that applying trend following to...
Persistent link: https://www.econbiz.de/10012965161
From 2004 to 2015, the market perception of the sovereign risks of the Euro area government bonds experienced several different phases, reflected in a clear time structure of the correlation matrix between the yield changes. "Core" and "peripheral" bonds cluster in a bloc-like structure, but the...
Persistent link: https://www.econbiz.de/10012971807
We present a beta neutral model that includes the leverage effect to allow hedge fund managers to target a near-zero beta for market neutral strategies. For this purpose, we derive a metric of correlation with leverage effect to identify the fine relation between the market beta and volatility...
Persistent link: https://www.econbiz.de/10012949000
The FTSE/JSE Top 40 Index is the flagship index at the Johannesburg Stock Exchange (JSE). It captures more than 80% of the total market capitalisation of all the shares listed on the JSE. It is tradable and the liquid ALSI future is listed on this index. A superficial view of the long-term...
Persistent link: https://www.econbiz.de/10012955234
A new economic revolution liberating financial markets? Seeks to answer some of the questions driving the existential crisis embroiling finance: What is currency? What is value? What is a business? What is a bank, even?This article discusses how regulatory reform, transformative technologies,...
Persistent link: https://www.econbiz.de/10013021212