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Systematically Speaking
June 26, 2020
Vixology
How VIX history rhymes—and why we believe option writing strategies are still attractive despite the huge equity market rally.
Systematically Speaking
May 29, 2020
Past Performance is Not a Guarantee of Future Results
When the world is changing so rapidly and profoundly, how can we trust the underlying data used in our investment models?
Systematically Speaking
April 03, 2020
Risk Parity and the Fallacy of the Single Cause
Were risk parity strategies really the cause of the recent correlated stock and bond market sell-off, or one of its victims?
Systematically Speaking
February 26, 2020
Disappearing Alpha & Hidden Beta—A Sleight of Hand
Comparing Option Strategy Indices and Hedge Fund Indices before and after the 2008 ꟷ 09 financial crisis reveals that what many investors thought was “alpha” was just an illusion.
Systematically Speaking
December 20, 2019
Fixed Expense Investing
Low and even negative yields have turned some fixed income investing into “fixed expense” investing—but there are still good reasons to hold negative-yielding bonds.
Systematically Speaking
November 22, 2019
Two Cultures, One Aim
How genuine collaboration between quantitative and fundamental analysts can enhance stock selection and portfolio construction.
Systematically Speaking
October 18, 2019
The Alpha Left on the Table?
The 60/40 portfolio looks “efficient”—until we drop the no-leverage constraint.
Systematically Speaking
August 15, 2019
PutWrite Goes Global
The launch of CBOE’s ex-U.S. PutWrite indices could help build momentum for these strategies.
Systematically Speaking
June 28, 2019
The China Factor
China’s A-share market reminds us of developed markets 20 years ago, in the heyday of quant investing.
Systematically Speaking
May 30, 2019
Harvesting Insights from Insider Activity
The intuitive link between legal insider trades and stock returns proves elusive as a quant strategy.
Systematically Speaking
March 14, 2019
The S&P 500 Sweepstakes
Buying call options has made unusual profits recently—has the “fear index” become a “greed index”?
Systematically Speaking
February 21, 2019
Volatility Seems Here to Stay
Our volatility models indicate that a return to the low-vol of 2017 is highly unlikely.
Systematically Speaking
January 23, 2019
Currency Carry: One Basket or Two?
Separating emerging and developed currencies may not be the risk-mitigating strategy it is assumed to be.