News und Publikationen

30-08-21

An efficient frontier for FX hedging

If you have every compared the performance of a typical asset allocation portfolio denominated in Swiss Franc with that of a comparable US Dollar portfolio, you probably got an impression of the power of foreign exchange rates. Still, according to our experience, many investors either neglect FX risk or tackle it in an overly simplistic way. This publication therefore elaborates on different heuristics and introduces a hedging approach based on portfolio optimization.

09-08-21

How effective are protective puts?

Put options are often considered the gold standard in downside risk management. However, protected portfolios tend to behave very differently from textbook illustrations as the simulations and empirical studies in our latest research paper show. Systematic protective put strategies don't just suffer from the cost of the insurance premium but also provide pretty poor protection once drawdowns are not perfectly aligned with the option's lifecycle. In the worst case the strategy delivers lower returns at higher not lower risk.

09-07-21

Beware of the lies of history

Most investors follow economic data in a way or another to assess the concurrent market environment and derive views and forecasts. This often includes the analysis of historical patterns and relationships between financial markets and the economy. Unfortunately such analysis is highly prone to look ahead bias induced by revisions often resulting in a flawed perception of the timeliness and reliability of indicators. Our paper illustrates this problem with a focus on major stock market crashes since the 70s.