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Jan 22, 2026
The Economic Logic of Large Language Models
Nov 5, 2025
Navigating the Green Tightrope
Oct 9, 2025
A Transparent Alternative to Neural Networks
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 ...
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 ...
Oct 14, 2025
The Fallacy of Concentration
By Mark Kritzman, and David Turkington Evidence shows that concentrated market capitalization weights do not make an index riskier, because larger stocks are inherently more diversified and their increased weights are offset by their lower volatility compared to small stocks. The dominance of large tech firms in market-cap-weighted indices has sparked recent concern about concentration risk, but historical data and empirical analysis suggest these fears may be unfounded. A review of nearly 90 ...
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 ...
Feb 9, 2026
The rotation into EM
The MCSI EM’s relative performance to EAFE in daily price changes since the beginning of 2025 is a tale of time periods. EM underperformed up to and beyond the announcement on “Liberation Day”. However, subsequent price action underscores the significance of the push into EM, rather than Europe and Japan, since Q3 2025. This divergence has become even more pronounced through January.
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 ...
Mar 2026
The Great Rotation: Stocks Under the Surface
While geopolitical uncertainty dominates headlines, this week’s episode digs deeper into themes driving markets before the weekend’s events – particularly the sharp rotation in equities in 2026 and the reassessment of crowded AI-linked trades and their fundamental drivers. Cayla Seder, senior multi-asset strategist at State Street Markets, speaks to the shifting market perceptions around AI, the scale of investment spending, the growing role of debt financing in the tech sector and how technology’s ...
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.