Role of Equities in a Portfolio
Capital Appreciation The main driver of long-term equity returns is capital (or price) appreciation. Equities tend to outperform other asset …
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Volatility Forecasting
Estimating a single variance that is believed to be constant is straightforward: The familiar sample variance is unbiased and its …
Exchange Rates Forecasting
Currency exchange rate forecasting is particularly difficult, causing investment managers to either fully hedge currency exposure, or accept the volatility. …
Real Estate Forecasting
Real estate is inherently quite different from equities, bonds, and cash. It is a physical asset rather than a financial …
Singer – Terhaar Model
he Singer-Terhaar model is based on two versions of the international Capital Asset Pricing Model (CAPM): one in which global asset markets are fully …
Grinold-Kroner Model
The Grinold-Kroner model states that the expected return of a stock is its dividend yield, plus the inflation rate, plus the real …
Equity Forecasting
When looking at a very long time horizon—over 100 years—mean real returns of equity markets in various countries do not …
Emerging Market Bonds
Investing in emerging market debt involves all the same risks as investing in developed country debt, such as interest rate …
Fixed Income Forecasting
There are three main ways to approach forecasting fixed-income returns. The first is discounted cash flow. This method is really …
Forecasting Asset Class Returns: Intro and Tools
Although investment opportunities are not constant, virtually all forecasting techniques rely on notions of central tendency, toward which opportunities tend …