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Macro Wrap-Up

Sweden's Noll Hypothesis

This week's Wrap-Up examines monetary policy in Sweden. It may not win the Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel, but it will explain why the Riksbank is becoming arguably the most important central bank in the world for investors to follow.

Macro Wrap-Up

2020 Vision

Forecasters are easy targets. You can always find something they got wrong. Yet people still place enormous weight on their predictions, perhaps setting themselves up for disappointment. This week we look at last year’s forecasts on the economy and markets and how they’ve changed coming into the New Year. We also consider how investors should think about forecasts in building their portfolios. Hint: it’s not to assume they’ll always be right.

Macro Wrap-Up

New Year, Same Econo-me

This week we look at the most important macro themes of the past year. It’s like one of those old sitcom episodes with five minutes of new scenes cut between twenty five minutes of flashbacks from the rest of the season.

Perspective

The Illiquidity Discount?

Conventional wisdom is you get an expected return premium for bearing illiquidity. But what if this is backwards? What if investors will actually pay a higher price and accept a lower expected return for very illiquid assets?

Working Paper

Predicting Returns with Text Data

We introduce a new text-mining methodology that extracts sentiment information from news articles to predict asset returns.

Working Paper

Active Fixed Income Illusions

Across a broad set of popular active fixed income categories, we find that passive exposures to traditional risk premia (especially exposure to credit risk) explain the majority of fixed income manager active returns.

Macro Wrap-Up

Deficitly Maybe

Deficit spending during times of low unemployment is like getting a stationary bike from your government as a gift. Initially it makes you nervous, but you find it slowly starts to boost economic growth. You don't realize how much it changes markets. It's not clear yet if investors should thank the government.

Macro Wrap-Up

At Any Rate

This week we look at negative rates from a different perspective. Rather than evaluate their effectiveness as a policy tool or their economic impact, we try to answer one question: why would anyone buy a negative yielding bond?

Alternative Thinking

Responsible Asset Selection: ESG in Portfolio Decisions

We discuss how Environmental, Social, and Governance (ESG) considerations may be incorporated in a portfolio and how they may affect risk and return outcomes.

Data Set

The Devil in HML's Details: Factors, Monthly

We have updated and extended our data set for “The Devil in HML’s Details” (Asness and Frazzini, 2013). We include long/short HML Devil returns for the U.S. and 23 international equity markets updated monthly.