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Some Implications of Uncertainty and Misperception for Monetary Policy

Some Implications of Uncertainty and Misperception for Monetary Policy

🕔09:35, 28.Aug 2018

When choosing a strategy for monetary policy, policymakers must grapple with mismeasurement of labor market slack, and of the responsiveness of price inflation to that slack. Using stochastic simulations of a small-scale version of the Federal Reserve Board’s principal New

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Competition, Stability, and Efficiency in Financial Markets

Competition, Stability, and Efficiency in Financial Markets

🕔09:34, 28.Aug 2018

We find that (1) an intensification of competition increases the efficiency and fragility of banks; (2) economies can avoid the fragility costs of competition by enhancing bank governance and tightening leverage requirements; and (3) the monetary transmission mechanism is materially

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More Amazon Effects: Online Competition and Pricing Behaviors

More Amazon Effects: Online Competition and Pricing Behaviors

🕔09:34, 28.Aug 2018

I study how online competition, with its shrinking margins, algorithmic pricing technologies, and the transparency of the web, can change the pricing behavior of large retailers in the U.S. and affect aggregate inflation dynamics. In particular, I show that in

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Increasing Differences between firms: Market Power and the Macro-Economy

Increasing Differences between firms: Market Power and the Macro-Economy

🕔09:34, 28.Aug 2018

A rich understanding of macro-economic outcomes requires taking into account the large (and increasing) differences between firms. These differences stem in large part from heterogeneous productivity rooted in managerial and technological capabilities that do not transfer easily between firms. In

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Picking through the alpha graveyard

Picking through the alpha graveyard

🕔15:02, 23.Aug 2018

Survivorship bias is the logical error of focusing only on the things that survived a process while ignoring the things that did not. Famous examples abound across fields ranging from the science of falling cats (Whitney and Mehlhaff, 1987), to

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The Race of Our Lives Revisited

The Race of Our Lives Revisited

🕔14:09, 14.Aug 2018

It was always going to be difficult for us – Homo sapiens – to deal with the long-term, slow-burning problems that threaten us today: climate change, population growth, increasing environmental toxicity, and the impact of all these three on the

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Volatility Lessons

Volatility Lessons

🕔15:02, 8.Aug 2018

Stock returns are volatile. For July 1963 to December 2016 (henceforth 1963–2016), the equity premium—the difference between the monthly return on the market portfolio of US common stocks (Market) and the one-month US Treasury bill rate—averages a hefty 0.51% per

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Rebalance or Rush Hour?

Rebalance or Rush Hour?

🕔13:13, 3.Aug 2018

Key Points Systematic rebalancing raises the likelihood of improving long-term risk-adjusted investment returns. The benefits of rebalancing result from opportunistically capitalizing on human behavioral tendencies and long-horizon mean reversion in asset class prices. Investors who “institutionalize contrarian investment behavior” by

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Keep Up The Momentum

Keep Up The Momentum

🕔10:10, 3.Aug 2018 Read Full Article
Where will the next financial crisis come from?

Where will the next financial crisis come from?

🕔10:10, 3.Aug 2018

Are we ready to confront it?  The world is not yet completely out of the 2007- 2008 financial crisis, but the risk of a new crisis already arises. The theme of “regime shift” (volatility, interest rate, inflation, etc.) has resurfaced,

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ESG’s Evolving Performance: First, Do No Harm

ESG’s Evolving Performance: First, Do No Harm

🕔15:02, 1.Aug 2018

We evaluate the investment performance of ESG, paying particular attention to recent performance and highlighting the difference between ESG scores that overlap with traditional risk model factors and those that don’t. Our analysis indicates that, in general, increasing exposure to

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Think Income and Growth Don’t Exist in This Market? Think Again.

Think Income and Growth Don’t Exist in This Market? Think Again.

