March 14, 2020
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.
Macroeconomics
May 29, 2020
This week we look at the state of the U.S. housing market and the role it may play in the economic recovery.
Macroeconomics
May 15, 2020
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
May 6, 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
May 1, 2020
This week we look at West Texas Intermediate Crude Oil’s brief trip into negative territory and the longer-term outlook for the commodity.
Portfolio Risk and Performance
April 23, 2020
Investors have a natural urge to protect their portfolios from sudden crashes, even though bad outcomes that unfold over longer periods are more detrimental to reaching long-term goals. We show risk-mitigating and diversifying strategies have added value more consistently than options-based hedging over the more important, longer drawdowns.
Equities
April 17, 2020
We describe a hypothetical Tax-Aware Defensive Equity Long-Short strategy, including its construction and pre-tax and after-tax performance. The strategy closely replicates the pre-tax performance of a similar hypothetical tax-agnostic strategy and has the potential to achieve a meaningful tax benefit for a taxable investor.
Macroeconomics
April 17, 2020
This week we look beyond the acronyms to understand what the Fed is trying to accomplish with its aggressive measures.
Macroeconomics
March 31, 2020
This week we take a bit of a longer look at how the crisis is affecting markets. We examine three fixed income markets and what they say about market liquidity and investors' expectations.
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