Time-varying Duration And Value Factor Correlation With Rates (PGIM Quantitative Solutions)
The relationship between value factor returns & interest rates is explained by time-varying duration of a…
Quantitative Methods
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Economic Surprises: What Really Moves The Market (Refinitiv)
We study the impact of economic surprises in the US in three different markets: namely foreign exchange,…
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James H. Simons, PhD: Using Mathematics to Make Money (Investments & Wealth Institute)
In September 2022, James Simons spoke with members of the Journal of Investment Consulting editorial board about…
The High Frequency Effects of Dollar Swap Lines (Becker Friedman Institute)
We study the effects of dollar swap lines using high frequency responses in asset prices around policy…
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Explore at length three of the themes which are re-defining the investment process...
Investment Risks: A Contemporary Primer
Investors today are facing a growing list of risks. These include market risk...