Horses race
Didier Darcet
1 February 2019

A Simple Rule - PART III - Risk Remuneration

In this publication, we analyse the competition between major economic zones on risk remuneration. Risk remuneration is the excess return of risk assets above cash rates. Similarly to cash remuneration, presented in Part II, flexible investors can generate significant alpha by dynamically allocating risks to the leading zones. Part III shows evidence of risk allocation opportunities on equity indices, thereby confirming the arbitrage principle. It temporarily closes a first series of three letters on the global competition across zones to attract world savings, and the benefit that a global and flexible investor can take from it.