April 23, 2019
We present a framework for understanding the drivers of trend-following returns and show that recent performance challenges are primarily due to muted moves across global markets rather than a change in trend following’s ability to translate market trends into profits.
Market Risk and Efficiency
September 19, 2019
We discuss the effects of market liquidity risk on asset pricing, investment management, corporate finance, banking, financial crises, macroeconomics, monetary policy, fiscal policy, and other economic areas.
Global Macro
September 18, 2019
The concern that the economy is nearing the end of its expansion phase has important implications for investors. We take a look at the data on “late cycle” indicators to see what they really tell us.
Asset Allocation
September 18, 2019
Today’s lower return targets for pension plans are actually harder to reach. Here’s why.
Macroeconomics
September 13, 2019
Silver once ruled the world of markets. Now it can rally by 25%, and no one seems to care. Well, we care! Silver remains one of the most compelling and elusive commodities for investors. This week we look at why it has rallied and what that tells us about investor sentiment in other markets.
Fixed Income
September 12, 2019
We evaluate the ability of the yield curve slope to forecast future economic conditions, as well as returns on stocks and bonds, using over 50 years of data across six countries.
Macroeconomics
September 6, 2019
In many ways, Brexit is like canceling your cable tv service. The main difference is that Brexit is much easier. This week we look at why markets fear a no-deal outcome. It has little to do with the long-term effects of leaving the EU and more to do with the short-term challenges that abrupt changes in regulation create. The EU isn’t offering any promotional packages to keep the UK in.
Working Paper
August 21, 2019
Are risk parity strategies hiding an implicit short volatility? To find out, we simulated stylized versions of three asset-class (equity, fixed income, and commodities) risk parity and short volatility strategies, and we compared the trading behavior and returns of each.
Macroeconomics
August 16, 2019
Black zero may sound like a bad diet cola, but it is the literal translation of Germany’s Schwarze Null zero deficit policy. While many other developed countries have been running up government debt, Germany has been a model of fiscal discipline. This has led to calls for reform…in Germany. This week, we look at why Germany is so German and what a change in policy would mean for markets.
Macroeconomics
August 9, 2019
Unexpected market moves have been around as long as Who wants to be a Millionaire? Whenever they occur, we get almost as many questions as a contestant on that show. As always we appreciate your input – unlike some contestants we won’t walk away from any questions. We sometimes change the exact text of the questions, but we try to capture their tone.
August 2, 2019
This week we’re putting the global back in global macro. It may seem as though the paths of economies around the world are diverging, with the U.S. outperforming and others lagging, but a closer look reveals more similarities than differences. It’s a new kind of global synchronization.
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