This month’s ALM Insights is a return to one of my favorite topics, bond market liquidity. In the September 2013 issue I wrote Liquidity as a Risk Factor – which highlighted the impact that liquidity can have on expected return. I wrote on liquidity again in the June 2015 issue in Is Bond Market Liquidity Gone? – where I looked into how market liquidity can change over time. Well the… Read More
Private equity is in the news quite a bit, but finding the returns for this asset class is somewhat more challenging. There are a lot of stories about mega returns, but as they say at the University of Chicago, multiple anecdotes don’t make data. Until recently, I only had small windows into the world of private equity returns. First, when private equity management firms like Blackstone, KKR, and the Carlyle… Read More
One of the big concerns coming out of the financial crisis was runaway inflation. Central banks around the world were buying bonds on a massive scale, which is effectively equal to printing money. In 2010, a group of highly respected economists and investors, including Cliff Asness, Richard Bove, Niall Ferguson, James Grant and John Taylor, wrote an open letter to then Fed Chair Ben Bernanke, arguing against more quantitative easing… Read More
Click here to view 3Q 2016 Participant Insights
The end of summer was notably quiet, but summer is over and judging from Friday’s market reaction, it appears that volatility may be back. The chart below shows the expected volatility priced in to options as measured by the Chicago Board of Exchange (CBOE) Volatility Index (VIX). You can see the volatility was high at the start of the year when we suffered a 10 percent correction. Expected volatility cooled… Read More
Several years ago, I was convinced that bond yields were likely to move higher simply because they were at historic lows. As time went on and bond yields fell to even more historic lows, I changed my tune. People asked me how much lower they could go and while I didn’t really know the answer, I would simply quote the yields in Germany and Japan, which were lower. Then, I… Read More
