Models of economic geography posit that the density of economic activity has two effects that oppose each other in equilibrium: decreasing returns to productive activities due to congestion effects and increasing returns that result from information spillovers and local demand externalities. In...

Understand the potential implications for portfolio performance and construction if fiscal and monetary policies produce a sustained period of positive stock-bond correlation. In a world of positive stock-bond correlation, the performance of a balanced portfolio will suffer, but the benefits of...

Stock-bond correlation is considered an important input for multi-asset portfolio construction. While there has been much research on US stockbond correlation, less work has focused on stock-bond correlations in other countries, their relationship to each other, and their common macroeconomic...

A recent research publication develops a new business cycle forecasting technique using a metric called “Mahalanobis distance.” This measure is intuitive, is based on a straightforward set of computations, is able to identify post-war US recessions with few false positives, and, as claimed...

Recessions are a regularity of the economic landscape. In this research paper we provide a guide for CIOs to help them assess and interpret recession probability models, and explore several related issues that they should consider

Models of economic geography posit that the density of economic activity has two e¤ects that oppose each other in equilibrium: decreasing returns to productive activities due to congestion e¤ects and increasing returns that result from information spillovers and local demand externalities. In...

Institutional portfolios are increasing allocations to illiquid private assets seeking better returns and diversification. However, as allocations increase, a portfolio’s liquidity structure changes, sometimes abruptly. How can a CIO increase their confidence with private asset allocations and...

Investors have been increasing their allocations to private assets seeking higher returns and better portfolio diversification. However, as this allocation increases, the liquidity characteristics of their portfolios change. To address this issue we create a framework that links bottom-up...

In recent years many US corporate pension plans have closed and entered their “end-state.” As end-state plans have become more prevalent, their special portfolio management challenges, including asset allocation, have gained attention.Pure immunization with public fixed income assets...

In an earlier study we examined the performance of public asset classes before, during and after equity market volatility events. We now expand this study to include three types of private assets (US buyout, US mezzanine, and US real estate funds).Public equity and credit assets experienced poor...