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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, 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|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 [...]

Valuation Spreads Over Time: A Unique Market Timing Signal?

By |2018-01-30T07:25:59-05:00September 12th, 2014|Value Investing Research, Uncategorized, Tactical Asset Allocation Research, Macroeconomics Research|

The blogosphere is spammed with commentary related to the current high market valuations and the inevitable crash that "must" ensue. We've even been involved in the conversation at different points, trying to add some depth [...]

How to Build Expected Return Forecasting Models

By |2017-08-18T17:03:28-04:00July 14th, 2014|Research Insights, Key Research, Tactical Asset Allocation Research, Macroeconomics Research|

Investors are enamored with various investment houses and personalities who claim insight into the prospects for long-term expected market returns. Some classic examples include Nouriel Roubini, John Hussman, David Rosenberg, or Jeremy Grantham. All really smart people. But have you ever asked "How" these folks came to their conclusions? In most cases, the answer is probably "No" and the reason is because there is a lack of transparency from the author(s) and/or a lack of knowledge/understanding on behalf of the reader. We also want to highlight that one can develop incredibly complex return forecasting models -- super sexy, super interesting, super compelling, etc. -- but that still doesn't mean they are any good at forecasting much of anything.

Walmart delivers Low Prices…and High Home Prices

By |2017-08-18T16:52:52-04:00July 14th, 2014|Research Insights, Macroeconomics Research|

When Walmart Comes to Town: Always Low Housing Prices? Always? Devin Pope and Jaren Pope A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research [...]

Recent Resarch on Predicting Bubbles

By |2017-08-18T16:58:02-04:00June 27th, 2014|Research Insights, Macroeconomics Research|

  Fulcrum Asset Management has an interesting overview piece related to some recent research that attempts to predict bubbles: The source article is below: Absract: Recent work on econometric detection mechanisms has shown [...]

Is the Chronic Unemployment Here to Stay?

By |2017-12-18T06:57:48-05:00January 12th, 2014|Research Insights, Macroeconomics Research|

The famous (perhaps infamous to some folks) John Maynard Keynes has a great quote related to technological unemployment from his essay, "Economic Possibilities for our Grandchildren:" [Technological unemployment] means unemployment due to our discovery of [...]

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