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Macro Wrap-Up

Feels So Good Being Bad

Charging fees for ATM usage. Closing early on Saturdays. Making customers say "representative" ten times before getting a real person for customer service. These are all things bad banks do. That is not what we’re covering this week. Instead we’re looking at the use of so called "bad banks" as a tool for restructuring and maintaining financial stability. In this case bad banks may be a good thing.

Perspective

Quant Cassandra

If all of us, as investors, can persevere, we believe the long-term benefits are great. But even knowing all this in advance doesn’t make it easy. Hopefully, this reminder of what we all knew sixteen long months ago is helpful.

Working Paper

Factor Premia and Factor Timing: A Century of Evidence

We examine four prominent factor premia – value, momentum, carry, and defensive – over a century from six asset classes. The results offer support for time-varying risk premia models with important implications for theory seeking to explain the sources of factor returns.

News

AQR Announces Winners of 2019 Insight Award

This year, first prize was awarded to “Can the Market Multiply and Divide? Non-Proportional Thinking in Financial Markets” by authors Kelly Shue, of Yale University and NBER, and Richard R. Townsend of University of California San Diego. The paper was awarded a $50,000 prize.

Working Paper

Looking Under the Hood of Active Credit Managers

We find that credit long/short managers tend to have high passive exposure to the credit risk premium. In contrast, we find that high-yield-focused long-only managers provide less exposure to the credit risk premium than their respective benchmarks.

Data Set

Time Series Momentum: Factors, Monthly

We have updated and extended our data set for “Time Series Momentum" (Moskowitz, Ooi and Pedersen, 2012), in which we document an asset-pricing anomaly that is consistent across different asset classes and markets. We update the returns monthly.

Macro Wrap-Up

Don’t Run from the Yield Curve

This week we revisit one of our favorite topics: the yield curve. We look at some of the differences between the current inversion and past cycles. We also note that the current shape of the yield curve resembles a well-known company’s logo.

Macro Wrap-Up

Taking The Easy Way Out

Mario Draghi’s term as President of the European Central Bank is about to end. After eight years at what could be the most difficult job in Europe, most folks would be ready to bow out quietly. Not so - Mario D’s not ready to give up the mic just yet. This week, we look at what he’s considering doing in his last few months running things.

Perspective

Serenity Now

What can you do when you are going through a very tough time? You continue to invest in the business including building the highest quality teams in the industry.

Macro Wrap-Up

Who is the MVP of the Market (Most Valued Performer)?

This week we give you a recap of the major moves in macro markets so far this year. In order to make it more topical, we compare each of these markets to NBA playoff teams. We find that much of the teams’ performance can be explained by market beta.