Harald Lohre

Invesco

Director of Research

An der Welle 5

Frankfurt am Main, 60322

Germany

http://www.de.invesco.com/portal/site/de-de/home/ueber-uns/invesco-quantitative-strategies/

Centre for Endowment Asset Management, Cambridge Judge Business School, University of Cambridge

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Lancaster University Management School

Visiting Research Fellow

Bailrigg

Lancaster LA1 4YX

United Kingdom

http://www.lancaster.ac.uk/lums/research/research-centres/financial-econometrics/

SCHOLARLY PAPERS

29

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Top 2,529

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14,862

SSRN CITATIONS
Rank 15,819

SSRN RANKINGS

Top 15,819

in Total Papers Citations

31

CROSSREF CITATIONS

32

Scholarly Papers (29)

1.
Downloads 2,974 ( 4,177)
Citation 11

Diversifying Risk Parity

Journal of Risk, Vol. 16, No. 5, 2014, pp. 53-79
Number of pages: 29 Posted: 19 Dec 2011 Last Revised: 23 Jul 2014
Harald Lohre, Heiko Opfer and Gabor Orszag
Invesco, Deka Investment GmbH and Deka Investment GmbH
Downloads 2,974 (4,089)
Citation 3

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Risk-based Asset Allocation, Risk Parity, Diversification, Entropy

Diversifying Risk Parity

Journal of Risk, Vol. 16, No. 5, 2014
Number of pages: 28 Posted: 08 Jun 2016
Harald Lohre, Heiko Opfer and Gabor Orszag
Invesco, Deka Investment GmbH and Deka Investment GmbH
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Citation 6
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Diversifying, risk parity

2.

Regime Shifts and Stock Return Predictability

International Review of Economics and Finance, Vol. 56, Issue C, July 2018, pp. 138-160
Number of pages: 50 Posted: 04 Jun 2014 Last Revised: 06 Aug 2019
Regina Hammerschmid and Harald Lohre
University of Zurich and Invesco
Downloads 1,261 (16,968)
Citation 1

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Return Predictability, Regime Switching, Predictive Regressions

3.

Portfolio Construction with Downside Risk

Number of pages: 34 Posted: 25 Mar 2008 Last Revised: 11 Oct 2010
Invesco, Union Investment and DG HYP
Downloads 1,223 (17,748)
Citation 2

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Portfolio Optimization, Downside Risk

4.

Optimal Timing and Tilting of Equity Factors

Financial Analysts Journal, 2019, Vol. 75(4), pp. 84-102
Number of pages: 31 Posted: 15 Dec 2018 Last Revised: 23 Oct 2019
dichtl research & consulting GmbH, University of Hamburg, Invesco, Invesco and Allianz Global Investors
Downloads 967 (25,181)
Citation 5

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asset allocation, factor investing, factor timing, factor tilting, parametric portfolio policy

5.
Downloads 836 ( 31,020)
Citation 15

Data Snooping and the Global Accrual Anomaly

EFA 2007 Ljubljana Meetings Paper
Number of pages: 43 Posted: 21 Mar 2008 Last Revised: 12 Oct 2010
Markus Leippold and Harald Lohre
University of Zurich - Department of Banking and Finance and Invesco
Downloads 836 (30,535)
Citation 15

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Accrual Anomaly, Market Efficiency, Multiple Hypotheses Testing, Momentum Effect

Data Snooping and the Global Accrual Anomaly

Applied Financial Economics, Vol. 22, No. 7, 2012
Posted: 18 Sep 2012
Harald Lohre and Markus Leippold
Invesco and University of Zurich - Department of Banking and Finance

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accrual anomaly, market efficiency, multiple hypotheses testing, momentum effect

6.

Hierarchical Risk Parity: Accounting for Tail Dependencies in Multi-Asset Multi-Factor Allocations

Machine Learning and Asset Management, Forthcoming
Number of pages: 33 Posted: 08 Jan 2020 Last Revised: 26 Jan 2020
Invesco, Invesco and Metzler Asset Management
Downloads 806 (32,634)
Citation 3

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Multi-asset Multi-factor Investing, Diversification, Hierarchical Risk Parity, Tail Dependence

7.
Downloads 799 ( 33,017)
Citation 4

International Price and Earnings Momentum

Number of pages: 44 Posted: 17 Mar 2008 Last Revised: 17 Sep 2012
Markus Leippold and Harald Lohre
University of Zurich - Department of Banking and Finance and Invesco
Downloads 799 (32,517)
Citation 4

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Earnings Momentum, Price Momentum, Market Efficiency, Multiple Hypotheses Testing, Information Uncertainty, Liquidity

