Empirical Evidence on the Stock–Bond Correlation
R Molenaar, E Sénéchal, L Swinkels… - Financial Analysts …, 2024 - Taylor & Francis
The correlation between stock and bond returns is a cornerstone of asset allocation
decisions. History reveals abrupt regime shifts in correlation after long periods of relative …
decisions. History reveals abrupt regime shifts in correlation after long periods of relative …
New Zealand long-term equity returns and their determinants
We document several aspects of New Zealand's long-term equity returns over the 156 years
from 1867 to 2022. Remaining invested in the market has been an effective strategy …
from 1867 to 2022. Remaining invested in the market has been an effective strategy …
A Century of Macro Factor Investing-Diversified Multi-Asset Multi-Factor Strategies through the Cycles
A Swade, H Lohre, MB Shackleton… - Sandra and Shackleton …, 2024 - papers.ssrn.com
We diversify an investment portfolio across macroeconomic factors that are mimicked by
investable asset classes and style factors. Using a century of global data we analyze the …
investable asset classes and style factors. Using a century of global data we analyze the …
Asset allocation via life-cycle adjusted PPI strategy: evidence from the US and China stock market
In this article, we extend the Proportion Portfolio Insurance (PPI) strategy by a life-cycle
adjusted multiplier to adapt to the scenario of multi-period investment with continuous cash …
adjusted multiplier to adapt to the scenario of multi-period investment with continuous cash …
Factor timing in the Chinese stock market
Y Wu - International Studies of Economics, 2023 - Wiley Online Library
I conduct an exploratory study about the feasibility of factor timing in the Chinese stock
market, covering 24 representative and well‐identified risk factors in 10 categories from the …
market, covering 24 representative and well‐identified risk factors in 10 categories from the …
Regime-Based Strategic Asset Allocation
E Bouyé, J Teiletche - Available at SSRN 4801115, 2024 - papers.ssrn.com
What should investors do in the presence of economic regimes? Researchers and
practitioners usually address this topic from a tactical asset allocation point of view. In this …
practitioners usually address this topic from a tactical asset allocation point of view. In this …
Stagflationary pressures in the condition of global economic shocks
J Pejčić, A Sekulić, O Glavaški - Anali Ekonomskog fakulteta u …, 2024 - scindeks.ceon.rs
This paper analyses the key macroeconomic repercussions of the global pandemic and
geopolitical crisis in terms of growing recessionary and inflationary pressures, and finally …
geopolitical crisis in terms of growing recessionary and inflationary pressures, and finally …
[PDF][PDF] De invloed van inflatie op aandelen, obligaties en factoren
G Baltussen, QFI bij Robeco, L Swinkels… - cfasociety.nl
Inflatie is een belangrijk thema voor beleggers. Een veel voorkomende vraag is dan ook wat
de impact van inflatie op beleggingsrendementen is. Uit psychologische studies weten we …
de impact van inflatie op beleggingsrendementen is. Uit psychologische studies weten we …