We use a comprehensive new dataset of asset-class returns in 38 developed countries to examine a popular class of retirement spending rules that prescribe annual withdrawals as a constant percentage of the retirement account balance. A 65-year-old couple willing to bear a 5% chance of financial...

In establishing the foundation for their investment process, investors typically set up the investment framework first by dividing their investment universes into different buckets along the combinations of multiple sensible dimensions such as geography and industry. As the framework is applied...

Research into asset pricing anomalies in the China A-share market is hampered given the short time series of available returns. Even when average excess returns on candidate factor portfolios are economically sizeable, conventional portfolio sorting methods lack statistical power. We apply an...

So-called cryptocurrencies have been in the news quite a lot recently, following Bitcoin trading on 1st September at US$4,904. For devotees of Bitcoin, this price action led to calls that it should now be taken seriously as a legitimate currency, whereas Jamie Dimon is among those who sees the...

The correlation between stock and bond returns is a cornerstone of asset allocation decisions. The correlation can move considerably over time, which can have a large impact on portfolio construction. Our empirical evidence points to inflation and real returns on short-term bonds, and the...

Most capital market forecasts for the year ahead tend to be narrow consensus extrapolations of broad trends and historic data, in which analysts look in particular at the last 12 months, especially in a rising market, and assume, as a baseline, that a similar outcome will recur in the next 12...

We examine an array of short-term mean-reversion indicators for global equities. The indicators encompass the most widely known price oscillators from the field of technical analysis along with several modified versions first developed by the author in the 2009- 2010 time frame. Constructing...

Asset diversification has long been fundamental to investment risk mitigation. We compute new long-term country-specific indices of diversification potential for equity, sovereign debt, and real estate. Findings for the 1986-2021 study period indicate markedly declining or persistently dampened...

The objective of this article is to highlight some of the key changes because of the transition from IFRS 4 to IFRS 17 and how the financial information presented by the insurance companies will transform from 1 January 2023

The all-stock equity indices provide important information to market participants for asset allocation and investment performance evaluations. In this paper, we construct market capitalization weighted indexes for each of the 23 countries included in the MSCI Emerging Markets index as of...