European Property: Is the Party Over?
For the time being investors should avoid large bets on European property and should be in no hurry to ramp up allocations.
Research Publications Archive
European Linkers: Getting Interesting?
While rising real yields have restored some value to European inflation-linked bond markets, linkers are not yet attractive on their own, although do offer some value relative to nominal government paper.
The Surprising Truth About Emerging Markets Local Currency Debt Valuations
Contrary to popular belief, aggregate yields on local currency emerging markets debt do not offer a premium to US$-denominated debt on a currency-adjusted basis; however, given the breadth and relative inefficiency of the local currency market, we continue to believe active managers should be able to add value.
U.S. Small Cap Investing – Issues and Expectations
Is conventional wisdom correct in assuming that the small-cap sector of the U.S. equity market is less efficient than the large-cap sector? And what, exactly, defines the small-cap sector? This report seeks to answer those questions and others by sorting through the relevant small-cap indices and the biases of manager databases. It also outlines the…
U.S. Value Stocks Moving Out of the Markdown Aisle
The slim premium for growth stocks provides investors an opportunity to upgrade the quality of their portfolios.
Potential Implications of FX Reserve Diversification
While there are legitimate reasons to believe that diversification of foreign exchange reserves by central governments will support an asset boom, diversification of reserves carries manifold implications that will likely play out over an extended period.
European Equities: Priced for Perfection?
Going long the European restructuring/growth story has gone from a contrarian play to a consensus trade.
Endowments and Alternative Investments – Preparing for the Next Audit
In July 2006 the American Institute of Certified Public Accountants issued a “Practice Aid” to guide the auditors of institutions with investments in alternative assets. This report reviews the key elements of auditing alternative investments and provides advice on steps endowments should consider in their 2007 audit, which will most likely be more difficult than…
Active or Passive Management – It’s Not That Simple
A detailed discussion of the conditions necessary for investors to consider active management, and the requirements for the majority of managers to outperform the market. For six equity assets classes, we discuss the manager database, popular benchmarks, general bets embedded in active management, and indexing options to develop a framework for evaluating the expected performance…
Why Not Hold Cash?
While virtually all asset classes look expensive, the decision to hold cash (or implement a derivatives-based hedge) is more complicated than it appears.