We show that improved hedging of bond portfolios can be achieved by matching generalized durations that are parametrized according to a parsimonious yield curve shape which is dynamically consistent with a new term structure model with stochastic level, slope, and curvature factors. Performance...

On 8 October 2015, CFA Montréal hosted its annual Asset Allocation Forum under the theme “Portfolio Structuring and the Value of Forecasting.” Two asset management approaches were compared: • The factor investing approach, which relies on identifying common factors in security returns...

We investigate an important question for institutional investors — namely, which hedge fund investing styles help to hedge against bad times? We define good versus bad times as (1) up and down equity market regimes derived from the 200-day moving average of the S&P 500 price index or (2)...