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May 2, 2005
How Dangerous Are Credit Default Swaps? A transcript of the April 28, 2005 conference call.
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April 13, 2005
How Dangerous Are Credit Default Swaps? Few events in modern finance have been so profound as the growth and development of the Credit Default Swap (CDS) market in the last few years. With such growth come reasonable fears that it can lead to...
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April 11, 2005
Is There Such A Thing As “Commodities”? The creation of commodity indices and the flow of funds to them as an asset class does not answer the question whether such an entity as “commodities” exists. The presence of negative...
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March 23, 2005
Does Commodity Indexation Distort Futures Markets? A subtle reason why commodity prices may not be reflective only of individual supply/demand balances and inflationary expectations is the changing nature of commodity futures markets themselves....
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March 11, 2005
Is Convexity An Issue? Given the tight ranges in mortgage coupons and the fact that interest rates are moving through the heart of these ranges, the current 50 basis point rise in yields is having a bigger impact on the duration of the mortgage index...
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March 8, 2005
Crude Oil’s Selective Impact On Stock Groups The impact of crude oil prices on relative stock market group performance can be quantified as a beta, or relative volatility measure. This in turn can be combined with an assessment of stock market...
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February 28, 2005
Mutual Fund Flows Update Total flows into foreign oriented mutual funds are poised to overtake total flows into domestic oriented mutual funds. Given mutual fund investors’ well known history for investing in a sector at exactly the wrong time,...
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February 28, 2005
Is It Really A Conundrum? A transcript of the conference call on February 24, 2005
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February 4, 2005
January Total Return Review: The Bull Flattener Does Matter! The attached tables update the total returns through January. January 2005 was unusual for its total return potential on a bullet-barbell trade within the context of a bullish flattening of...
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January 25, 2005
Mutual Fund Seasonality: Villain or Culprit? While mutual fund inflows for both stocks and bonds have an identifiable seasonality, simple reliance on averages obscures valuable information. It is the trend of seasonality over time that is important...
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January 19, 2005
U.S. Treasury’s International Capital Statistics Update Record Treasury Inflows And Outflows In November This month’s data illustrates that “foreigners” are not a monolith, they do not all act in concert. While this may seem...
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January 3, 2005
Who Isn’t Looking For Rates To Rise? Today the Wall Street Journal published its semi-annual forecasting survey of economists. The overwhelming consensus of the 55 economists surveyed was for higher 10-year interest rates by June 30, 2005.