Interest rates measure the level of compensation that financial market participants get for lending money. The level of compensation for lending varies over time and is related to several other economic factors. Most important ones are rates set by central banks, inflation rates and underlying

Interest rates and yield curves are not observable, but need to be estimated from prices of fixed-income securities. Common patterns in prices of fixed-income securities can be expressed in three ways: yield curves, forward rate curves or discount functions. When working with interest rates, we need

No pain, no premium: risks are the currency that investors need to pay in order to earn excess returns in the long run. Over a period of almost 100 years the Fama-French US market index achieved approximately 10% annualised return but temporarily lost more than 30% on multiple occasions. For no

We introduce triangle plots for visualising long-term investment metrics. Return triangles are well suited to showcase the performance of a strategy or asset for a huge number of possible subperiods. Sensitivity analysis with respect to the length of the holding period as well as the start and end

This blog article builds on our first blog article about trade cost optimisation approaches. We discuss some weaknesses of the simple approach presented in the first article and make suggestions for extending and improving the trade cost optimisation towards a more sophisticated and powerful

We discuss two major challenges when implementing a dynamic portfolio strategy in practice: Minimising trading costs and enforcing a no-fractional-dealing condition. To master these challenges, we present a flexible and efficient trade cost optimisation algorithm that can be combined with a wide