International Price and Earnings Momentum

European Journal of Finance, Vol. 18, No. 5-6, 2012, pp. 535-573
Posted: 18 Sep 2012
Harald Lohre and Markus Leippold
Invesco and University of Zurich - Department of Banking and Finance

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earnings momentum, price momentum, market efficiency, multiple hypothesis testing, information uncertainty, liquidity

Maximum Diversification Strategies Along Commodity Risk Factors

European Financial Management, Vol. 24, Issue 1, pp. 53-78, 2018
Number of pages: 37 Posted: 08 Jul 2013 Last Revised: 12 Mar 2018
Simone Bernardi, Markus Leippold and Harald Lohre
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and Invesco
Downloads 752 (35,309)
Citation 1

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commodity strategies, risk-based portfolio construction, risk parity, diversification

Maximum Diversification Strategies Along Commodity Risk Factors

European Financial Management, Vol. 24, Issue 1, pp. 53-78, 2018
Number of pages: 26 Posted: 19 Jan 2018
Simone Bernardi, Markus Leippold and Harald Lohre
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and Invesco
Downloads 3 (715,580)
Citation 4
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commodity strategies, diversification, risk‐based portfolio construction, risk parity

9.

Investing in a Multi-Asset Multi-Factor World

Risk & Reward, 2017, 3rd issue, pp. 4-11
Number of pages: 10 Posted: 12 Oct 2017
Invesco, Invesco, IQS and Invesco
Downloads 730 (37,309)

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Style factors, factor investing, maximum diversification, risk parity

10.

The Use of Correlation Networks in Parametric Portfolio Policies

Number of pages: 24 Posted: 06 Oct 2014
Harald Lohre, Jochen Papenbrock and Muddit Poonia
Invesco, Firamis and Indian Institute of Technology Kharagpur
Downloads 650 (43,632)
Citation 2

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Correlation Networks, Parametric Portfolio Policies, Market Timing, Sector Allocation

11.

The Dispersion Effect in International Stock Returns

Journal of Empirical Finance, Vol. 29, December 2014, pp. 331–342
Number of pages: 25 Posted: 01 Jun 2008 Last Revised: 28 Aug 2015
Markus Leippold and Harald Lohre
University of Zurich - Department of Banking and Finance and Invesco
Downloads 362 (89,780)
Citation 2

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International Dispersion Effect, Information Uncertainty, Liquidity

12.

Currency Management with Style

Risk & Reward, 2018, 1st issue, pp. 30-35
Number of pages: 8 Posted: 22 May 2018
Harald Lohre and Martin Kolrep
Invesco and Invesco
Downloads 332 (98,967)

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Currency hedging, currency style factors, carry, value, momentum, tail-hedging

13.

Active Factor Completion Strategies

Number of pages: 39 Posted: 16 Apr 2019 Last Revised: 27 Feb 2020
dichtl research & consulting GmbH, University of Hamburg, Invesco and Invesco
Downloads 312 (105,946)
Citation 3

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Diversification, Risk Parity, Factor Completion, Multi-Asset Multi-Factor Investing

14.

Tailoring Multi-Asset Multi-Factor Strategies

Risk & Reward, 2018, 1st issue, pp. 18-23
Number of pages: 8 Posted: 12 Jun 2018
Invesco, Invesco, Invesco and Invesco
Downloads 312 (105,946)

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Style Factors, Factor Investing, Factor Completion, Maximum Diversification, Risk Parity

15.

Economic Versus Statistical Clustering in Multi-Asset Multi-Factor Strategies

Risk & Reward, 2020, 1st issue, pp. 26-32
Number of pages: 8 Posted: 16 Mar 2020
Invesco, Invesco, Invesco and Invesco
Downloads 311 (107,103)

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Multi-asset multi-factor investing, diversification, hierarchical risk parity

16.

Tail Risk Management for Multi-Asset Multi-Factor Strategies

Risk & Reward, 2018, 4th issue, pp. 14-20
Number of pages: 9 Posted: 20 Feb 2019
David Chambers, Harald Lohre and Carsten Rother
University of Cambridge - Judge Business School, Invesco and Invesco
Downloads 279 (119,517)

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Factor Investing, Tail Risk Management, Maximum Diversification, Risk Parity

17.

