Like other predictive measures such as economic outlooks, inflation expectations and central bank policies, starting valuation plays an important role in forecasting investment returns. In this research, we look at the US high yield credits (US HY) and US equities to find out how starting valuations have historically predicted future returns, where current valuations are, and what they could imply for future returns.
Our key findings include:
By Michael Demilio, Senior Manager, Marketing, Investment & Wealth Solutions
US retail investors demand more index insights from advisers despite perfect macro climate for active
The Russell 2000® Index has been overwhelmingly embraced as the small cap index of choice for measuring the small cap market segment and serving as the basis for the creation of small cap investment products.
By Mark Barnes, PhD, and Christine Haggerty, Global Investment Research
Amid the worst rout for US stocks in more than a decade, Value stocks showed impressive staying power, finishing in 2022 with far smaller losses than their Growth counterparts and the US market overall.
By Miles Li & Luke Lu, Yield Book Research
The collateralized loan obligations (CLO) market seems likely to face a further deterioration in credit and collateral environment in 2023 amid high inflation, higher interest rates, and the looming threat of a global recession.
While employed as a linchpin for models that incorporate primary/secondary mortgage rate spreads, which ultimately charts prepayments, the CMM102 coupon has been equally as volatile as the markets It underpins, raising questions over the validity of its inherent characteristics.
In this paper, we conduct a theoretical examination of CMM102 to explore the option of incorporating liquidity scoring to strengthen price interpolation for the CMM102 coupon.
By Mark Barnes, PhD, and Christine Haggerty, Global Investment Research (GIR)
Among the more notable twists of this year’s raucous third quarter was the upending of the long-running underperformance of the US Growth indexes versus their Value counterparts.
QUARTERLY REPORT - OCTOBER Q3 2022
Small-caps and Growth gain edge amid Q3 market whiplashing.
Highlights:
By Katie Prideaux, Yield Book's Sustainable Investment Analytics Lead
The securitization market accounts for over a quarter of the fixed income sector in the US, and yet integration of environmental, social and governance (ESG) measures remains a work in progress. Although the financial crisis of 2008 highlighted major need for responsible lending and servicing behaviours, predatory practices such as loan churning and excessive rates have shown to remain.
The market faces a unique set of challenges including: