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...Thus only a fraction of overall AUM is deployed in strategies that have a direct impact on the VIX® index (e.g. 1-month over/underwriting strategies on the S&P 500 index)....
...K-SURE, the South Korean government export credit agency, has withdrawn insurance needed to underwrite SK E&S’s investment in the Timor Sea project....
...In other words, in case of a significant market sell-off, the volatility suppressing force from these strategies is likely to disappear, leaving markets more vulnerable to other selling flows (e.g., from...
...When asset managers could barely open their mouths without uttering the letters E, S and G — investment with environmental, social or governance aims — this sector often got the cold shoulder....
...In 2021, S&P started publishing numbered scores from 1 to 5 for the three E, S and G categories as part of corporate credit scores....
...Sentences that begin with A come in the first chapter, arranged in strict alphabetical order, like index entries; sentences that start with B in the second, and so on....
...It’s an interesting approach because not only does it isolate the sanitised portfolio’s excess returns (in theory), the E S and G bits can be measured individually....
...“And I said, ‘Well why is there an ‘e’?” That’s a fair point....
...Payments company Visa, for example, had received a two for “E” and “S” and a three for “G”....
...to S&P Global Ratings’ definitions....
...with our emphasis below: Following the regional banking crisis earlier this year, markets took an optimistic view: soft landing became a consensus, European stocks rallied at the back of China reopening (e.g...
...This could be either in our current role as a compensator (e.g. if the consolidator’s funding strategy failed a claim could be made on the PPF) or by making some use of PPF reserves....
...Should investors ignore E, S and G issues when evaluating investments? If Kirk thinks so, why doesn’t he say so? Of course he doesn’t....
...It does not mandate specifically what approach the agencies should take but does say that agencies must separate out E, S and G ratings and that environmental criteria must be explicit about whether they...
...This has predictable consequences, most easily seen on ESG’s E(nvironment) front....
...And somebody has to arbitrarily decide the relative weightings between “E” or “S” and “G”....
...What is the trailing P/E ratio of the top-10 stocks in the S&P 500 today? They are more overvalued than the top-10 were in the tech bubble....
...Here is how we respond to points (a) through (e): Excess savings will soon be exhausted....
...You’re looking at like a 4 per cent dividend yield on the FTSE 100 nearly versus, you know, 1 per cent on the S&P 500....
...Ian Harnett of Absolute Strategy Research sends over this slide of the S&P 500; the upper-rightmost chart breaks out p/b ratios by sector....
...This in turn drives buying of stocks by funds that mechanically increase exposure when volatility declines (e.g. volatility targeting and risk parity funds)....
...On a p/b basis, then, the Russell looks reasonably priced: Next, consider the biggest risk to small-caps: the business cycle....
...domestic travel has returned (as a reminder, up to 50% of luxury sales in Beijing and Shanghai is contributed by non-local customers), the average spending ticket has continued to rise, and the very high end (e.g...
...“It is not rocket science to suggest that companies that have poor scores for E, S and G tend not to make fantastic investments over the medium to long term,” says Rob Burgeman, senior investment manager...
...Under PAC 1, launched by Lula in 2007, only a quarter of projects were effectively delivered, according to analysis by consultancy Inter B....
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