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Taking Scotland Seriously
09 July 2014
Abenomics: The Next Moves
08 July 2014
 

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Volatility Warning Signs

07 July 2014

Volatility Warning Signs
Declining volatility has probably been the single most important trend in markets this year. Central banks, at the ready to supply more liquidity, have seemingly vanquished volatility buyers. Yet all is not well. The strong dichotomy between liquidity in the primary and secondary markets is one of the most worrying signs in the current low-volatility environment: thin secondary market volumes supress volatility today, but will amplify it later. Risks are many, e.g. from China property and oil prices; watch US wages and inflation in particular.   read more

A Better Alternative To Risk Parity: Sharpe Parity

07 July 2014

Risk parity, which allocates portfolio weightings based on the volatility and diversification value of each asset, works - but sometimes generates very large drawdowns. In using Sharpe parity, however, the weighting of each asset is proportionate to its Sharpe ratio. This outperforms not only risk parity but a range of other strategies. It also provides some protection against risk, using as it does all asset classes, and indeed back-testing shows that drawdowns with this strategy are limited.   read more

The End Of Rotation

08 July 2014

The brutal sector rotation of April and early May left many investors underperforming benchmarks in the first half. We think it was technical rather than fundamental, with hedge fund net leverage bottoming at 34% in mid-May just as sector rotation peaked. Since then, the rotation has faded, price momentum as a style is working again, and hedge fund leverage is back at 40%.   read more

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The latest instalment of King’s Comment: Voluntary agreements and country actions: the way forward on climate change
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UBS and Bridge Academy win the Prime Minister’s Big Society Award read more
 

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