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Macro Wrap-Up

Election Effects

This week we look at why the market’s reaction to the election results didn’t go according to the consensus script.

Macro Wrap-Up

Portfolio Politics

It’s good to vote, just not with your portfolio. This week’s Wrap-Up looks at why elections are so difficult to trade.

Working Paper

Climate Finance

The paper reviews the literature studying interactions between climate change and financial markets, including various approaches to incorporating climate risk in macro-finance models as well as the empirical literature that explores the pricing of climate risks across several asset classes.

Macro Wrap-Up

Global Micro

What do investors want in an equity index? This week we look at what a couple of countries in Asia tell about what’s been driving relative returns.

Macro Wrap-Up

Inflation Q&A

This week we answer all of the questions you asked about inflation and some you didn’t ask.

Data Set

Time Series Momentum: Factors, Monthly

We have updated and extended our data set for “Time Series Momentum" (Moskowitz, Ooi and Pedersen, 2012), in which we document an asset-pricing anomaly that is consistent across different asset classes and markets. We update the returns monthly.

Alternative Thinking

Was That Intentional? Ways to Improve Your Active Risk

Investors try to outperform their strategic asset allocation benchmarks by taking active risks. Some of these are intentional, but others are low-conviction or even unintentional, which can be a large part of a portfolio’s total active risk. When it comes to beating a strategic asset allocation benchmark, reducing these unintentional active risks may among the clearest sources of “low hanging fruit”.

Working Paper

Should Information be Sold Separately? Evidence from MiFID II

This paper investigates whether MiFID II, a European regulation that unbundles research from transactions, improves the efficiency of information production.

Macro Wrap-Up

Dollar Signs

Stocks are up, but the U.S. dollar is down against many other currencies. Does it feel like the dollar does all of the work but gets none of the credit? This week we look at the unbalanced relationship between U.S. equity markets and the dollar.

Perspective

There Is No Size Effect: Daily Edition

We have written several pieces on the famous small-firm or size effect, the two most important being our study of the interaction of size and quality and a fairly comprehensive survey of all things size. This note focuses on daily instead of the longer-horizon data studied in these other papers and, while not changing the overall story, this leads to a powerful illustration of what’s going on in small stocks.