An analysis of public pensions’ asset allocations suggests that their forecasts may prove too optimistic.
With the recent fall in correlations across asset classes, allocators may find diversification more beneficial for their portfolios.
How can asset allocators quantify the effects of political risk on financial markets? A simple and tractable empirical approach.
A Jack Treynor Prize-winning paper co-authored by a Two Sigma researcher provides a convenient method for summarizing risk exposure in credit portfolios.
During the past five years, forecasters repeatedly have proffered overly optimistic forecasts for long-term growth and excessively pessimistic near-term forecasts
The authors investigate the interrelationships between macro-systems of governments and financial institutions by studying the dynamic propagation mechanisms of macroeconomic shocks.
Sixty-five percent of respondents worry about the loss of G3 central bank credibility, defined as the ability of those banks to influence economic growth and market prices.
Data on highly skilled (H-1B) foreign workers suggests that wage pressure in the US may be coming from the bottom end of the distribution more than the top.
Fed and ECB data shows that the level of disagreement across forecasters today is within the historical norm, but uncertainty appears higher than ever, particularly in Europe.
Europe’s fiscal outlook appears in some ways worse today than in March 2012, potentially raising the prospect of financial shocks and higher credit default risks.