Views and Analysis
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Apr 2, 2026
Permanent Capital Meets Private Markets
Jan 22, 2026
The Economic Logic of Large Language Models
Nov 5, 2025
Navigating the Green Tightrope
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, ...
Nov 12, 2025
Confidence Revisited: The Distribution of Information
By Megan Czasonis, Mark Kritzman, Fangzhong Liu, and David Turkington Relevance-Based Prediction can assess a prediction’s reliability from the consistency of the information that forms it, providing a novel perspective that complements conventional measures of confidence. Prediction is like a voting process. Each datapoint casts a “vote” for the unknown outcome, and the final forecast averages these diverse views. But to know how confident we should be in the average, we need transparency into ...
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 ...
Mar 9, 2026
When to worry about inflation?
Even prior to the jump in oil prices seen in recent days, our US PriceStats series was sending some slightly worrying messages. Rebasing the series to 100 at the start of the year we see that thus far in 2026, online price rises are running meaningfully above both the 10-yr median and the interquartile 10-yr range. Recent days have also seen the 2026 trend accelerate away from that seen in 2025. It is still early in the year and the annual change in US PriceStats series is a still relatively benign ...
Feb 25, 2026
Waiting for that JPY turn
Trying to pick a top in USDJPY has become the new widow maker trade but the conditions for a more extensive JPY rally may be appearing on the horizon. The performance of USDJPY is very much influenced by the ability, or otherwise, of Japanese investors to hedge their purchases of US Treasuries and still outperform JGB yields. Here we look at relative 10-yr yields after adjusting for the cost of a 3m hedge. It is still prohibitive for Japanese investors to buy USTs hedged relative to JGBs, but the ...
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, ...
Mar 2026
Iran Macro Risks: A Fragile Equilibrium
As the conflict in the Middle East enters a third week, markets remain uneasy but resilient. Lessons absorbed during past geopolitical shocks have so far kept this a slow-burn test of positioning and risk tolerance, rather than a volatility event with a specific breaking point. This week, we speak with Lee Ferridge, Head of Macro Strategy for the Americas for State Street Markets as to whether this equilibrium can hold. He notes the most relevant variables of investor positioning and activity and ...
Mar 2026
Strait Signals: Assessing the Iran War Risk Premium
A wider Middle East war and the closure of the Strait of Hormuz, seen for years as extreme ‘what-if’ risks, are now realities. The ranges of macroeconomic and geopolitical outcomes are as vast as they are unknowable, but reasonable future scenarios are starting to take shape. This week, we speak to Elliot Hentov, Chief Macro Policy Strategist at State Street Investment Management, about the evolving conflict in Iran and the market implications for a prolonged disruption in one of the world’s key ...
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.