Employing main and sector-specific CDS indices from the North American and European CDS market and performing mean-variance out-of-sample analyses for conservative and aggressive investors over the period from 2006 to 2014, this paper analyzes portfolio benefits of adding corporate CDS indices...

Credit risk has recently been identified as a cause of declining international diversification capacity; in this paper we offer an alternative methodology to create an equity portfolio with exposure to global credit risk and controlled market risk. Following the factor decomposition methodology,...

This paper assesses whether long-term institutional investors help stabilise or destabilise Hong Kong and international stock markets. We use a novel dataset based on individual funds issued by insurance companies and pension funds worldwide. This allows us to examine each economic region in...

The aim of this paper is to present and briefly analyse the provisions of the recent (24 May 2018) European Commission's proposal for a Regulation of the European Parliament and the Council, whose objective is to lay down a general framework for sovereign bond-backed securities (SBBSs). It is...

We provide detailed descriptions, including over 550 mathematical formulas, for over 150 trading strategies across a host of asset classes (and trading styles). This includes stocks, options, fixed income, futures, ETFs, indexes, commodities, foreign exchange, convertibles, structured assets,...

This is the online Appendix to "Is Trading Indicator Performance Robust? Evidence from Semi-Parametric Scenario Building"We provide additional empirical results from other trading indicators.Abstract of "Is Trading Indicator Performance Robust? Evidence from Semi-Parametric Scenario...

We establish that global portfolios are driven by an often neglected aspect: the currency of denomination of assets. Using a dataset of $27 trillion in security-level investment positions, we demonstrate that investor holdings are biased toward their own currencies to such an extent that each...

We study the effect of collateralized lending and securitization on international capital flows and welfare in a two-country general equilibrium model with idiosyncratic investment risk. The low-margin country (Home) endogenously supplies more safe assets and enables more risk sharing. Upon...

We conduct the first comparative analysis of the financial performance of European green, black (fossil energy and natural resource) and conventional mutual funds. Based on a unique dataset of 175 green, 259 black and 976 conventional mutual funds, the investigation contrasts the financial...

Active investment management is crucially dependent on skill, i.e. the ability to deliver consistent outperformance. All types of unique investment skill form a space. Understanding a basis of this space helps build portfolios of active strategies. We propose one such basis by representing an...