Long-run risk models, a cornerstone in the macro-finance literature for their ability to capture key asset price phenomena, are known to entail implausibly high levels of timing and risk premia. Our paper resolves this puzzle by considering consumption of durable goods in addition to that of...

Continuously rebalanced long-short trades are similar to highly levered trades in that their PNL profile depends not only on the final distribution of return, but also on the realized co-variance structure of the asset pair. It's easily possible for both orientations of a rebalanced long-short...

This paper considers how an investor in the foreign exchange market can exploit predictive information by means of flexible Bayesian inference. Using a variety of different vector autoregressive models, the investor is able, each period, to revise past predictive mistakes and learn about...

The looming Savings Crisis is usually attributed to people either not saving enough or making poor investment choices, but we believe there's another culprit. Many investors could benefit from a 'free lunch' of pooling their longevity risk with others, but due to market inefficiencies, they do...

We are often asked for our estimate of the long-term return of the equity market. Our framework currently indicates 5.3% above inflation for global equities, which we know strikes many investors as high. This is understandable, given that the most available and frequently cited valuation ratio...

We steer our financial course through life choosing how much to spend and how to invest what's left, periodically updating our choices as circumstances evolve. This is the essence of financial planning: specifying in advance a desired spending and investment policy conditional on relevant...

Benjamin Franklin's original maxim found in Poor Richard's Almanac was actually "A penny saved is two pence clear" rather than the more commonly known "A penny saved is a penny earned." We believe he was getting at the notion that one risk-free penny is worth two pennies of expected but...

In a world of low rates and high stock prices, it's natural many investors are looking for ways to earn a good return with limited exposure to equities. However, many candidate strategies have return distributions which are significantly different from the Normal and Log-normal distributions...

Financial markets provide a natural quantitative lab for understanding some of the most advanced human behaviours. Among them is the invention and use of mathematical tools known as financial instruments. Besides money, the two most fundamental financial instruments are bonds and equities. More...