🕔13:02, 1.Aug 2018

Are you having the following argument with yourself? “I need an investment that’s going to provide me not only income, but growth too. Unfortunately, investors have been piling into dividend funds for years now in their search for yield. I’m

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Drie manieren om blockchaintechnologie in te zetten in uw bedrijf

Drie manieren om blockchaintechnologie in te zetten in uw bedrijf

🕔15:02, 31.Jul 2018

Momenteel experimenteren diverse bedrijven gezamenlijk dan wel individueel met blockchain, een nieuwe technologie die naar verwachting een disruptieve invloed zal hebben. Hoewel de ontwikkeling ervan nog in volle gang is en nog niet alle toepassingen geheel in kaart kunnen worden

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ESG integration in green and social bonds

ESG integration in green and social bonds

🕔15:05, 25.Jul 2018

Assessment process The green bond market has grown in recent years, a process that started with the European Investment Bank and World Bank in 2007. Whereas ACTIAM initially concentrated mainly on ‘green’ activities such as renewable energy and energy efficiency,

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The euro area bank lending survey – Second quarter of 2018

The euro area bank lending survey – Second quarter of 2018

🕔14:32, 25.Jul 2018

Introduction The results reported in the July 2018 bank lending survey (BLS) relate to changes during the second quarter of 2018 and expectations for the third quarter of 2018. The survey was conducted between 18 June and 3 July 2018.

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Signals and Smokescreens

Signals and Smokescreens

🕔14:04, 25.Jul 2018

Investing in China  As China transitions from being a ‘participant’ in globalisation into a ‘shaper,’ investors are looking to the region for its exciting opportunities. China’s growth story offers strong potential; but investors can be deterred by risks arising from

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The Bubble That Never Came

The Bubble That Never Came

🕔13:14, 24.Jul 2018

… and Other Misconceptions about Treasury Bonds In the frantic months following the fall of Lehman Brothers in 2008, the US Federal Reserve embarked on an unprecedented program of unconventional monetary policy easing. This program included purchases of mortgage-backed securities as

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Considering the Risk From Future Carbon Prices: The S&P Carbon Price Risk Adjusted Index Series

Considering the Risk From Future Carbon Prices: The S&P Carbon Price Risk Adjusted Index Series

🕔13:02, 24.Jul 2018

Introduction Along with the advent of the 2015 Paris Climate Agreement has come a growing understanding of the structural changes required across the global economy to shift to low- (or zero-) carbon, sustainable business practices. The increasing regulation of carbon

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Het inflatierisico van pensioenfondsen

Het inflatierisico van pensioenfondsen

🕔13:02, 24.Jul 2018

Meer Inflation linked bonds in de portefeuille voor een waardevast pensioen  Sinds de economische crisis is de inflatie erg laag. De economie is inmiddels hersteld en sommige economieën draaien op volledige werkgelegenheid. De inflatiedruk en daarmee de inflatierisico’s nemen toe.

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The Financial Case for Fossil Fuel Divestment

The Financial Case for Fossil Fuel Divestment

🕔11:02, 19.Jul 2018

Executive Summary A diverse group of stakeholders — mainstream and “sustainable” investors, shareholder activists, environmental groups, students, and politicians — are grappling with the question of why institutional funds remain invested in fossil fuels and how divestment can be achieved

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Organizational Design and Long-Term Investing

Organizational Design and Long-Term Investing

🕔11:02, 19.Jul 2018

Overview A previous Brandes Institute paper considered what it means to be a long-term investor (Warren, 2016). It was argued that long-term investors are best characterized by their latitude and their intent to pursue long-term goals. Important for latitude is

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Five Areas of Focus for Defined Contribution Plans

Five Areas of Focus for Defined Contribution Plans

🕔08:46, 19.Jul 2018

Many answers, but a few questions still remain. Growing reliance as a primary retirement savings vehicle, default-driven behavior, and increasing fiduciary scrutiny continue to characterize the defined contribution (DC) environment. Given these trends, we have identified five key areas plan

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The impact of ESG investing in corporate bonds

The impact of ESG investing in corporate bonds

🕔15:04, 18.Jul 2018

The rationale for ESG Environmental, Social and Governance (ESG) issues are becoming a focus area in the investment community. The idea that capital should be deployed not only based on financial considerations but also with a bias towards companies that

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What everyone should know about manager experience

What everyone should know about manager experience

🕔15:02, 18.Jul 2018

A Citywire research report  When it comes to fund manager experience, when and where does it matter the most and how much emphasis should we be placing on it? In this research study Citywire’s head of cross border investment research,

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The living wage: towards better industry practices

The living wage: towards better industry practices

🕔08:11, 18.Jul 2018

Abstract The concept of living wage goes back to the early twentieth century, with the creation of the International Labour Organization (ILO) in 1919. Subsequently, this concept was taken up several times in texts that played a structural role in

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The End of Sovereignty?