Estimating Portfolio Risk for Tail Risk Protection Strategies

European Financial Management, Forthcoming
Number of pages: 47 Posted: 05 Jun 2017 Last Revised: 18 Dec 2019
David Happersberger, Harald Lohre and Ingmar Nolte
Lancaster University - Department of Accounting and Finance, Invesco and Lancaster University - Department of Accounting and Finance
Downloads 245 (136,686)
Citation 2

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Tail Risk Protection, CPPI, DPPI, Risk Modelling, Value-at-Risk, Expected Shortfall, Forecast Combination, Return Synchronization

Second-Order Risk of Alternative Risk Parity Strategies

Number of pages: 30 Posted: 26 Dec 2017 Last Revised: 08 Feb 2019
Simone Bernardi, Markus Leippold and Harald Lohre
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and Invesco
Downloads 236 (141,297)

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Estimation Risk, Second-Order Risk, Portfolio Construction, Risk Parity, Diversification

19.

Integrating Time Series and Cross-Sectional Signals for Optimal Commodity Portfolios

Number of pages: 44 Posted: 01 Jan 2020
Regina Hammerschmid and Harald Lohre
University of Zurich and Invesco
Downloads 231 (144,788)

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optimal commodity strategies, parametric portfolio policies, timing and tilting

20.

Theory and Practice of Portfolio Insurance

Risk & Reward, 2017, 2nd issue, pp. 4-9
Number of pages: 8 Posted: 07 Jul 2017
Invesco, Invesco and Lancaster University - Department of Accounting and Finance
Downloads 231 (144,788)

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Portfolio insurance, risk forecasting, CPPI, DPPI, Stop loss, Synthetic Put

21.

The Promises and Pitfalls of Machine Learning for Predicting Stock Returns

Number of pages: 42 Posted: 27 Mar 2020
Invesco, Invesco, Invesco, Invesco and Quoniam Asset Management
Downloads 221 (151,085)

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Machine Learning, Data Science, Interpretable Machine Learning, Return Prediction, Cross-Section of Stock Returns, Gradient Boosting, Factor Investing

22.

Risk-Based Currency Management

Risk & Reward, 2017, 1st issue, pp. 20-24
Number of pages: 7 Posted: 07 Apr 2017
Martin Kolrep and Harald Lohre
Invesco and Invesco
Downloads 214 (155,712)

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FX, Hedging, Minimum-Variance

23.

The Use of Equity Factor Investing for Portfolio Insurance

Risk & Reward, 2018, 3rd issue, pp. 32-38
Number of pages: 9 Posted: 26 Nov 2018
Invesco, Lancaster University - Department of Accounting and Finance and Invesco
Downloads 139 (226,665)

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Factor Investing, Portfolio Insurance, CPPI, DPPI

24.

On the Relevance of Strategic and Tactical Asset Allocation for Portfolio Insurance

Risk & Reward, 2020, 2nd issue, pp. 4-10
Number of pages: 9 Posted: 05 Jun 2020
Invesco, Invesco, Invesco and Invesco
Downloads 125 (246,168)

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Portfolio insurance, Tactical asset allocation

25.

A Factor-Based Approach to Diversifying Oil Exposure

Risk & Reward, 2019, 2nd issue, pp. 4-9
Number of pages: 8 Posted: 11 Jul 2019
Invesco, Invesco, Invesco and Invesco Investment Solutions
Downloads 109 (271,988)

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Style Factors, Factor Investing, Factor Completion, Maximum Diversification, Risk Parity

26.

A Forecast Combination Approach to Equity Factor Timing

Risk & Reward, 2020, 1st issue, pp. 41-46
Number of pages: 8 Posted: 07 Apr 2020
Michael Fraikin, Edward Leung and Harald Lohre
affiliation not provided to SSRN, Invesco and Invesco
Downloads 107 (275,434)

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factor investing, factor timing

27.

Evaluating Risk Mitigation Strategies

Risk & Reward, 2018, 2nd issue, pp. 27-31
Number of pages: 6 Posted: 30 Aug 2018
Invesco, Lancaster University - Department of Accounting and Finance and Invesco
Downloads 95 (298,226)

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Portfolio Insurance, CPPI, DPPI

28.

Rates Factors and Global Asset Allocation

Journal of Fixed Income, Winter 2021, Forthcoming
Posted: 30 Jul 2020
Joshua Kothe, Harald Lohre and Carsten Rother
affiliation not provided to SSRN, Invesco and Invesco

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Factor-based models, style investing, fixed income, structured finance

29.

Diversified Risk Parity Strategies for Equity Portfolio Selection

Journal of Investing, Vol. 21, No. 3, 2012
Posted: 01 May 2012 Last Revised: 17 Sep 2012
Invesco, Deka Investment GmbH and Deka Investment GmbH

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risk-based portfolio construction, risk parity, diversification, entropy