The average monthly premium of the Market return over the one-month T-bill return is substantial, as are average premiums of value and small stocks over Market. As the return horizon increases,…
Risk and Portfolio Construction
It seems counterintuitive that risk parity can outperform when rates are rising—we explain why it is not.
A decade after the collapse of Lehman Brothers, Masja Zandbergen and Kenneth Robertson explain why governance is so crucial for the banking sector.