One Lincoln Street
Boston, MA 02111-2900
United States
State Street Global Markets
Autocorrelation, Co-occurrence, Divergence, Full-scale Optimization, Informativeness, Lagged Cross Correlation, Mahalanobis Distance, Mean-variance Analysis, Multi-horizon Optimal Portfolio, Parametric Optimization, Pearson Correlation, Turbulence
inflation, hedging, investing
Baum-Welch Algorithm, Euclidean Distance, Hidden Markov Model, Mahalanobis Distance, Markov process, Regime Characteristic, z-score
Bivariate normal distribution, conditional correlation, correlation asymmetry, correlation profile, exceedance correlation, full scale optimization, mean variance optimization, tail dependence
Fundamental risk, Leverage multiple, Leverage myth, Mean-variance analysis
Business cycle, Coincident indicator, Conference Board, KKT Index, Lagging indicator, Leading indicator, Mahalanobis distance, NBER, Robust growth, Recession, Statistical similarity, Yield curve
Auto-correlation, Cross-correlation, Excess dispersion, High-frequency estimation, Information ratio, Low-frequency estimation, Risk parity, Security market line, Sharpe ratio, Square root of time, Tracking error
Auto-correlation, Comparative statics, Cross-correlation, Excess dispersion, High-frequency estimation, Independent and identically distributed, Iso-expected return curve, Low-frequency estimation, Tracking error, Triannualized, Variance ratio
Asset class alpha, Excess return, First mover advantage, Illiquidity premium, Lock up, Pseudo private equity, Risk-equivalent return, Shadow allocation, Shadow asset, Shadow liability, Stepwise regression
Correlation surprise, turbulence