Macroeconomics Research

How to Build Expected Return Forecasting Models

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.

Recent Resarch on Predicting Bubbles

Fulcrum Asset Management has an interesting overview piece related to some recent research that attempts to predict bubbles: http://www.fulcrumasset.com/files/frn201401.pdf The source article is below: http://cowles.econ.yale.edu/P/cd/d19a/d1914.pdf [...]

Is the Chronic Unemployment Here to Stay?

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 [...]

Indian Rupee in Freefall!

As the Indian Rupee hit a fresh all-time low today against the US dollar, we wondered about the factors that could have caused this recent [...]

Does Jeremy Siegel Trust the Shiller P/E?

In early August, Wharton finance professor Jeremy Siegel went on CNBC’s “Futures Now” and announced, "my target [for the DOW] is 16,000 to 17,000 for [...]

Stock/Bond Equity Doesn’t Signal much…

Do-It-Yourself tactical macro modules for August are posted. Create a free account here if you want to access the site directly. Macro Chart of the Month: Equity/bond risk [...]

Do REITs blow up if interest rates spike?

Depends on the time period analyzed... Positive correlation between rates and REIT returns prior to 2000 Negative correlation post 2000. Extreme positive interest rate moves [...]

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