Research

Is private debt worth the fees?

Private debt is a booming asset class, but as always in the private markets, opacity makes it difficult for investors to understand what they are really exposed to. Our article tries to shed some light on the subject.

Fabian Scheler

February 29, 2024

How justified are the record P/E spreads in equity markets?

Average Price/Earnings multiples conceal an extreme level of valuation dispersion in Western equity markets. This is increasingly concerning.

Fabian Scheler

December 7, 2021

Investing in mean reversion works, but the devil is in the detail

Mean reverting behaviour has been observable in major stock markets for decades. Our article looks at why this is the case and how it can be exploited by investors.

Fabian Scheler

August 30, 2024

How many stocks sufficiently diversify a portfolio?

Many investors learn that the full benefits of diversification can be harvested with 20-30 stocks. However, it has been shown that this idea is based on a misunderstanding.

Fabian Scheler

November 18, 2021

How bad is the credit crunch and what does it mean for the stock market?

Financial conditions have worsened considerably on the back of tighter monetary policy. Is this a bad omen for equity markets? We think the 90s may hold the answer.

Fabian Scheler

May 9, 2023

How much risk-taking is required to beat inflation?

Can risk-free deposits and government bonds alone shield an estate from a gradual decline in purchasing power, or is buying equities a must? We took a dive into the data.

Fabian Scheler

May 3, 2024

Globalisation is a hardy beast

Globalisation has been declared dead many times but actual trade activity has defied all gloomy projections for years. Ironically, current disruptions may eventually help internationalization rather than end it.

Fabian Scheler

April 8, 2022

How accurate are the Fed's interest rate projections?

Every quarter, the FOMC publishes a set of economic projection materials, including the widely watched Dot Plot. But how much do these projections really tell us about the future path of interest rates?

Fabian Scheler

June 16, 2022

How effective are protective puts?

Systematic protective put strategies don't just suffer from the cost of the insurance premium but also provide pretty poor protection once drawdowns are not perfectly aligned with the option's lifecycle.

Fabian Scheler

August 9, 2021

Has Quantitative Tightening killed the bull market?

The massive asset purchases by central banks post-2008 have raised questions about its impact on the stock market and the risks arising once balance sheets start to shrink.

Fabian Scheler

November 1, 2023

Q1 2024 Capital Market Assumptions

What return can reasonably be expected from a given multi-asset portfolio in the medium to long term? The answer depends on various factors like aggregate valuation ratios and interest rates. Here are our latest assumptions.

Fabian Scheler

March 28, 2024

Does 1 and 1 really make 3 in value investing?

Based on various backtests, we challenge allegedly enhanced value strategies and highlight the importance of using appropriate multi-factor benchmarks for multi-factor strategies.

Fabian Scheler

April 7, 2021

Do analysts predict market returns?

Data providers like Bloomberg aggregate the target prices published by sell-side analysts to derive a marketwide consensus price target. Does the wisdom of this crowd tell us something about future returns?

Fabian Scheler

July 6, 2023

Demystifying share buybacks

In this paper we elaborate on the often misunderstood mechanics of buyback programs and show why we think that their influence and importance is widely exaggerated.

Fabian Scheler

May 11, 2021

Challenging the case for investing in India

What's not to like as an investor in an emerging economic superpower? This question has prompted us to take a critical look at the Indian economy under Modi and the stock market in particular.

Fabian Scheler

June 21, 2024

Cheap market beta is not the end of active investing

We look into the active vs passive debate from a slightly different angle, analysing and contrasting the various discretionary elements in ETF construction.

Fabian Scheler

June 8, 2021

Are bond markets smarter?

Rising credit spreads are considered a warning signal for equity markets. But how much forward-looking inference do they really allow? Our article investigates the lead/lag relationship between equity markets and credit spreads

Fabian Scheler

February 25, 2022

Beware of the lies of history

Analyzing historical data comes with a lot of pitfalls. This publication looks into the revision of macroeconomic data and its impact on observed correlation and lead/lag relationships.

Fabian Scheler

July 9, 2021