Risk Parity Under the Microscope

Posted by Daniel J. Loewy (pictured) and Brian T. Brugman of AllianceBernstein (NYSE: AB) After tremendous growth over more than a decade of strong returns, risk-parity strategies have recently been struggling. Has the market run-up exposed a fatal flaw? We don’t think so.

read more

Let’s Get Real About Inflation

by Jon Ruff (pictured) and Greg Wilensky of AllianceBernstein (NYSE:AB) For the US and other developed economies right now, it’s “all quiet on the inflation front.” Perhaps too quiet. That’s why we believe it’s time to get real about inflation and the investing opportunities that may well develop in the next several years.

read more

Building a Better Passive Mousetrap

Ashwin Alankar (pictured), Michael DePalma and Richard Abramson In a recent blog, Passive Management Does Not Equal Passive Investing, we showed how passively managed portfolios actually create an active investment in which volatility isn’t benign and risk exposures can vary wildly over time. So if we could fix the problem and reduce exposure to spikes [...]

read more

The Party’s Over. Why Own Commodities?

Jon Ruff (pictured) and Seth J. Masters Commodity prices soared during the first decade of this century. But now the party’s over: new sources of supply are coming on line just as demand from China is slowing, leading to expectations of price declines. So should investors shun commodity-related investments?

read more

Is Inflation Really Gone Forever?

Recent movements in asset prices suggest that markets have forsaken any possibility of an inflation outbreak in the next decade. We believe that view is far too sanguine.

read more

Tail-Risk Parity: The Quest for a Crash-Proof Portfolio

Ashwin Alankar (pictured) and Michael DePalma By any name—Black Swan, three-standard-deviation event or negative tail event—the risk of unexpected heavy losses is a major concern for investors. The question is how best to protect against these low-probability, high-impact market moves.

read more

Japan and the Euphoric Volatility Trap

Ashwin Alankar (pictured), Michael DePalma and Arnab Nilim When equity markets are buoyant and optimism abounds, fears of volatility tend to subside. But recent events in Japan remind us that euphoria itself can generate turbulence.

read more

Beware of the New Systemic Risk

Ashwin Alankar and Michael DePalma It felt like there was nowhere to hide from the market declines last Monday, April 15, when stocks, bonds and commodities fell in unison across the world, well before the Boston bombings that day. We believe that this failure of diversification was instigated by increasingly powerful multi-asset funds, many of which [...]

read more

Reducing the Risk from Adding Stock Exposure

Adding other sources of diversification could significantly reduce the risk from increasing stock exposure, our research suggests.

read more

In Defense of Commodity Futures

Seth J. Masters and Jon Ruff Several prominent pension funds have slashed their commodity futures investments for delivering poor returns with higher volatility than usual, while failing to diversify equity exposures as expected, The Wall Street Journal recently reported. If inflation rises, they may regret it.

read more

Archives by Month:

Archives by Subject: