In “The Best Strategies for Inflationary Times,” the authors analyze nearly a century of financial data from the US, UK, and Japan to identify investment approaches that have historically performed well during periods of high and rising inflation.
In their seminal paper, “The Fundamentals of Commodity Futures Returns,” authors Gary B. Gorton, Fumio Hayashi, and K. Geert Rouwenhorst investigate the fundamental determinants of commodity futures returns.
In “Honey, I Shrunk the Trend-Following,” authors Yash Panjabi and Graham Robertson examine how shifts in bond-equity correlations have challenged the traditional 60/40 portfolio model.
In their paper the authors examine how predetermined currency fixings in Tokyo, Frankfurt (European Central Bank), and London impact high-frequency FX market dynamics.
ReSolve Asset Management’s “Portfolio Optimization for Efficient Stock Portfolios: Applications and Directions” encourages investors to rethink traditional asset allocation models.