When the Dust Flies
Examining how volatility events and post-peak events, across a 68-year span, affect asset class performance.
The Probability of Recession
Jun 5, 2020
A Critique of a New Forecasting Technique
While many recession prediction models were sanguine in late 2019, a new forecasting tool, using Mahalanobis distance as a measure of recession probability, did flash red for a short time, but then quickly signaled “all clear.” Prompted by this unexpected sharp increase in recession probability and subsequent, equally sharp reversal, PGIM’s Institutional Advisory & Solutions (IAS) team breaks down the strengths and weaknesses of this new forecasting methodology. In this new research publication, the team also examines the metric’s potential as a market timing tool.
More Insights from IAS
What is the Optimal Number of Equity Managers?
Introducing the Manager Allocation Programming (MAP) tool to help CIOs efficiently combine managers of different strategies.
Forecasting Long-Term Equity Returns
Evaluating the out-of-sample historical performance of two common approaches, or methodologies, for estimating 10-year equity market returns.