Quant and Tools - Articles & White Papers

This white paper is the fourth in a five-paper series. It introduces a radical new perspective on equities, thinking of them as one would of any high-end consumer good. This change in perspective enables us to demonstrate that income inequality is a hidden driver of equity prices, and also allows us to…

When looking for a strategy to perform best at the extreme ends of market returns, investors often turn to guaranteed but expensive put and call options to provide convex returns. The multi-asset nature of trend-following helps provide much-needed diversification to a tail hedging strategy – not least in an environment where…

From concerns about digital currency volatility, to how the crypto market’s correction and consolidation is helping accelerate regulation and innovation in the digital space, get the key takeaways from our latest Digital Digest.

Investors appear to be expecting that 2023 may be bumpy. But it feels as if they are unwilling to accept the logical conclusions of their analysis. Many investors expecting a Fed pivot may find it akin to waiting for Godot; there are still many factors which could keep inflation high and demand low, most notably energy…

The current scale, growth and complexity of private capital is truly unprecedented - and is radically altering the investment opportunities and challenges facing institutional investors.

Featured Papers and Interviews with Industry Thought Leaders

Over the past century, the global economy has transitioned from being dominated by agriculture and manufacturing to being powered primarily by services. Services now represent three-quarters of the workforce in developed markets and generate two-thirds of…

Asset allocation and portfolio construction are considered to be the main determinants of investment risk and returns for investors. The challenge for asset managers has always been finding an optimal asset allocation that meets both investors’ risk and reward requirements. Asset allocation methods have developed and…

The financial system as investors have known it for many decades is dealing with a new reality of negative interest rates and yields. Behind this phenomenon lie many factors and their consequences that are important for every financial professional to understand. In a levered financial system, central banks globally have had…

The credit markets are finally embracing quantitative investing and this paper provides an in-depth primer to quant credit. Readers will learn about the dynamics of systematic trading, the factors employed in quant models, and the future path this rapidly-evolving strategy is likely to take.

The key theme of this year’s report, the ‘S’ pillar of ESG (environmental, social and governance) investing, is highly pertinent. As politicians and policy makers across the world aim to ‘build back better’, Create-Research and DWS believe they need to take the time to fully understand the social part of ESG.

The role of cryptocurrencies as a vehicle for speculation has been well established. However, it is less clear if cryptocurrencies can also serve to manage risk. The authors seek to determine the diversification potential of cryptocurrencies both for short and long horizons. For short horizons, they estimate correlations…

This paper reviews the significant progress in academic and policy research on climate change and its impact on expected returns and strategic portfolio allocation across major public assets. To date, there have been efforts to measure the environmental impact to firms within a broader ESG framework. Various sources may help…

The progress that sustainable investment has made in recent years has been stunning. It has gone from a niche investment style to a mainstream multi-trillion dollar industry. The rise of sustainability has produced some stunning statistics of its own – from wind turbines the size of skyscrapers to plans to create a Great…

As ESG investing continues to grow, so do the challenges that are associated with it. For most investors, the lack of standardisation in ESG data is the most significant challenge they have to overcome, with the issue being that ESG investment strategies require reliable and accurate data to both construct ESG portfolios and…