Quarterly Investor Memos

Discount rate variation (equivalently expected returns, risk premiums) is now at the center of asset pricing questions, from bubbles to the nature of the crash.—– John Cochrane, Presidential address to the American Finance Association.As John Cochrane notes, it is hard to understand stock price movements and related risks without taking account of variation in discount

Download Memo as PDF Stock Market Review for the First Half Year The market performance in the first half of 2023 was a surprise, to say the least. Whereas the year began with concerns about an impending recession, the market shrugged off those fears and moved dramatically upward as shown in chart below. The first half

Download Memo as PDF During the first quarter the story of both the fixed income and stock market revolved around the ongoing evolution of the yield curve. To review, the yield curve plots the yield on Treasury securities as a function of their maturity. The graph below plots the yield curves at the start of

Download Memo as PDF Retrospective As 2021 came to an end, the stock market party was going strong. The S&P 500 index closed at 4766.18 up 1,010 points or 26.9% for year to within a hair’s breadth of its all-time high. The Dow Jones (36,338) and the NASDAQ (15,645) indexes also closed near record highs. Most

Download Memo as PDF  Efficient markets              If markets are efficient in that prices always reflect fair value and expected returns on stock are constant, why would anyone need an investment manager? There are two answers. The first, put forth by Sandy Grossman and Joe Stiglitz, is that a truly efficient market is a contradiction

Download Memo as PDF Looking Back Too often financial market analysis is focused on the issue de jour – jumping from hot topic to hot topic with little reference to what was said in the past. Breaking from this tradition, this quarterly memo takes stock of what we have said in the past to provide perspective