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Working Paper
Economics with Market Liquidity Risk
September 19, 2019
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?
April 1, 2011
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.
Alternative Thinking
Mapping Investable Return Sources to Macro Environments
4Q 2013
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
Exploring Rates Sensitivity
2Q 2017
Fed tightening has many investors interested in risks surrounding monetary policy, rising yields and inflation.
White Paper
Inflation in 2010 and Beyond — Part II
July 1, 2010
"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
Good Strategies for Tough Times
3Q 2015
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.
White Paper
Trend Following and Rising Rates
May 12, 2015
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
2014 Capital Market Assumptions for Major Asset Classes
1Q 2014
We present our capital market assumptions for major asset classes and explore justifiable frameworks for estimating multi-year expected returns.
Alternative Thinking
2016 Capital Market Assumptions for Major Asset Classes
1Q 2016
We update our multi-year expected return assumptions for major stock and bond markets, and investigate expected returns for credits and commodities.
Alternative Thinking
2015 Capital Market Assumptions for Major Asset Classes
1Q 2015
We update our expected returns and review our framework for constructing estimates of long-term expected returns for major asset classes, among other things.