INSIGHTS

Please feel free to peruse our research and publications:

FQ Perspectives provide research and perspectives on relevant topics and new ideas.
Market Insights is how we share our ideas and outlook on markets and First Quadrant’s (FQ) offerings.
Publications include published papers which offer an in-depth and academic view on various concepts.

For a complete listing of all of our publications, download our Bibliography and send us your request.

Publications

October 2013
by Jeppe Ladekarl and Ed Peters

The Journal of Investing
As emerging markets have grown in size and sophistication, so have the investment options available to international investors.  In this note, we argue that the set of available EM investment options, both debt and equity, share a common risk factor that drives most of the EM-related risk and return.  We demonstrate empirically that this common risk facto is best represented by EM currencies.
This information is available through the external publication that published the work and retains the copyright to it. To obtain a copy, please contact FQ or the respective publication for the archives

October 2011
by Dori Levanoni

Currency Investor
This paper asks the question: Are Currencies an “Asset Class”? We could spend pages upon pages making the case (or failing to do so) that currencies represent an “Asset Class”, but in the end we can simplify the argument to answering the question, “Do you care about the impact of currency returns on your portfolio?” If so, then it does represent a “Source of Return”, and so we’ll take the tremendous short cut that whenever you see “Asset Class” in this article, read that as “Source of Return”.
This information is available through the external publication that published the work and retains the copyright to it. To obtain a copy, please contact FQ or the respective publication for the archives

March 2011
by Ed Peters

The Journal of Investing
This publication asks the question: Can we balance asset growth with current liability management? That is, can we hedge future and current liabilities at the same time? It argues that a portfolio of essential betas, which balance risk in a manner often referred to as “risk parity,” can achieve such a goal. By contrast, a static policy portfolio or partial LDI hedged approach can fall short even over an extended period of time. In this paper, these three approaches are studied.
This information is available through the external publication that published the work and retains the copyright to it. To obtain a copy, please contact FQ or the respective publication for the archives

October 2009
by Paul Goldwhite

The Journal of Investing
Every few years an event comes along that shocks financial markets. The majority of investors don’t see it coming—that’s the definition of a shock—and there is usually something different about the latest shock compared to the ones that came before.
While each panic has distinctive features, they also have elements in common. This paper provide an in-depth review of the linkage between expected volatility and financial asset prices and the implications for asset allocation decisions.
This information is available through the external publication that published the work and retains the copyright to it. To obtain a copy, please contact FQ or the respective publication for the archives

July 2008
by Jia Ye

Financial Analysts Journal
The information coefficient (IC), the correlation between forecasted and realized return, is a popular measure of signal quality. As shown in this article, variation in IC is an important source of active risk, and IC variation has an effect on optimal portfolio structure. Contrary to popular belief, the ability to take short positions in equity portfolios does not necessarily lead to superior performance. Managers who can maintain a stable IC over time will benefit from short extensions, but managers who have an unstable IC may see their performance deteriorate from increased short positions.
This information is available through the external publication that published the work and retains the copyright to it. To obtain a copy, please contact FQ or the respective publication for the archives