Claude B. Erb

TR

CA 90272

United States

SCHOLARLY PAPERS

17

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CITATIONS
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311

Scholarly Papers (17)

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1.

The Golden Dilemma

Downloads 23,297 ( 89)
Citation 5

The Golden Dilemma

Financial Analysts Journal, vol. 69, no. 4 (July/August 2013) 10-42.
Number of pages: 48 Posted: 06 Jun 2012 Last Revised: 28 Aug 2015
Claude B. Erb and Campbell R. Harvey
TR and Duke University - Fuqua School of Business
Downloads 23,148 (86)
Citation 5

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Gold, gold price, inflation hedge, gold value, gold standard, currency hedge, gold beta, safe haven, tail protect, insurance, hyperinflation, central bank holdings, asset allocation, diversification, emerging markets, Warren Buffett, Ray Dalio, Jeffrey Gundlach

The Golden Dilemma

NBER Working Paper No. w18706
Number of pages: 49 Posted: 18 Jan 2013
Claude B. Erb and Campbell R. Harvey
TR and Duke University - Fuqua School of Business
Downloads 149 (192,759)
Citation 5

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2.

The Tactical and Strategic Value of Commodity Futures

Downloads 9,911 ( 429)
Citation 87

The Tactical and Strategic Value of Commodity Futures

Number of pages: 61 Posted: 03 Feb 2005
Claude B. Erb and Campbell R. Harvey
TR and Duke University - Fuqua School of Business
Downloads 9,549 (456)
Citation 87

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Strategic asset allocation, Tactical asset allocation, Diversification return, Roll return, Momentum, Market timing, Convenience yield, Contango, Backwardation, Normal backwardation, Commodity correlation, Commodity risk factors, Commodity term structure, Trading strategies, Overlay strategies

The Tactical and Strategic Value of Commodity Futures

NBER Working Paper No. w11222
Number of pages: 46 Posted: 29 Apr 2005 Last Revised: 01 Sep 2010
Claude B. Erb and Campbell R. Harvey
TR and Duke University - Fuqua School of Business
Downloads 362 (79,240)
Citation 87

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3.

Political Risk, Economic Risk and Financial Risk

Fuqua School of Business Working Paper No. 9606
Number of pages: 41 Posted: 08 May 2000
Claude B. Erb, Campbell R. Harvey and Tadas E. Viskanta
TR, Duke University - Fuqua School of Business and First Chicago Investment Management Co.
Downloads 5,297 (1,314)
Citation 78

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Country Risk Assessment, Mean-Reverision of Risk, Country Trading Strategies, Risk Exposure

4.

An Impressionistic View of the 'Real' Price of Gold Around the World

Number of pages: 29 Posted: 19 Sep 2012 Last Revised: 20 Sep 2012
Claude B. Erb and Campbell R. Harvey
TR and Duke University - Fuqua School of Business
Downloads 3,842 (2,309)
Citation 1

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Gold value, Gold fundamentals, Inflation, Real gold, Foreign exchange

5.

Expected Returns and Volatility in 135 Countries

Number of pages: 28 Posted: 23 Dec 2005
Claude B. Erb, Campbell R. Harvey and Tadas E. Viskanta
TR, Duke University - Fuqua School of Business and First Chicago Investment Management Co.
Downloads 1,839 (8,109)
Citation 68

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International cost of capital, country hurdle rates, forecasting volatility, forecasting correlation, country rate of return, country risk, political risk, credit ratings, risk ratings, hitting time

6.

Betting on 'Dumb Volatility' with 'Smart Beta'

Number of pages: 30 Posted: 06 Aug 2014 Last Revised: 14 Aug 2014
Claude B. Erb
TR
Downloads 1,613 (10,052)

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Smart beta, macro-consistency, multifactor, overgrazing, Sharpe, Bogle, Buffett, Fama, French, Asness, Arnott, Treynor, Ioannidis, dumb volatility, dumb volatility frontier, behavior gap, Say's law, six factor model, backtest risk, size premium, value premium, dead man's switch

7.

Gold, the 'Fear Trade' and Mr. Market

Number of pages: 25 Posted: 25 Jan 2014
Claude B. Erb
TR
Downloads 1,594 (10,234)

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Gold, gold funds, nominal interest rates, real interest rates, Warren Buffett, bond fund AUM, fear trade, Mr. Market

8.

