Investors face numerous challenges when seeking to estimate the prospective performance
of a longonly investment in commodity futures. For instance, historically, the average …

Given the increasingly global nature of investment portfolios, an understanding of country risk
is very important. This article addresses the economic content of five different measures of …

An important component of asset allocation decisions is the future correlation structure of
equity returns. Other studies have found that correlations change through time. Examination of …

Research on emerging equity markets has suggested a number of empirical regularities: high
volatility, low correlations with developed markets and within the emerging markets, high …

We analyze expected returns and volatility in 135 different markets. We argue that country
credit risk is a proxy for the ex-ante risk exposure of, particularly, segmented developing …

ne of the most difficult tasks in tactical global asset allocation is to assess, in a meaningful
way, the risk exposure of a national market. Traditional factor models, while reasonably …

Although gold has been around for thousands of years, its role in diversified portfolios is not
well understood. The authors critically examined such popular stories as “gold is an inflation …

Historically, commodity futures have had excess returns similar to those of equities. But
what should we expect in the future? The usual risk factors are unable to explain the time-series …

Regulatory changes, currency devaluations, failed economic plans, coups, and other
national financial shocks are notoriously difficult to predict, and may have disastrous …

Although much has been written about inflation and stock returns in the United States and the
United Kingdom, little is known about the impact of inflation on a broader menu of countries…