Volatility Lessons (Fama and French, 2018)
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
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How Risk Parity Can Cope with Rising Rates (Neuberger Berman, Sep 2018)
It seems counterintuitive that risk parity can outperform when rates are rising—we explain why it is not.
Ten years on, risk remains a problem for banks (Robeco blog, Sep 2018)
A decade after the collapse of Lehman Brothers, Masja Zandbergen and Kenneth Robertson explain why governance is so crucial for the banking sector.
