Akin to the well-known concept of bond duration, equity duration measures the sensitivity of equities to interest rates. Although this field of research is relatively new and the concept is rarely used in practice, we believe equity duration is of significant importance in immunization, risk...

Many trading, investing and structured product applications require narrow, liquid basket that efficiently track the market. In this paper, we examine tracking efficiency and turnover of highly liquid baskets, which track the investable European stock market as represented by the S&P Europe 350...

In early 2004, we published a paper which described a simple model of asset allocation for pension plans that incorporated the concept of equity duration. We believe that a diversified portfolio of equities and bonds can be immunized and lower the risk of deficits.Akin to the well-known concept...

Equity volatility, as replicated by widely traded ETFs and ETNs linked to the S&P 500® VIX® Futures Index Series, is frequently used to hedge equity portfolios. But is it appropriate for bond portfolios?The bond market is broad and diverse, ranging from low-risk government bonds to relatively...