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White Paper
When Stock-Bond Diversification Fails
October 27, 2021
The events of 2020 to 2021 have increased uncertainty around the future path of inflation. We review how different inflationary outcomes can impact investor portfolios and evaluate what assets and strategies may enhance portfolio resilience to inflation.
White Paper
Inflation Outlook: the Macro, the Micro, the Transitory
October 27, 2021
Financial markets have had a relatively muted reaction to the recent bout of higher than expected inflation. We assess what might explain markets’ sanguine response. We explain why we believe there are factors suggesting a return to low inflation readings is unlikely in the near term, and what the investment implications might be of such a scenario.
White Paper
Fundamental Trends and Dislocated Markets: An Integrated Approach to Global Macro Investing
April 16, 2019
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
Carry
November 7, 2013
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.
Working Paper
Trade, Exchange-Rate Exposure and the Currency Composition of Debt
December 1, 2012
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.
Working Paper
Carry Trades and Currency Crashes
November 1, 2008
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.
Journal Article
Quantitative Forecasting Models and Active Diversification for International Bonds
December 1, 2002
Extensive empirical evidence documents relatively consistent if modest predictability in excess bond returns and excess currency returns.
Journal Article
Political Risk in Emerging and Developed Markets
May 1, 1996
The often-observed link between dramatic political events and large market moves suggests that political risk can affect stock returns.
Journal Article
Time-Varying Expected Returns in International Bond Markets
June 1, 1995
A growing body of literature describes predictable variation in U.S.