On 8 October 2015, CFA Montréal hosted its annual Asset Allocation Forum under the theme “Portfolio Structuring and the Value of Forecasting.” Two asset management approaches were compared: • The factor investing approach, which relies on identifying common factors in security returns...

The real interest rate plays a central role in many important financial and macroeconomic models, including the consumption-based asset pricing model, neoclassical growth model, and models of the monetary transmission mechanism. We selectively survey the empirical literature that examines the...

We examine the past rise and more recent decline of Saint Louis University (SLU) from the perspective of economic growth theory, which is commonly used to explain the rise and decline of nations. Consistent with neoclassical growth theory, we suggest that the simple accumulation of capital...

Common shocks, similarities in central bank reaction functions, and international trade potentially produce common components in international inflation rates. This paper characterizes such links in international inflation rates with a dynamic latent factor model that decomposes 64 national...

We propose an out-of-sample prediction approach that combines unrestricted mixed-data sampling with machine learning (mixed-frequency machine learning, MFML). We use the MFML approach to generate a sequence of now- and backcasts of weekly unemployment insurance initial claims based on a rich...