Value

Is (Systematic) Value Investing Dead?

Undoubtedly, many systematic approaches to value investing have suffered recently. However, we find the popular suggestion that value investing is dead to be premature. We find expectations of fundamental information have been and continue to be an important driver of security returns.

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Macroeconomics

It's Not Me, It's EU

When domestic markets are up double digits on the quarter, it’s easy to forget that there are others out there. This week we look at why European equities are having a good quarter, but still lag their counterparts in the US on the year.

Macroeconomics

Celebrating the Entire Catalog of Economic Data

If you think recent economic data has been confusing, you are not alone. This week we look at the employment report and give you some "pro tips" to help understand the data in a volatile world.

Macroeconomics

This One is on the House

This week we look at the state of the U.S. housing market and the role it may play in the economic recovery.

Value

Value and Interest Rates: Are Rates to Blame for Value’s Torments?

Some have blamed the interest rate environment for value stocks’ underperformance of growth stocks from 2017 to early 2020, as well as the stretch of lackluster performance for some value factors since Global Financial Crisis. We find the performance of value is not easily assessed based on the interest rate environment, and that factor timing strategies based on interest rate-related signals are likely to perform poorly.

Macroeconomics

Conflict of Interest Rates

The last Wrap-Up looked at negative prices in oil. This week we look at how the trend has now spread to Fed Funds Futures. Is no market safe from all of this negativity?

Asset Allocation

2020 Capital Market Assumptions for Major Asset Classes (Supplemental Estimates as of March 31, 2020)

This supplement provides a special update to our estimates of medium-term (5- to 10-year) expected returns for major asset classes. This update reflects the large changes in prices for many asset classes due to the impact of COVID-19 in Q1 2020.

Macro Wrap-Up

OMG WTI?!

This week we look at West Texas Intermediate Crude Oil’s brief trip into negative territory and the longer-term outlook for the commodity.

Portfolio Risk and Performance

Portfolio Protection? It’s a Long (Term) Story…

Investors have a natural urge to protect their portfolios from sudden crashes, even though bad outcomes that unfold over longer periods are more detrimental to reaching long-term goals. We show risk-mitigating and diversifying strategies have added value more consistently than options-based hedging over the more important, longer drawdowns.

Equities

Understanding a Tax-Aware Defensive Equity Long-Short Strategy

We describe a hypothetical Tax-Aware Defensive Equity Long-Short strategy, including its construction and pre-tax and after-tax performance. The strategy closely replicates the pre-tax performance of a similar hypothetical tax-agnostic strategy and has the potential to achieve a meaningful tax benefit for a taxable investor.

Macroeconomics

We Interrupt Your Regularly Scheduled Fed Programming

This week we look beyond the acronyms to understand what the Fed is trying to accomplish with its aggressive measures.