Indexing to S&P 500–Risky?
Despite the dramatic fall in equity prices since March 2000, today’s S&P 500 still carries a great deal of intrinsic risk relative to its past.
Research Publications Archive
Fixed Income Investing for Endowments and Foundations – Policy and Practice
A discussion of the role of bonds in policy portfolios and issues related to the implementation of a fixed income allocation, including sector allocation, duration targets, active versus passive management, and selection of an appropriate benchmark. Exhibits cover data on returns for various bond sectors, correlations with other asset classes, and Treasury yield curve shifts…
Consumer Spending Sustainability
While most economic indicators are clearly heading south, U.K. consumers continue to hit the shops, showing no signs of retrenchment. Rising financial wealth and steady growth in real disposable income have helped sustain strong consumption growth over the last few years, but the fall in equity value, moderating real income growth, and the threat of…
If Argentina Defaults: Assessing Contagion in Emerging Markets
Argentina may have dodged the bullet with its recent debt swap, but pressures will continue to build. Because emerging markets are notoriously volatile and unpredictable, risk-averse investors should tread cautiously in this asset class for the time being.
FTSE Free Float
Evaluation of the effect of FTSE restructuring their indexes, specifically the FTSE All-Share Index, to better reflect the underlying free float reveals that index changes will be minor in the United Kingdom. The dearth of restricted holdings in the U.K. market should minimize the turnover and trading costs associated with FTSE’s change over to free-float…
A Train Without a Locomotive
Economists have been rapidly ratcheting down their growth forecasts to keep pace with the latest onslaught of negative news. While global equity markets expectations are much saner relative to the lofty expectations of yesterday, a turnaround in six months is not guaranteed. Major central banks are preoccupied with their region’s unique economic woes so the…
The Current State of Play
Despite the severity of the peak-to-trough declines in the Nasdaq and S&P 500, it is hard to make the case that most equity investors have been put through the wringer of a serious bear market.
MSCI EAFE
MSCI is restructuring its global equity indexes to more accurately reflect trading opportunities in each market. These changes will improve the investability and liquidity of each index, as well as provide greater predictability and transparency to their methodology. However, with an estimated $2.3 trillion benchmarked against MSCI EAFE, the change will also increase turnover and…
High-Yield Bonds
This report examines the nature of high-yield bond returns, the role of high-yield bonds in a diversified portfolio, and the implementation of an allocation. Exhibits include data on issuance, default and transition rates, and spreads relative to treasury bonds. Also included are performance data on representative high-yield managers and descriptions of benchmarks.
Indicating What?
The euro-zone economy has undoubtedly caught some sort of bug, and investors are struggling to diagnose whether this is just a cold or a more serious case of the flu. On the one hand, business sentiment and industrial production have dropped sharply, but on the other hand consumer sentiment and spending have held up relatively…