In our research publications we aim to provide you with insights from a variety of different viewpoints while maintaining an official Cambridge view on asset allocation and portfolio construction in our quarterly VantagePoint publication, written by our Chief Investment Strategist. In this edition of C|A Answers, two members of our Capital Markets Research team debate…
VantagePoint is a quarterly publication from our Chief Investment Strategist summarizing C|A’s total portfolio advice. Advice in Brief Slower global economic growth and high valuations are likely to result in lower returns over the next five to ten years than experienced over the last five-and-a-half years. In addition, we anticipate that QE’s ability to elevate…
After a difficult 2013 that saw significant volatility in the real and Brazil identified as one of the Fragile Five, Brazilian markets have roared back in 2014, with the MSCI Brazil notching a 19% gain through August 31 (25% for unhedged, US$-based investors, as the real found its footing, rising 5% versus the dollar). Local…
Benchmark ten-year US Treasury yields will be hard pressed to go above 3.5% to 4.0% in this cycle The interconnection of a number of variables affects how far rates can rise: growth, Treasury supply/demand, volume of debts and the costs of servicing them relative to revenues, and the distribution of assets and liabilities. Outside of…
On 18 September, Scotland will vote in a referendum on whether to break away from the United Kingdom. The ‘Yes’ to independence campaign is led by the Scottish Nationalist Party (SNP) and its wily leader Alex Salmond. The ‘No’ camp is run by a motley collection of UK politicians under the banner of ‘Better Together’,…
Most endowed institutions seek to provide continued (or growing) financial support for their operations while at the same time preserving the endowment’s value for the future. At its core, a spending policy is designed to balance the needs of both current and future generations, though getting the right balance can be a challenge. The precipitous…
Growth/Value, Market Cap, and Momentum Jun Wang, Robert Brooks, Xing Lu, and Hunter M. Holzhauer, The Journal of Investing, Spring 2014 Some researchers have questioned the ability to implement momentum strategies without substantially diminishing the related returns. The authors investigate this issue by using indexes to implement their style-based momentum strategy and conclude that a…
This question has been asked since 2009, and despite the unwavering unanimity of economists and market watchers that sovereign bond yields are once again set to rise—the latest Wall Street Journal survey, for example, shows 100% of economists expect the US ten-year yield to rise by the end of 2014 (average forecast: 3.04%), June 2015…
On July 23, the SEC voted in a set of long-debated reforms to the rules governing money market funds (MMFs). The reforms, which will take effect in 2016 to allow managers and investors time to adapt, are aimed at preventing a replay of the dangerous 2008 run on MMFs triggered when the Reserve Primary Fund…
“Low-Risk Investing Without Industry Bets” Clifford S. Asness, Andrea Frazzini, and Lasse H. Pedersen, Financial Analysts Journal vol 70(4): 24–41 Some investors assume that the attractive risk-adjusted returns of investing in low-beta stocks have been driven by a structural bias toward defensive industries. The authors, all principals at AQR, seek to dispel this notion by…