Showing 1 - 10 of 13 results

Sort By
  • Relevance
  • Newest
  • Oldest

White Paper

Inflation Outlook: the Macro, the Micro, the Transitory

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

When Stock-Bond Diversification Fails

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.

Chief Investment Quarterly

Late Cycle Syndrome

The concern that the economy is nearing the end of its expansion phase has important implications for investors. We take a look at the data on “late cycle” indicators to see what they really tell us.

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.

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

Carry

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

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

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

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.