The End of Sovereignty?

🕔07:03, 18.Jul 2018

Globalization, nationalism and the implications for institutional investors Never before in human history have people, information and capital moved across borders at the speed, frequency and volume we see today. These global forces have blunted the ability of individual sovereign

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Real convergence in central, eastern and south-eastern Europe

Real convergence in central, eastern and south-eastern Europe

🕔14:33, 17.Jul 2018

Abstract This paper analyses real income convergence in central, eastern and south-eastern Europe (CESEE) to the most advanced EU economies between 2000 and 2016. The relevance of this topic stems both from the far-reaching implications of real income convergence for

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Five-year trends and outlook for smart beta

Five-year trends and outlook for smart beta

🕔11:02, 12.Jul 2018

Insights from the 2014-2018 FTSE Russell global smart beta surveys This is the 5th year of the FTSE Russell smart beta global asset owner survey. This milestone presents an opportunity to look back and reflect on how smart beta indexes

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Risk Retreated in Q2 But…

Risk Retreated in Q2 But…

🕔13:03, 11.Jul 2018

Active Managers Need to Look Under the Hood Markets worldwide saw large swings in Q2 2018, as investors reacted to geopolitical tensions, a looming trade war and inflationary pressures. US stocks were up for the quarter, but many world markets

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A Tactical Asset Allocation Workflow

A Tactical Asset Allocation Workflow

🕔13:03, 11.Jul 2018

We describe a TAA workflow using Axioma’s integrated suite of multiasset class risk management and portfolio construction solutions Long-term investors often passively track a strategic asset allocation benchmark whose weights across the various asset classes remains constant over a multi-year

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Absolute Return Tailored for Risk and Governance Budgets

Absolute Return Tailored for Risk and Governance Budgets

🕔13:03, 11.Jul 2018

Case Study: Bespoke Solutions For years, institutions have turned to Intech® to complement their lineup of traditional managers. In 2016, one of our large European public clients approached us about building a bespoke investment solution to help them meet their

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How Do Sovereign Wealth Funds Invest?

How Do Sovereign Wealth Funds Invest?

🕔13:02, 11.Jul 2018

Shift into Private Markets Continues Because Sovereign Wealth Funds (SWFs) play such an important role in global capital markets, we continue to track their asset allocation preferences. The following report is an update to our 2015 study of SWF asset allocation. Our

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Risk-Adjusted SPIVA Scorecard: Evaluation of Active Managers’ Performance Through a Risk Lens; Year-End 2017

Risk-Adjusted SPIVA Scorecard: Evaluation of Active Managers’ Performance Through a Risk Lens; Year-End 2017

🕔17:02, 10.Jul 2018

Modern portfolio theory (MPT) states that expectations of returns must be accompanied by risk or variation around the expected return. It assumes that higher risk should be compensated, on average, by higher returns. Beyond relative performance of funds, market participants

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Beleggen om het rendement

Beleggen om het rendement

🕔15:33, 9.Jul 2018

Voor u ligt het voorjaarsnummer van het VBA Journaal. Dit keer heeft de redactie als thema gekozen “Beleggen om het rendement”. In de huidige lagerenteomgeving wordt het door veel beleggers moeilijker en moeilijker gevonden om assetklassen te vinden die acceptabele

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Report on recovery plans

Report on recovery plans

🕔15:37, 5.Jul 2018

Recovery options6 are defined as the measures that a bank can take in order to restore its financial position in a crisis situation. Ensuring that a bank has sufficient recovery options is one of the main purposes of recovery planning.

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Two questions about: Momentum

Two questions about: Momentum

🕔15:02, 4.Jul 2018

In this paper, we explore two questions: Has price momentum continued to work since Jagadeesh/Titman published their paper in 1993? Where is price momentum most effective and in what form?  In this paper, we explore two questions: Almost a quarter

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Economic & Budgetary Projections for the 28 EU Member States (2016-2070)

Economic & Budgetary Projections for the 28 EU Member States (2016-2070)

🕔15:33, 3.Jul 2018

The 2018 Ageing Report The sustainability of public finances in the EU can be better monitored and safeguarded if its analysis banks on reliable and comparable information on possible challenges, including the expected strains caused by the demographic changes ahead.

