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.
Macroeconomics
October 18, 2019
This week we return from the North to look at the gap between GAAP and NIPA earnings, in particular why earnings growth on national accounts has been so slow. We try methodically to nip the controversy in the bud, but the answer may be more elusive than you might expect. We find that, while the significance of the divergence may have been exaggerated, it is still sobering for investors.
Macroeconomics
October 11, 2019
What if a housing bubble burst and no crisis showed up? Canada may be in the process of finding that out.
Tax Aware
October 11, 2019
Despite its unavoidable deficiency caused by current regulations, we believe that lot layering aligns tax and economics more closely than any of the “aggregation” methods presently used by most hedge funds do.
ESG Investing
October 10, 2019
Combining several large data sets, we compute the empirical ESG-efficient frontier and show the costs and benefits of responsible investing.
Macroeconomics
October 4, 2019
Everyone loves a good PMI. It’s the bad ones that can make stocks go down. This week we look at why a recent disappointing manufacturing number may have shattered investor belief in American exceptionalism (in the economy).
Macroeconomics
September 27, 2019
In this week’s Wrap-Up, we cover the turmoil in the repo markets. We explain what repos are, why they are dislocated, and what this means for other markets. While it may not be time to worry yet, we consider developments in money markets that might tell us it’s time to be more cautious.
Macroeconomics
September 20, 2019
This week we answer all of your questions on the oil fire in Saudi Arabia.
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.
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