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Working Paper

Global Return Variation

This paper presents evidence on the efficiency of global equity markets. Starting from the knowledge that markets are imperfectly efficient, our analysis seeks to determine to what degree the markets are inefficient.

Working Paper

Trade, Exchange-Rate Exposure and the Currency Composition of Debt

Using a firm-level dataset of traded Mexican firms, this paper develops a quantitative structural model of trade and the currency composition of debt for firms in a small open economy with exchange rate risk.

Journal Article

Time-Varying Expected Returns in International Bond Markets

A growing body of literature describes predictable variation in U.S.

White Paper

Fundamental Trends and Dislocated Markets: An Integrated Approach to Global Macro Investing

We explore the benefits of combining two approaches to Global Macro investing – one systematic and the other opportunistic – into a single integrated strategy.

Journal Article

Quantitative Forecasting Models and Active Diversification for International Bonds

Extensive empirical evidence documents relatively consistent if modest predictability in excess bond returns and excess currency returns.

Working Paper

Carry Trades and Currency Crashes

Is there a strong link between a currency carry strategy and crash risk? We find that investing in high-interest-rate currencies while borrowing in low-interest-rate currencies delivers negatively skewed returns.

Working Paper

An Anomaly in the Topix-Nikkei Spread

Journal Article


An asset’s “carry” is its expected return assuming that market conditions, including its price, stay the same. We find that carry predicts returns both in the cross section and time series for a variety of different asset classes.

Journal Article

Political Risk in Emerging and Developed Markets

The often-observed link between dramatic political events and large market moves suggests that political risk can affect stock returns.

Chief Investment Quarterly

Fed Policy Plays Catch-Up

Markets surged ahead in the first quarter largely in reaction to central bank policy that was more dovish than expected. However, markets may not fully appreciate the Fed’s ability to generate inflation.