March 14, 2020
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.
Macroeconomics
June 26, 2020
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
June 12, 2020
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
May 29, 2020
This week we look at the state of the U.S. housing market and the role it may play in the economic recovery.
Value
May 22, 2020
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
May 15, 2020
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
May 6, 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
May 1, 2020
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
April 23, 2020
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
April 17, 2020
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
April 17, 2020
This week we look beyond the acronyms to understand what the Fed is trying to accomplish with its aggressive measures.
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