Macroeconomics Research

///Macroeconomics Research

Sector Business Cycle Analysis

By |2019-03-04T10:34:50-04:00March 7th, 2019|Research Insights, Tactical Asset Allocation Research, Macroeconomics Research|

There are different investment approaches to identify sector winners and losers, such as price momentum strategies, top down approach based on specific macroeconomic indicators or bottom-up approaches to identify sectors with improving fundamentals. One widely [...]

What the CFOs Think About the Equity Premium in 2018

By |2018-04-12T14:09:12-04:00April 11th, 2018|Research Insights, Tactical Asset Allocation Research, Macroeconomics Research|

Professors John Graham and Campbell Harvey consistently put out great research. One of their innovations in financial research is their annual CFO survey (we've covered this research here, here, and here, if interested). In their [...]

Is The US Stock Market Overvalued? Depends on which Model You ask

By |2018-03-16T07:48:23-04:00March 15th, 2018|Research Insights, Tactical Asset Allocation Research, Macroeconomics Research|

When stock prices reach a new high, investors start asking the question: Are stocks overvalued? To answer this question, investors have developed several alternative equity valuation models. Typically, each of these models compares the stock [...]

Can asset bubbles be mathematically quantified before they burst?

By |2017-11-13T13:08:42-04:00November 14th, 2017|Research Insights, Guest Posts, Low Volatility Investing, Macroeconomics Research|

The subject of asset bubbles and market crashes has fascinated me for more than 20 years. As an options market maker for Susquehanna International Group ("SIG"), extreme price movements were a daily source of concern. I [...]

Treasury Bills Outperform Most Stocks — Say What???

By |2017-08-18T16:54:25-04:00January 26th, 2017|Research Insights, $SPY, Active and Passive Investing, Macroeconomics Research|

Each morning we peruse a variety of research sites to see if there is anything exciting, new, and intriguing. Rarely does one find something that triggers a knee-jerk reaction like a recent paper by Hendrik [...]

Earth to Passive Investors: Lunch is Never Free.

By |2017-08-18T17:05:54-04:00November 7th, 2016|Uncategorized, Tactical Asset Allocation Research, Active and Passive Investing, Macroeconomics Research|

Imagine the following scenario: A strategy that outperforms everything. An ability to scale the strategy at no costs. A beating drum highlighting the infallible logic of the strategy. And the best part is this strategy [...]

Tactical Asset Allocation: A Practitioner’s Defense of Return Predictability

By |2017-08-18T16:56:17-04:00September 22nd, 2016|Research Insights, Tactical Asset Allocation Research, Macroeconomics Research|

The prospect of being able to successfully anticipate and predict future market returns is irresistible to practitioners and academics alike, although success has proven elusive. Many have fallen short while seeking this "holy grail" of investing. [...]

Was the Financial Crisis Really a Valuation Crisis?

By |2017-08-18T16:52:47-04:00September 16th, 2016|Guest Posts, Macroeconomics Research|

Most people look back at the dot-com bubble and acknowledge valuations were elevated far above historical norms. Investors ignored historically useful fundamentals, such as earnings and book value, and started relying on measures like eyeballs and [...]

Asset Pricing with–and without–garbage.

By |2017-08-18T17:09:57-04:00August 12th, 2016|Uncategorized, Macroeconomics Research|

If you are into consumption-based asset pricing theory and the associated empirical attempts to reconcile the theory with the data from the realized equity premium, garbage is a fascinating subject. So let's talk about asset pricing both with--and [...]

Will Bonds Deliver Crisis Alpha in the Next Crisis?

By |2017-08-18T16:52:05-04:00June 7th, 2016|Guest Posts, Macroeconomics Research|

Bonds are often viewed as being great diversifiers due to the perception that they perform well during tough times for stocks. Historically this has been a true statement. But will it continue? Our answer: unclear. Most [...]

A Remarkable View of China’s Official GDP — It’s Not What You Think

By |2017-08-18T17:11:17-04:00December 11th, 2015|Macroeconomics Research|

A few weeks ago, the WSJ announced that in the third quarter the growth rate of China’s economy had declined to 6.9% -- the lowest rate since the financial crisis. Perhaps predictably, economist naysayers immediately [...]

Turn Off Your Chief Economist: GDP Growth Doesn’t Predict Stock Returns

By |2017-08-18T16:54:16-04:00October 22nd, 2015|Macroeconomics Research|

In a sustained effort to try too hard, investors are constantly analyzing and assessing the growth rates of various markets around the world. The key assumption behind this analysis is that knowledge of these growth [...]

Sobering 10-Year Market Predictions from CFOs

By |2017-08-18T16:56:49-04:00June 15th, 2015|Tactical Asset Allocation Research, $SPY, Macroeconomics Research|

The Graham-Harvey survey is complete and the expectations of CFOs are available for review. As the figure below highlights, expected returns on the S&P 500 have been gradually decreasing over time. As of Q1 2015, [...]

Global Debt: A Scary Situation with Limited Solutions

By |2017-08-18T17:04:42-04:00February 19th, 2015|$SPY, $IEF, Macroeconomics Research|

Earlier this month, McKinsey published a remarkable report on trends in global debt, and concludes that the world's debt, rather than decreasing,  is in fact increasing worldwide. So much for deleveraging. The report breaks down [...]

The Hated. The Feared. The Amazing. The US Treasury Bond.

By |2017-08-18T16:55:33-04:00January 2nd, 2015|Tactical Asset Allocation Research, Macroeconomics Research|

As "everyone" seems to know, the US 10-year Treasury bond has a low relative yield and is "inevitably going to rise at some point in the future." We have no strong feelings one way or [...]

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