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 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

32

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20,187

SSRN CITATIONS
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Top 13,962

in Total Papers Citations

50

CROSSREF CITATIONS

35

Scholarly Papers (32)

1.
Downloads 3,235 ( 4,404)
Citation 13

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 3,235 (4,316)
Citation 4

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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 8
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Diversifying, risk parity

2.

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

Chapter 9 in: Machine Learning and Asset Management, Emmanuel Jurczenko (ed.), Iste and Wiley, 2020, pp. 332-368
Number of pages: 33 Posted: 08 Jan 2020 Last Revised: 09 Nov 2020
Invesco, Invesco and Metzler Asset Management
Downloads 2,020 (9,541)
Citation 6

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

3.

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 1,302 (19,031)
Citation 4

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Return Predictability, Regime Switching, Predictive Regressions

4.

Portfolio Construction with Downside Risk

Chapter 12 in: Portfolio Theory and Management, H. Kent Baker and Gregory Filbeck (eds.), Oxford University Press, 2013, pp. 268-292
Number of pages: 34 Posted: 25 Mar 2008 Last Revised: 09 Nov 2020
Invesco, Union Investment and DG HYP
Downloads 1,253 (20,182)
Citation 2

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Portfolio Optimization, Downside Risk

5.

The Promises and Pitfalls of Machine Learning for Predicting Stock Returns

Number of pages: 41 Posted: 27 Mar 2020 Last Revised: 31 Mar 2021
Invesco, Invesco, Invesco, Invesco and Quoniam Asset Management
Downloads 1,226 (20,862)
Citation 2

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

6.

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 1,190 (21,820)
Citation 8

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

7.
Downloads 857 ( 34,914)
Citation 16

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 857 (34,390)
Citation 16

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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

8.

Diversifying Macroeconomic Factors — For Better or for Worse

Number of pages: 54 Posted: 08 Jan 2021
Livia Amato and Harald Lohre
HEC Paris and Invesco
Downloads 830 (36,669)

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Macro Factors, Factor Investing, Diversification, Markov Switching

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 824 (36,314)
Citation 5

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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 799 (37,928)
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 (799,404)
Citation 5
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commodity strategies, diversification, risk‐based portfolio construction, risk parity

11.

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 784 (39,448)

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Style factors, factor investing, maximum diversification, risk parity

12.

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, NVIDIA GmbH and Indian Institute of Technology Kharagpur
Downloads 700 (45,982)
Citation 3

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

13.

Investing Through a Macro Factor Lens

Risk & Reward, 2020, 4th issue, pp. 26-34
Number of pages: 11 Posted: 08 Feb 2021
Invesco, affiliation not provided to SSRN, Invesco, Lancaster University - Department of Accounting and Finance, Invesco and affiliation not provided to SSRN
Downloads 504 (69,983)

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Macro Factors, Factor Investing, Diversification, Factor Completion

14.

Navigating the Factor Zoo Around the World: An Institutional Investor Perspective

Number of pages: 62 Posted: 01 Jun 2020 Last Revised: 17 Mar 2021
University of Warwick, Invesco, Bocconi University and Lancaster University
Downloads 477 (75,067)

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Asset pricing, mispricing, risk factor, institutional investor, transaction costs, limits to arbitrage, market efficiency, anomaly

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 404 (91,105)
Citation 1

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

16.

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 371 (100,447)
Citation 2

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International Dispersion Effect, Information Uncertainty, Liquidity

17.

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

Number of pages: 45 Posted: 01 Jan 2020 Last Revised: 26 Oct 2020
Regina Hammerschmid and Harald Lohre
University of Zurich and Invesco
Downloads 366 (102,001)
Citation 1

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optimal commodity strategies, parametric portfolio policies, timing and tilting

18.

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 365 (102,336)

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

19.

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 359 (104,231)

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

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 339 (111,159)

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

21.

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 319 (118,777)
Citation 1

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

22.

Estimating Portfolio Risk for Tail Risk Protection Strategies

European Financial Management, Vol. 26, Issue 4, pp. 1107–1146, 2020
Number of pages: 47 Posted: 05 Jun 2017 Last Revised: 03 Sep 2020
David Happersberger, Harald Lohre and Ingmar Nolte
Lancaster University - Department of Accounting and Finance, Invesco and Lancaster University - Department of Accounting and Finance
Downloads 309 (122,853)
Citation 4

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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

Journal of Risk, 2019, Vol. 21(3), pp. 1-25
Number of pages: 30 Posted: 26 Dec 2017 Last Revised: 12 Mar 2021
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 262 (145,397)

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

Second-Order Risk of Alternative Risk Parity Strategies

Journal of Risk, Forthcoming
Number of pages: 25 Posted: 04 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 1 (823,542)
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estimation risk, second-order risk, portfolio construction, risk parity, diversification

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 256 (149,321)

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Portfolio insurance, Tactical asset allocation

25.

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 221 (172,162)

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FX, Hedging, Minimum-Variance

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 213 (178,240)

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factor investing, factor timing

27.

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 156 (234,534)

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Factor Investing, Portfolio Insurance, CPPI, DPPI

28.

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 128 (274,162)

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

29.

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 114 (298,168)

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Portfolio Insurance, CPPI, DPPI

30.

Rates Factors and Global Asset Allocation

Journal of Fixed Income, Winter 2021, Vol. 30(3), pp. 6-25
Posted: 30 Jul 2020 Last Revised: 11 Feb 2021
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

31.

Active Factor Completion Strategies

Journal of Portfolio Management, 2021 Quantitative Special Issue, Vol. 47(2), pp. 9-37
Posted: 16 Apr 2019 Last Revised: 11 Feb 2021
dichtl research & consulting GmbH, University of Hamburg, Invesco and Invesco

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Diversification, Risk Parity, Factor Completion, Multi-Asset Multi-Factor Investing, Factor-based Models, Portfolio Management/Multi-Asset Allocation, Style Investing

32.

Diversified Risk Parity Strategies for Equity Portfolio Selection

Journal of Investing, 2012, Vol. 21(3), pp. 111-128
Posted: 01 May 2012 Last Revised: 11 Feb 2021
Invesco, Deka Investment GmbH and Deka Investment GmbH

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