Value

Is (Systematic) Value Investing Dead?

Undoubtedly, many systematic approaches to value investing have suffered recently. However, we find the popular suggestion that value investing is dead to be premature. We find expectations of fundamental information have been and continue to be an important driver of security returns.

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Macroeconomics

No Country For Old Measures

What will the Fed do if the economy doesn’t recover? How will it affect markets? Let’s toss a coin and find out.

Tail Risk Hedging: Contrasting Put and Trend Strategies

The sharp market fall and speedy recovery during the eventful first half of 2020 has kept tail risk hedging topical: investors have both fresh memories of a painful loss and renewed fears of a repeat. We try to offer a balanced overview of the strengths and weaknesses of direct and indirect tail hedging strategies.

Value

Value and Interest Rates: Are Rates to Blame for Value’s Torments? (Summary)

This brief summary of our paper “Value and Interest Rates” presents our findings on the effect of the interest rate environment on value’s prospects. It highlights the ambiguous theoretical links between value and rates, reviews the varied historical patterns between value and different aspects of the rate environment, and presents a case study on value and interest rates in Q1 2020.

Macroeconomics

It's Not Me, It's EU

When domestic markets are up double digits on the quarter, it’s easy to forget that there are others out there. This week we look at why European equities are having a good quarter, but still lag their counterparts in the US on the year.

Macroeconomics

Celebrating the Entire Catalog of Economic Data

If you think recent economic data has been confusing, you are not alone. This week we look at the employment report and give you some "pro tips" to help understand the data in a volatile world.

Macroeconomics

This One is on the House

This week we look at the state of the U.S. housing market and the role it may play in the economic recovery.

Value

Value and Interest Rates: Are Rates to Blame for Value’s Torments?

Some have blamed the interest rate environment for value stocks’ underperformance of growth stocks from 2017 to early 2020, as well as the stretch of lackluster performance for some value factors since Global Financial Crisis. We find the performance of value is not easily assessed based on the interest rate environment, and that factor timing strategies based on interest rate-related signals are likely to perform poorly.

Macroeconomics

Conflict of Interest Rates

The last Wrap-Up looked at negative prices in oil. This week we look at how the trend has now spread to Fed Funds Futures. Is no market safe from all of this negativity?

Asset Allocation

2020 Capital Market Assumptions for Major Asset Classes (Supplemental Estimates as of March 31, 2020)

This supplement provides a special update to our estimates of medium-term (5- to 10-year) expected returns for major asset classes. This update reflects the large changes in prices for many asset classes due to the impact of COVID-19 in Q1 2020.

Macro Wrap-Up

OMG WTI?!

This week we look at West Texas Intermediate Crude Oil’s brief trip into negative territory and the longer-term outlook for the commodity.