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, ...
May 11, 2026
US inflation, bad but contained?
The record-breaking monthly jump in the State Street PriceStats index in March was largely mirrored in official readings (especially ex-shelter). But despite the size of that jump, there are few of easing in April. State Street PriceStats rose a further 0.9%mom nsa; a modest step down from March, but still the third-largest increase since the series began in July 2008. This pushed the annual inflation rate up beyond 4.5%, well-above the official inflation rate. The only good news is that the spike ...
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 ...
May 2026
Are We In A New Inflation Regime?
To kick off State Street’s series of global research events, we are joined by research partner Alberto Cavallo, co-founder of PriceStats and Professor of Business Administration at Harvard Business School. In this wide-ranging discussion of inflationary dynamics, we assess the last ten years of recurring price shocks and how much inflationary regimes and the price sensitivities of retailers and consumers have changed. The current impact of another energy price shock and lingering effects of last ...
May 2026
Strait Talk: Oil, Macro and the Political Economy
Wednesday’s hopeful news of a possible end to hostilities in Iran and opening of the Strait of Hormuz comes just as the macro impact of events is starting to be felt and seen in economic data. A resolution does not change the realities of high near-term inflation and the varying policy responses to it. Geopolitical disruptions are still going to resonate for some time. This week, we speak to Noel Dixon, Senior Macro Strategist at State Street Markets, on all these topics, and to position in FX markets ...
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 ...
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.