April 23, 2019
We present a framework for understanding the drivers of trend-following returns and show that recent performance challenges are primarily due to muted moves across global markets rather than a change in trend following’s ability to translate market trends into profits.
Portfolio Risk and Performance
November 19, 2019
As investors turn to addressing the risk of a severely declining market, we summarize five approaches to building a more resilient portfolio.
Macroeconomics
November 15, 2019
Do market prices follow grand economic theories, or is it the other way around? This week we look at how long-term views on oil have been almost as volatile as futures in that commodity.
Macroeconomics
November 8, 2019
What is the greatest trick the Fed ever pulled? Convincing the world it doesn’t matter to markets for the next few months. This week we look at how the Fed tried to take some of the attention away from monetary policy at the last meeting.
Macro Wrap-Up
October 25, 2019
Brexit has gone on for so long that most people have moved beyond Brexit fatigue, and we've reached Brexit fatigue fatigue. Does that mean it's interesting again? We think so because it's moving markets and is the topic of the Wrap-Up this week.
Macroeconomics
October 18, 2019
This week we return from the North to look at the gap between GAAP and NIPA earnings, in particular why earnings growth on national accounts has been so slow. We try methodically to nip the controversy in the bud, but the answer may be more elusive than you might expect. We find that, while the significance of the divergence may have been exaggerated, it is still sobering for investors.
October 15, 2019
Alternative risk premia tend to be the core drivers of return for a range of alternative strategies.
Macroeconomics
October 11, 2019
What if a housing bubble burst and no crisis showed up? Canada may be in the process of finding that out.
Tax Aware
October 11, 2019
Despite its unavoidable deficiency caused by current regulations, we believe that lot layering aligns tax and economics more closely than any of the “aggregation” methods presently used by most hedge funds.
ESG Investing
October 10, 2019
Combining several large data sets, we compute the empirical ESG-efficient frontier and show the costs and benefits of responsible investing.
Macroeconomics
October 4, 2019
Everyone loves a good PMI. It’s the bad ones that can make stocks go down. This week we look at why a recent disappointing manufacturing number may have shattered investor belief in American exceptionalism (in the economy).
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