Tag Archives: risk

Rieger Report: Corporate Junk Bonds – “Danger, Will Robinson!”

The bond markets are certainly not “Lost in Space”1. There is good rationale as to why the bond markets are in the position they are today; compressed spreads are the result of low rates coupled with strong demand out pacing supply for yield assets.   However, the homogenization of the US corporate bond markets is worrisome and should Read more […]

Managing Risk While Heading for Returns

Returns are definitely one of the key influencers of investment decisions.  However, poor governance can result in failures, as too much emphasis on returns may result in ignoring the need to understand and manage the potential risk.  It is important to understand the risks associated with an investment strategy.  Risk can have different interpretations depending Read more […]

Rising Rates Arrive

Which of the figures below belong together?   It’s obvious, even if analogies aren’t your strong suit, that A is like C and B is like D.  A and C are not like B and D. The economic relevance of this simple visual exercise is this: At its March 2017 meeting, the Federal Open Market Read more […]

In Search of the Low Volatility Anomaly

By now we’re very familiar with the oft discussed “Low Vol Anomaly”. Diverging from conventional finance theory, which tells us that risk and return are directly related, low volatility stocks have outperformed over time and, as expected, with lower volatility. Ample research and evidence point to the existence of a low volatility factor comparable to Read more […]

Home Price Bricks in Your Portfolio

In this post, we look at whether adding a home price index, as part of a multi-asset bundle, to a hypothetical portfolio could potentially improve its attributes. We created two portfolios, one comprised of equities and bonds (portfolio A), and a second that contained the elements of portfolio A plus commodities, home prices and infrastructure Read more […]

How Do You Communicate Risk Management in a Year When it Doesn’t Matter?

The S&P Dow Jones Indices Financial Advisor Channel has followed the progress of Exchange Traded Fund (ETF) Strategists with interest for over four years. In fact, we have developed close working relationships with many of those firms. They are often champions of indexing; power-users of ETF use in portfolio management. Whether one tracks ETF strategists Read more […]

Let Me Count The Ways To Get To 8%

Recently I visited a few pension plans and it amazes me how the policy views on risk differ to meet seemingly similar return goals. The National Association of State Retirement Administrators (NASRA) reported earlier this year that of 126 major state and municipal systems, 32 had set an assumed rate of return between 7.5% and 8%, 37 Read more […]

The Rise of China’s Corporate Bond Market

The size of the local-currency-denominated corporate bond market in China, as measured by the S&P China Corporate Bond Index, currently stands at CNY 7.58 trillion, representing an expansion by more than 14 times since December 2009. The strong issuance was driven by the country’s robust economic growth and tighter liquidity conditions. The corporate bond sector Read more […]

An Immediate Risk Measure

Volatility and correlation are history. In fact this is a consequence of their definitions.  The calculation of volatility and correlation – the preeminent measures of risk – requires multiple observations.  Quite a few periods are needed if the resulting estimates are to be relied upon as robust.   Because of this, volatility and correlation are not Read more […]

The Price of Risk: Market Readies for $3billion Puerto Rico Junk Bond Sale

Puerto Rico general obligation bonds tracked in the S&P Municipal Bond Puerto Rico General Obligation Index have rallied 13.67% this year ahead of the planned $3 billion bond sale by Puerto Rico this coming Tuesday.  Yields of bonds in the index have dropped 122bps to end March 7th 2014 at 7.12%.  The success of the pending bond Read more […]