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Chief Investment Quarterly
Late Cycle Syndrome
September 18, 2019
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.
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.
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.
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
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.
Working Paper
Global Return Variation
January 1, 1995
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.
Chief Investment Quarterly
Fed Policy Plays Catch-Up
May 8, 2019
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.
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
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.