The passive investment boom and its consequences
Passive investment vehicles have been expanding rapidly over the past 10 years, with assets reaching about USD8 trillion or 20% of aggregate investment funds...
Passive investment vehicles and price distortions
The share of passive investment vehicles in financial markets has soared over the past 20 years. In the U.S. equity market it has risen...
Trend following and the headwinds of rising yields
The decline in bond yields over the past decades has supported profitability and diversification value of trend followers. Returns have been boosted by a...
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Measures of market risk and uncertainty
In financial markets, risk refers to the probability distribution of future returns. Uncertainty is a broader concept that encompasses ambiguity about the parameters of...
Nowcasting for financial markets
Nowcasting is a modern approach to monitoring economic conditions in real-time. It makes financial market trading more efficient because economic dynamics drive corporate profits,...
How banks’ dollar holdings drive exchange rate dynamics
Non-U.S. financial institutions hold precautionary positions in U.S. dollar assets as protection against financial shocks. This gives rise to a safety premium on the...