Showing 1 - 10 of 106 results for 'Macroeconomics'

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Working Paper

Economics with Market Liquidity Risk

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.

White Paper

Eurozone Inflation Update: Will ECB Actions Match Its Rhetoric?

As inflation concerns take center stage in Europe, we elaborate on the challenges facing the European Central Bank and discuss potential implications for institutional investors.

White Paper

Inflation in 2010 and Beyond — Part I

How to hedge against inflation? Here, we outline key issues surrounding the inflation debate, and clarify some misconceptions. We also offer analysis to help investors decide how to position a portfolio for various inflationary environments.

White Paper

Trend Following and Rising Rates

Can trend followers benefit from the impact of rising yields on asset class returns? We explore a simple trend-following strategy during rising rates and find that the strategy may benefit investors when markets experience gradual, persistent changes

Alternative Thinking

Mapping Investable Return Sources to Macro Environments

We explore the empirical relationships between investable strategies (asset classes and style premia) and macroeconomic environments. We find that style premia have meaningfully less macro exposure than do asset classes

Alternative Thinking

Good Strategies for Tough Times

Following recent losses across global equities and concern about downside risk, we take a look at the performance of different investments during the worst quarters in recent decades for stock and bond markets.

Alternative Thinking

Exploring Rates Sensitivity

Fed tightening has many investors interested in risks surrounding monetary policy, rising yields and inflation.

White Paper

Inflation in 2010 and Beyond — Part II

"In this paper, our analysis reveals that traditional institutional portfolios with risk characteristics similar to a 60/40 stocks/bonds allocation may not be well-positioned for unexpected inflation. "

Alternative Thinking

Should Investors Worry About Rising Real Yields?

We document the response of various asset classes and strategies in historical episodes of sharply rising real bond yields—and found that investor portfolios tend to suffer less in bond-related tail events than in equity-related tail events.

Alternative Thinking

2016 Capital Market Assumptions for Major Asset Classes

We update our multi-year expected return assumptions for major stock and bond markets, and investigate expected returns for credits and commodities.