Quantitative Methods - Articles & White Papers

We study the impact of economic surprises in the US in three different markets: namely foreign exchange, government bond prices and equity value, defining “surprise” as the actual minus the consensus. We find that different markets tend to be affected by the same indicators, with employment being the most impactful.

This paper lies at the intersection of quantitative analysis and probability theory. Using top- level ex-ante metrics, Axioma first provide a framework for classifying the nature of the investment opportunity provided by a portfolio within the context of portfolio selection. They then propose a framework for risk budgeting…

The relationship between value factor returns & interest rates is explained by time-varying duration of a portfolio long cheap stocks/short expensive stocks.

A technological revolution, or evolution?

How many factors does it take to compress the factor zoo? Quant researchers Alexander Swade, Matthias Hanauer, Harald Lohre and David Blitz set out to find the answer.

Our experts examine the drivers behind the reversal in the US dollar-oil relationship and the resulting policy and portfolio implications.

This paper analyses a range of factors using a large data set.

The authors of this paper introduce strategic and time-varying macro factors exposures to efficiently capture risk premiums in rates and credit

This guide covers the following roles in Ireland: compliance, back office, treasury, quant, stock broking, wealth management, and asset management.

In our latest report, we review some of the latest trends shaping the risk profession and review the current market’s salary offerings.

To unleash the full power and potential of trend- following, investors need the freedom to go short as well as long, use leverage, and trade a wider range of asset classes and markets. Analysis shows that leverage and a wider investment universe can enhance risk-adjusted returns over a full market cycle, while shorting may…

CIOs often grapple with obtaining timely net asset values (NAVs) of their private fund shares for reporting, risk management and rebalancing purposes. Many CIOs, as limited partners (LPs), rely on NAVs reported by their general partners (GPs). Yet, timely GP-supplied NAVs can be elusive, prompting LPs to lean on their own…

We explore the historical record of the Fed Model, measured as stock-bond real yield difference, to explain future stock-bond relative total returns.

Our research looks at the role factors can play in shaping a portfolio’s performance and risk profile.

As a case study into our assessment of tail risks, we discuss how the market-implied probability distribution for a recession has evolved over the past year.

We demonstrate that the literature on corporate bond factors suffers from replication failures, inconsistent methodological choices, and the lack of a common error-free dataset. Going beyond identifying this replication crisis, we create a clean database of corporate bond returns where outliers are analyzed individually and…

The survey ran between late February and late March 2023. It had nearly 3,500 responses, spread across the UK and the US, Continental Europe, Singapore, and Hong Kong. Salary rates are in USD. Roles covered are: sales and trading, investment banking, equity research, quant, compliance, and operations.

We outline a macro-finance model for simulating long-horizon returns on government bonds and multi-asset portfolios. We show how the determinants of return distributions change across different investment horizons, and discuss differences in prospective returns on long- and short-duration bonds.

Think differently about emerging markets (EM) debt investing.

Does the consideration of ESG contribute to financial return?