Van Luu

Head of Currency and Fixed Income Strategy at Russell Investments

Ph.D. Economics, University of Birmingham.
Diplom-Kaufmann, Universität Osnabrück.
MSocSc Money, Banking and Finance, University of Birmingham.

Van Luu is the Head of Currency and Fixed Income Strategy in the Investment Division, based in London. Together with the firm’s Implementation Services, he helps to design dynamic currency hedging strategies for pension funds and other institutional investors. He also conducts research and provides strategy advice in fixed income.
Before re-joining Russell Investments in June 2015, Van was in the Allocation Strategies Department at Norges Bank Investment Management (NBIM), the manager of Norway’s Sovereign Wealth Fund. He advised on fund strategy and asset allocation.
From 2007 to 2010, Van was a Senior Research Analyst at Russell Investments in London. Prior to that, he served as the Head of Bond Markets/Economics Research at Landesbank Baden-Württemberg (Germany’s third-largest bank by assets) for six years.
Van has published his research in academic and practitioner journals, including the Review of Quantitative Finance and Accounting, Journal of Investment Management, Journal of Fixed Income, and Journal of Investing.

 

 

ABSTRACT

Trend-following strategies in the multi-asset portfolio context

Trend-following strategies capture positive returns in many markets, particularly equities, fixed income and currencies. On a standalone basis, trend-following strategies have positive skew and behave similarly to an option straddle (a long volatility position). When combined with long exposure to traditional asset classes like equities and bonds, they improve the return-to-risk trade-off of portfolios because they provide positive returns during market crashes. We study how much a multi-asset investor should allocate to trend-following strategies using different optimization methods. Investors who care more about downside and tail risk should put greater weight on trend strategies and less weight on carry strategies.