Practical analysis for investment professionals

Data-Driven Investor


Gold and Inflation: An Unstable Relationship

While there are periods when gold has hedged inflation quite well, beware blanket claims of gold's inflation-hedging utility.

Monetary Policy and Financial Conditions: Meaningful Relationship?

An analysis of the Fed's recent rounds of quantitative tightening (QT) and quantitative easing (QE) yields actionable insights about the relationship between monetary policy and financial conditions.

Stocks for the Long Run? Setting the Record Straight

Stocks are a good investment long-term, providing that you dial in your expectations. New historical findings provide a richer, more complete understanding of international returns.

Investment Returns Are NOT Random

Are investment returns random across time as Burton Malkiel suggests in his book, A Random Walk Down Wall Street? There is notable disagreement on this topic. This research finds that practitioners may need to rethink their portfolio optimization routines.

What Price Risk? Unpacking the Equity Risk Premium

Stocks are a good wager over the long term, on favorable odds. But stocks remain a bet, and investors must grasp how much returns can vary over long time horizons.

CAPE Is High: Should You Care?

A simple analysis shows that Robert Shiller's cyclically adjusted price-to-earnings ratio changed in the 1990s and that mean-reversion concerns may be misplaced. If CAPE changed three decades ago, however, there is nothing preventing it from doing so again.

Managing Regret Risk: The Role of Asset Allocation

Regret risk is a quantifiable phenomenon. The answer for some clients may be equally weighted portfolios.

Don’t Bank on the Equity Risk Premium

Sometimes, regardless of the holding period, stocks do underperform in absolute terms or relative to bonds.

The Remarkable Story of Style Regimes: For the Data-Driven Investor

Growth and value style returns are the market's veritable gulf stream, and investors should not ignore their powerful currents.