In the winter 2011/12 a wave of internal capital flight prompted the ECB to abandon its exit strategy and to announce an unprecedented monetary expansion. We analyze this episode in several dimensions: (i) by providing an event-study analysis covering key variables from national central banks'...

In the winter 2011/12 a wave of internal capital .ight prompted the ECB to abandon its exit strategy and to announce an unprecedented monetary expansion. We analyze this episode in several dimensions: (i) by providing an event-study analysis covering key variables from national central...

Volatility as a risk measure has been criticized and dismissed on various grounds. Yet, volatility is the dominating risk measure in the investment management industry. Volatility is typically calculated as the arithmetic standard deviation of returns. At the same time, it is industry practice...

Surplus risk and return are not accounting measures but economic magnitudes. As the initial surplus can be zero, surplus return cannot be measured with the standard accounting logic in return measurement. Once surplus return is properly measured, standard risk measurement approaches can be used...

Correlations play an important role in the construction of investment portfolios. In this research note, we explain why the manipulation of a valid correlation matrix is challenging. We also propose three methods to perform the following tasks: 1) Increase all correlations such that they...

We present a portfolio construction approach with two interesting non-standard features: First, the risk measure used is “drawdown-at-risk”, an interesting concept combining attractive features of drawdown and value-at-risk measures. Second, the efficient frontier is calculated from...

We see a contrast between the importance of the currency risk factor in modern investment management and its treatment in portfolio analytics like performance attribution and risk budgeting. Part of this can be explained by conceptual complexities: currencies are not just another asset class,...

We explain the variability of the mean-variance efficient frontier over time with a statistical three factor model. For an asset universe consisting of 22 stocks listed in Switzerland, the model explains more than 99% of the time variations in the efficient frontier.The three factors can be...