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Macro Wrap-Up

Does Anyone Remember the Carry Trade?

This week’s Wrap-Up looks at carry portfolios and carry trades and why commentators may be avoiding the topic.

Macro Wrap-Up

Jobs Are Good

This week we look at why stocks sometimes react positively to strong employment numbers, while other times they don't. We promise it will be more exciting than the Super Bowl half-time show was.

Perspective

Looking for the Intuition Underlying Multi-Factor Stock Selection

Cliff points out that although the benefits of combining factors into a diversified portfolio are large and well understood, one obstacle for many is gaining intuition about results. He tries to help.

Alternative Thinking

2019 Capital Market Assumptions for Major Asset Classes

We update our estimates of medium-term (5- to 10-year) expected returns for major asset classes, including private equity and private real estate.

Macro Wrap-Up

Reverting Below the Mean

After two good years, the economy in Europe faced some setbacks in 2018. This week we look at some of the explanations for this, which include low water levels in rivers and well-dressed French protesters.

Journal Article

A Data Science Solution to the Multiple-Testing Crisis in Financial Research

In this paper, we present a real example of how multiple testing information can be reported. We use that information to estimate the Deflated Sharpe Ratio of an investment strategy.

White Paper

Demystifying Illiquid Assets: Expected Returns for Private Real Estate

We try to demystify the risk and return of private real estate, considering theoretical arguments, historical average returns, and forward-looking yield-based analysis.

White Paper

Demystifying Illiquid Assets: Expected Returns for Private Equity

We lay out a framework for expected returns for private equity that is based on a discounted cashflow framework similar to what we use for public stocks and bonds.

Working Paper

Factor Momentum Everywhere

Can individual factors be reliably timed based on their recent performance? This study of 65 widely-studied, characteristic-based equity factors aims to find out.

Macro Wrap-Up

Australia Avoids the Breaking Point

Australia has broken some of the “laws” of economics by avoiding recession for thirty years. Now the economy faces some challenges. Find out what they are and what it may mean for the future.