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Research Papers

A collection of our white papers and peer-reviewed research articles related to macro / multi-asset investor behavior, hedging, risk regimes, liquidity risk, private assets, portfolio construction, and more.
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Research Papers

A collection of our white papers and peer-reviewed research articles related to macro / multi-asset investor behavior, hedging, risk regimes, liquidity risk, private assets, portfolio construction, and more.
image

Research Papers

A collection of our white papers and peer-reviewed research articles related to macro / multi-asset investor behavior, hedging, risk regimes, liquidity risk, private assets, portfolio construction, and more.
Jun 2, 2023
State Street 2023 Summer Sessions

Join us for the 2023 State Street Summer Sessions Webinar Series

 

Time to review the fundamentals of finance and investing! Even ...

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May 25, 2023
Event Time

By Megan Czasonis, Mark Kritzman, and David Turkington

 

We measure investment returns based on the passage of meaningful events rather than just counting the days. 

 

From a calendar perspective, every day or month is the same as any other day or month. However, from an event perspective, some periods are more meaningful than others. For example, we arguably experienced more in the Covid-induced upheaval of March 2020 than we do in most years. For investors, meaningful events are important, because they may cause asset prices to change. Based on thi...

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May 8, 2023
Portfolio Construction When Regimes Are Ambiguous

By Mark Kritzman, Cel Kulasekaran, and David Turkington.

 

We introduce a more flexible way to forecast risk and return based on the most relevant historical periods.

 

As economic regimes shift, investors who choose to adapt must build portfolios that match their evolving view of the future. Forecasts of asset risk and return should account for regime-specific ...

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Apr 4, 2023
Quantifying Narratives and their Impact on Financial Markets

By Rajeev Bhargava, Xiaoxia Lou, Gideon Ozik, Ronnie Sadka and Travis Whitmore 

 

We introduce a unique media-based measure of narratives, called thematic indicators, and explore how they can be used to improve asset allocation and achieve desired thematic exposures.

 

This paper introduces a media-coverage-based approach to quantify narratives and develops methodologies to explain the extent to...

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Mar 13, 2023
Stock Vulnerability and Resilience

By Megan Czasonis, Huili Song, and David Turkington

 

We use a statistical method that combines a stock’s attributes in a nonlinear and conditional way in order to predict its relative vulnerability or resilience to market drawdowns.

 

By definition, a stock market crash corresponds to a severe, market-wide drawdown. However, below the surface, there is often considerable dispersion in th...

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Feb 28, 2023
Climate Solutions Investments

By Alexander Cheema-Fox, George Serafeim, and Hui (Stacie) Wang

 

Beyond carbon avoidance. A look at investing in firms with “pure-play” climate solutions.

 

An increasing number of companies are providing products and services that help reduce carbon emissions in the economy. We develop a methodology to identify “pure-play” climate solutions companies and construct portf...

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Dec 21, 2022
Relevance-Based Prediction

By Megan Czasonis, Mark Kritzman, and David Turkington

 

Statistics and intuition converge with the concept of “relevance”.

 

We introduce a prediction system based on assessing the relevance of prior outcomes for future predictions, and describe the advantage it brings to both simple and complex quant models.

 

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Nov 7, 2022
Measuring Market Froth

We define equity markets and sectors to be “frothy” when the probability of a future drawdown in prices is high. Using simple panel regressions, we analyze data across 80 countries and 400 country-sectors to identify and evaluate which factors--including issuance, volatility, the price path, and flow-based factors-- are most predictive of future sector-level drawdowns. We translate our predictive model into indicators for sector- and market-level froth.

Nov 2, 2022
Quantifying Narratives and their Impact on Financial Markets

By Rajeev Bhargava, Xiaoxia Lou, Gideon Ozik, Ronnie Sadka and Travis Whitmore 

 

We introduce a unique media-based measure of narratives, called thematic indicators, and explore how they can be used to improve asset allocation and achieve desired thematic exposures.

 

This paper introduces a media-coverage-based approach to quantify narratives and develops methodologies to explain the extent to...

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Sep 15, 2022
State Street 2022 Summer Sessions

Time to review the fundamentals of finance and investing! Even the most sophisticated investors can benefit from an occasional tune up. Watch replays from the 2022 State Street Summer Sessions webinar series, where our team of academic and industry experts went back to basics and covered the core principles of modern investing. Connecting theory to practice, our presenters put trends like in...

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