Commodity Futures: Still Plenty of Risks
The strong headwinds facing the commodity sector limit our conviction that current prices will translate into reasonable total returns.
Research Publications Archive
Are Eurozone Equities Still Poised to Outperform in 2016?
Yes, but the amount of outperformance could be limited, and growing macro-driven volatility will likely cap the absolute level of returns.
Annual Analysis of Cultural and Environmental Institution Investment Pool Returns: Fiscal Year 2015
This report reviews portfolio returns, asset allocation, investment manager structures, and net flow data for 55 cultural and environmental institutions. Analysis and exhibits include asset class returns, performance attribution, risk analytics, policy portfolio benchmarking, the impact of private investment programs on portfolio liquidity, the use of external managers by asset class, and net flow rates.
Strategic Currency Hedging Policy: A New Framework
Currency risk is a fact of life for investors, yet few investors have given appropriate thought to setting a strategic hedging policy. The typical approaches have material drawbacks, being either too simplistic or too complex. The new framework we introduce in this paper achieves an attractive balance by seamlessly integrating qualitative portfolio considerations driven by relevant asset class characteristics with a highly simplified yet robust method of incorporating individual currency characteristics. The framework is applicable to a broad set of investors, accommodates lack of precision in measuring currency exposures, separates the question of implementation from policy setting, and helps clearly distinguish between strategic exposures and tactical overlays.
Why Have Global Bank Stocks Been Whipsawed to Start the Year?
Sentiment toward the global banking sector was extremely poor to start the year, owing to a variety of factors, but reversed sharply in recent weeks as the latest news and data seemed to alleviate investors’ worst fears.
Annual Analysis of Independent Schools Investment Pool Returns: Fiscal Year 2015
This report reviews portfolio returns, asset allocation, investment manager structures, and net flow data for 28 independent schools. Analysis and exhibits include performance attribution, risk analytics, policy portfolio benchmarking, the impact of private investment programs on portfolio liquidity, the use of external managers by asset class, and net flow rates.
Decades of Data: 1900–2015
In over 25 different analyses and 100 charts, our annual analysis of the history of global markets provides context for the range of returns investors can expect from equities, bonds, and cash; reveals the importance of various components of equity returns; examines the evidence for equity mean reversion; and reviews the relationship between initial valuations and subsequent returns for equities and bonds. This year’s edition is accompanied by an appendix showing year-by-year, cumulative, and average annual compound returns for as much as 115 years of market data for Australia, Japan, the UK, and the US.
Quarterly Regulatory Update: First Quarter 2016
This edition includes a look back at key regulatory changes and proposals in 2015 and a look ahead at 2016 for mutual funds, hedge funds, and private investments.
Is the Strong-Dollar Cycle Over?
The US dollar may remain under pressure in the near term, but we doubt the strong-dollar cycle is over.
New Zealand Outlook 2016: Keep Steady
Risks to the global economy are rising, but the New Zealand economy is relatively well placed compared to others, with many of the risks external in nature.