This paper analyzes aspects of global asset allocation. It examines how different institutional investors follow vastly different procedures when allocating assets, reflecting various time horizons, liability structures, and “cultural backgrounds.” It aims to provide some insight into the...

This paper examines the macro-spanning hypothesis for bond returns in international markets. Based on a large panel of real-time macro variables that are not subject to revisions, wefind that global macro factors have predictive power for bond returns unspanned by yield factors.Furthermore, we...

This paper examines the risk premium of value stocks within a global investment strategy framework. We test whether absolute or relative mis-pricing is better suited to capturing the global value premium by using fair value-based net asset values (NAVs) as our proxies for fundamental value. We...

Style factors that are prominent in other asset classes, such as carry, value, momentum, and defensive, do extend to the fixed income domain as well. We investigate factor investing across global government bonds and the use of such rates factors for a multi-asset investor. These rates factors...

Hedge funds have experienced significant growth over the last few decades. Assets under management have grown from an estimated $100 billion in 1995 to more than $1.7 trillion as of 4th Quarter 2012. As a rapidly maturing investment alternative, hedge funds can offer investors increased...

This article summarizes our attempt to measure the current economic stock of a broad universe of risky assets worldwide. Therefore, by measuring the global capital stock of assets, financial and non-financial ones, we intend to provide a proxy for the global market portfolio. We compute the...