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Economic & Budgetary Projections for the 28 EU Member States (2016-2070)

Economic & Budgetary Projections for the 28 EU Member States (2016-2070)

🕔15:33, 3.Jul 2018

The 2018 Ageing Report The sustainability of public finances in the EU can be better monitored and safeguarded if its analysis banks on reliable and comparable information on possible challenges, including the expected strains caused by the demographic changes ahead.

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Cybersecurity – Turning threats into investment opportunities

Cybersecurity – Turning threats into investment opportunities

🕔17:02, 27.Jun 2018

The incidence and severity of cyberattacks has accelerated over the last couple of years. In response, spending on cybersecurity has been stepped up by governments, private enterprises and individuals alike. With the advent of tighter data privacy regulation, a rapidly

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Managing Investment Risk for the Long Term

Managing Investment Risk for the Long Term

🕔15:39, 25.Jun 2018

Insights on practitioner progress beyond short-term financial considerations  Institutional investors (such as sovereign wealth funds and government pension funds) recognize that building and stewarding wealth over long horizons requires consideration of a broad range of risks, not all of which

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First public consultation by the working group on euro risk-free rates on the assessment of candidate euro risk-free rates

First public consultation by the working group on euro risk-free rates on the assessment of candidate euro risk-free rates

🕔15:30, 21.Jun 2018

Major reference interest rates play a pivotal role in the global financial system. Declining activity in the underlying markets and challenges to the sustainability of panels contributing to these rates pose potentially serious risks to individual users of the rates

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Decarbonisation 2.0

Decarbonisation 2.0

🕔13:02, 20.Jun 2018

As investors increasingly look to incorporate Environmental, Social and Governance (ESG) criteria into their decision-making process, tackling the investment implications of a transition to a low carbon economy has been at the forefront of this movement. Investment solutions addressing the

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How do the Dutch Finance their Own House?

How do the Dutch Finance their Own House?

🕔15:35, 13.Jun 2018

CPB Background Document We investigate the major financing components which are used to purchase a house in the Netherlands. This is important to shed more light on the effects of changing lending norms. We look at the full universe of

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The international role of the euro

The international role of the euro

🕔15:28, 5.Jun 2018

This 17th annual review of the international role of the euro published by the ECB is an interim version that presents a concise overview of developments in the use of the euro by non-euro area residents. This report covers developments

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The Path Less Travelled

The Path Less Travelled

🕔04:10, 1.Jun 2018

Alternative fixed income solutions in a low yield environment Investing in fixed income is difficult. The global economy is experiencing a broad-based cyclical upswing, after many years of relatively anaemic growth in the aftermath of the Global Financial Crisis (GFC).

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Disentangling euro area portfolios: new evidence on cross-border securities holdings

Disentangling euro area portfolios: new evidence on cross-border securities holdings

🕔14:26, 23.May 2018

Statistics Paper Series This paper presents a detailed set of new, quantity-based indicators of financial integration in the euro area. The indicators are based on granular data from securities holdings statistics and help us disentangle the main drivers of the

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The End of Sovereignty?

The End of Sovereignty?

🕔08:09, 19.May 2018

Globalization, nationalism and the implications for institutional investors Never before in human history have people, information and capital moved across borders at the speed, frequency and volume we see today. These global forces have blunted the ability of individual sovereign

Read Full Article
Pre-1800 central bank operations and the origins of central banking

Pre-1800 central bank operations and the origins of central banking

🕔14:29, 15.May 2018

At present, a view on the nature and origin of central banking prevails according to which: (1) the Sveriges Riksbank and the Bank of England would have been the first central banks; (2) the basic first financial operation of central

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AI and risk management

AI and risk management

🕔16:36, 13.May 2018

Innovating with confidence  Artificial Intelligence (AI) is not a new concept, but it is only in recent years that financial services (FS) firms have started to learn about and understand its full potential. AI can drive operational and cost efficiencies,

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AI and risk management

AI and risk management

🕔16:36, 13.May 2018

Innovating with confidence  Artificial Intelligence (AI) is not a new concept, but it is only in recent years that financial services (FS) firms have started to learn about and understand its full potential. AI can drive operational and cost efficiencies,

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