The Golden Constant

Duke I&E Research Paper No. 2016-35
Number of pages: 10 Posted: 05 Aug 2015 Last Revised: 11 Nov 2016
Claude B. Erb and Campbell R. Harvey
TR and Duke University - Fuqua School of Business
Downloads 1,507 (11,206)

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Gold, golden constant, real gold, overshoot, gold fundamental value, inflation hedge

9.

Conquering Misperceptions about Commodity Futures Investing

Financial Analysts Journal, Forthcoming
Number of pages: 16 Posted: 21 Aug 2015 Last Revised: 23 May 2016
Claude B. Erb and Campbell R. Harvey
TR and Duke University - Fuqua School of Business
Downloads 1,436 (12,080)

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Commodity futures, price return, roll return, real return, inflation, backwardation, contango, asset class, inflation hedge, market timing, trading strategies

10.

The Incredible Shrinking 'Realized' Equity Risk Premium

Number of pages: 24 Posted: 09 Apr 2014 Last Revised: 22 Apr 2014
Claude B. Erb
TR
Downloads 1,116 (17,894)

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equity risk premium, trend equity risk premium, CAPE ratio, bonds, active funds, passive funds

11.

Momentum Has Not Been 'Overgrazed': A Visual Overview in 10 Slides

Number of pages: 10 Posted: 12 May 2014
Claude B. Erb
TR
Downloads 1,067 (19,155)

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overgrazing, Garrett Hardin, equity risk premium, size premium, value premium, momentum return, Street Car Named Desire, have to believe it to see it

12.

A Golden Bet: Gold Mining Equities versus Gold

Number of pages: 33 Posted: 19 Feb 2014
Claude B. Erb
TR
Downloads 1,042 (19,826)

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gold, gold mining equities, the real price of gold, golden constant, mean reversion, CAPE ratio, pairs trade, equilibrium, Howard Marks, Ed Leamer

13.

The Influence of Political, Economic and Financial Risk on Expected Fixed Income Returns

Number of pages: 30 Posted: 25 Oct 2005
Claude B. Erb, Campbell R. Harvey and Tadas E. Viskanta
TR, Duke University - Fuqua School of Business and First Chicago Investment Management Co.
Downloads 640 (39,302)
Citation 45

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global bond strategies, predicting bond returns, trading strategies, interest rates, political risk, economic risk, financial risk, country risk, trading strategies, active management

14.

Gold: The Best Performing Asset of the Last 3,000 Years?

Number of pages: 65 Posted: 12 Mar 2014 Last Revised: 30 Apr 2014
Claude B. Erb
TR
Downloads 632 (39,964)

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gold, real price of gold, Ray Dalio, Warren Buffett, Seth Klarman, Bill Gross, Fritz Haber, Tutankhamun, Theban real estate, Hoxne, fear

15.

The Cross-Sectional Determinants of Emerging Equity Market Returns

Number of pages: 46 Posted: 25 Oct 2005
Geert Bekaert, Claude B. Erb, Campbell R. Harvey and Tadas E. Viskanta
Columbia Business School - Finance and Economics, TR, Duke University - Fuqua School of Business and First Chicago Investment Management Co.
Downloads 505 (53,427)
Citation 15

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emerging market returns, predicting equity returns, factors, active management, market integration, asset allocation, emerging markets, time-varying integration

16.

Demographics and International Investment

Number of pages: 30 Posted: 31 Oct 2005
Claude B. Erb, Campbell R. Harvey and Tadas E. Viskanta
TR, Duke University - Fuqua School of Business and First Chicago Investment Management Co.
Downloads 361 (80,152)
Citation 12

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global investment, population, international stock returns, asset allocation, active management, risk premium

17.

The Strategic and Tactical Value of Commodity Futures

Financial Analysts Journal, Vol. 62, No. 2, pp. 69-97, April 2006
Posted: 23 May 2006
Claude B. Erb and Campbell R. Harvey
TR and Duke University - Fuqua School of Business

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Derivative Instruments, Commodity Derivatives, Alternative Investments, Commodities, Portfolio Management, Asset Allocation