Views and Analysis
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Apr 15, 2026
The Fallacy of Concentration
Apr 2, 2026
Permanent Capital Meets Private Markets
Jan 22, 2026
The Economic Logic of Large Language Models
Apr 24, 2026
How do Global Portfolio Investors Hedge Currency Risk?
We study how institutional investors hedge foreign exchange risk using more than 25 years of monthly portfolio data from a global custodian, matching asset holdings with FX forward positions for U.S.- and non-U.S.-based investors. Fixed-income investors hedge more than equity investors, non-USD investors hedge more than USD investors, and hedging has risen markedly since 2008. Many investors appear to target and rebalance toward stable hedge ratios. Hedge ratios are related to carry, volatility, ...
Feb 19, 2026
Model Fingerprint
In this paper, we propose a novel model interpretability framework named Model Fingerprint. It is a bottom‑up approach to explaining machine learning models that shifts the focus from assigning feature importance to uncovering the logical structure that drives predictions. While attribution methods such as SHAP faithfully quantify how important each feature is, importance alone is a limited set of lens – much like trying to understand a movie by listing how significant each character is without ...
Dec 8, 2025
The cost of clearing repo analysis
The forthcoming SEC mandate for central clearing of U.S. Treasury repo transactions by 2027 is expected to materially alter market structure, particularly for buy‑side cash lenders such as money market funds (MMFs). Using a month‑end panel of MMF holdings from 2020–2025, we estimate the cost of clearing, defined as the spread between uncleared and cleared repo rates, and examine its drivers in a regression framework. We find that higher FICC Sponsored volumes are associated with lower clearing costs, ...
Apr 28, 2026
Asset markets are not pricing stagflation risk, unless…
As we discuss in the latest Mr.Risk, Will equity and bonds run out of time?, Stagflation, simply defined by below trend growth and above-trend prices as captured by the ISM survey, is the usually the worst macro environment for equities over the past 30-years. And in theory, bonds should be a good diversifier in this environment. For now, markets seem to be betting that stagflation will not arrive in 2026, but if it does, the bottom line is that investors are certainly not positioned for it. Unless ...
Apr 8, 2026
Starting to be felt
While February’s US retail sales report proved stronger than expected, it might be the last consensus beater for some time. This week saw average US gas prices rise above $4 for the first time since August 2022. Prior to the Covid reopening spike, we need to go back to 2008 to find the last time gas prices nationally breached $4. Prices have risen by $1.08 since the day before the Iran conflict started. It is estimated that a $1 rise raises household gasoline costs by $700-900 per year or, around ...
Mar 30, 2026
US inflation returns to a gallop, at least for a month
For inflation to be galloping it typically needs to be rising at double or even triple digit rates per year. To be clear we are not there yet, but March’s 1.2%mom rise (nsa), easily annualises to something as troubling. As expected much of this is energy prices and as we argued at the beginning of the month (here), March 2022 is proving a good benchmark. Twenty-four days of data into March 2026, if anything, inflation looks a little worse. We also note seasonally strong increase in the electronics ...
Apr 2026
US Stocks: Stick or Twist?
Short-term market conditions remain subject to the headlines. Long-term questions of US equity market performance and whether investors require a rethink of their asset allocation preferences are the same and as valid today as they were before the eruption of Middle East hostilities. This week, Dan Gerard, senior multi-asset strategist for State Street Markets, talks to us about a new piece on the US stock market and whether concentration and valuation risks are as acute today as they were earlier ...
Apr 2026
Iran: They Think It’s All Over
In a decade full of seismic geopolitical events, the conflict in Iran had the potential to rank amongst the most impactful. Yet financial markets never priced it as more than a fleeting instance of volatility. And now, the most severe dislocations are almost fully closed with the onset of talks to deescalate tensions. Question marks remain over energy supplies and the macroeconomic impacts of higher equilibrium oil and gas prices. This week, Peter Vincent, head of FX trading for EMEA at State Street ...
Apr 2026
Crude Awakening: Rate Markets In An Energy Crisis
Many of the consequences of the latest disruption to global energy supply have yet to surface. While oil has been the immediate focus, volatility across global interest rate curves is emerging as an equally consequential second-order effect. Markets are rapidly reassessing the scale and timing of inflation and growth shocks – and how central banks are likely to respond. Whether this period of upheaval deepens worries already evident in credit markets is a further concern. This week, Marvin Loh, ...
Feb 2026
A step on the brakes
Holdings Institutional portfolios stayed strongly tilted towards equities, with stock allocations at their highest since 2007 and bond allocations at their lowest since 2008, while the US remained a clear regional overweight. Risk Appetite Risk appetite eased back to neutral after a mid month lift, as Fed uncertainty and liquidity concerns encouraged a more cautious mix, with selective risk still expressed in emerging market bonds and FX and high yield versus investment grade.
Dec 2025
Investors neutral amidst data uncertainty
Holdings Institutional portfolios remain heavily overweight in US equities and technology, favouring quality, growth and large caps, with stock allocations at an eighteen‑year high and bonds and cash still out of favour. Risk Appetite Risk appetite has eased to neutral as investors rotate out of cyclicals and commodities into defensives and the US dollar, while still taking selective risk in high yield credit and technology rather than retreating from equities.
Nov 2025
One Step Forward, One Step Back
Holdings Institutional portfolios remain heavily overweight in US, Tech, and growth oriented styles, with stock allocations at an 18-year high. Risk Appetite The risk appetite index has dropped to neutral as investors rotate out of cyclicals and commodities into defensives and the US dollar.
1. Peter L. Bernstein Award for Best Article in an Institutional Investor Journal in 2013; Bernstein-Fabozzi/Jacobs-Levy Award for Outstanding Article in the Journal of Portfolio Management in 2006, 2009, 2011, 2013 (2), 2014, 2015, 2016, 2021; Graham & Dodd Scroll Award for article in the Financial Analysts Journal in 2002 and 2010. Roger F. Murray First Prize for Research Presented at the Q Group Conference in 2012, 2021, 2023. Harry M. Markowitz Award for Best Paper in the Journal of Investment Management in 2022, 2023. Doriot Award for Best Private Equity Research Paper in 2022.