Working Paper
(Il)liquidity Premium in Credit Markets: A Myth?
March 8, 2018
Do investors demand a risk premium for holding less liquid corporate bonds? We investigate the evidence.
Macroeconomics
Ask Not What Your Central Bank Can Do For You
September 21, 2018
This week's wrap up gives you a tour of the current trends in global central banking.
Alternative Investing
Trend Following in Focus
September 19, 2018
We use live data of trend-focused managers starting in 2000 via the SG Trend Index to contextualize recent performance and to re-affirm the merits of the strategy.
Portfolio Construction
Transactions Costs: Practical Application
September 17, 2018
We offer guidance on understanding transactions costs, including a discussion of the practical aspects of measuring them and the pitfalls one might face when trying to compare costs across managers.
Macroeconomics
Macro Wrap-Up: Less Activity in the House
September 14, 2018
Home prices are up but housing activity may be starting to slow in the U.S. This week's Wrap-Up looks at why this may be happening and why it isn't anything to get too worried about.
Macroeconomics
Macro Wrap-Up: All Through the Wild Days in Argentina
September 7, 2018
This week, we look at why the Argentinian peso has performed so badly despite some aggressive policy moves and what this tells us about emerging and developed markets.
Macroeconomics
Macro Wrap-Up: What Do You Get for the Currency That Has Everything?
August 31, 2018
This year, the US dollar has had its cake and is it eating too. This week’s summary looks at the unique drivers of dollar performance and how it has avoided the normal trade-off between carry and safety. It also looks at whether the recent slight reversal is a meaningful change in the dynamics of the market.
Trading
Trading Costs
August 23, 2018
Using live trade data from a large institutional money manager over a 19-year period, we find actual trading costs to be an order of magnitude smaller than previous studies suggest.
Macroeconomics
Macro Wrap-Up: Turkey Q&A
August 17, 2018
This week's Wrap-up answers some of the questions you may have on the Turkish lira.
Macroeconomics
Macro Wrap-Up: A Monetary Policy Mechagodzilla
August 3, 2018
Macro investors haven't paid all that much attention to the Japanese economy lately. The recent Bank of Japan meeting may change that.
Macroeconomics
Macro Wrap-Up: An Unprecedented Short History of Fed Independence
July 27, 2018
A look at times when politicians have clashed with the Fed. It doesn’t always end well for the politicians, the economy or the Fed, but it is always good for historians.