Working Paper

(Il)liquidity Premium in Credit Markets: A Myth?

Do investors demand a risk premium for holding less liquid corporate bonds? We investigate the evidence.

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Macroeconomics

Ask Not What Your Central Bank Can Do For You

This week's wrap up gives you a tour of the current trends in global central banking.

Alternative Investing

Trend Following in Focus

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

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

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

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?

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

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

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

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

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.