Macroeconomics

Certainly Uncertain

July 16, 2025 - Jay Hew

We certainly find ourselves in uncertain times – but how uncertain are they? We show macro uncertainty is currently high versus history. We also address whether elevated macro uncertainty is likely to persist, or if we should instead expect a return to the low uncertainty environment. Lastly, we address the implications for investors, both in terms of possible returns to traditional assets, and as to what alternatives might prosper or decline in such an environment.

White Paper

Driving with the Rear-View Mirror

January 5, 2025 - Jay Hew

U.S. equities enjoyed a banner past decade. To analyze what assumptions investors need to have about the next ten years to expect a repeat performance, we decompose U.S. equity market excess-of-cash returns into four components – dividend yield, real earnings growth, multiple expansion, and the real return on cash.

White Paper

When Stock-Bond Diversification Fails

October 27, 2024 - Scott Zinober

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

A Half Century of Macro Momentum

August 10, 2024 - Jay Hew

"Macro momentum has the potential to deliver strong positive returns with low correlation to traditional asset classes across macroeconomic and market environments. It may also provide diversification benefits in bear equity markets and rising yield environments. "

White Paper

Building a Better Global Macro Portfolio

March 1, 2024 - Jay Hew

Journal Article

Carry

November 7, 2023 - Steve Brown

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

Value and Momentum Everywhere

August 1, 2023 - Alwin Loke

We find consistent value and momentum return premia across eight diverse markets and asset classes, and a strong common factor structure among their returns.

Working Paper

Carry Trades and Currency Crashes

March 14, 2023 - Michael Byrne

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

Optimal Currency Hedging for International Equity Portfolios

December 18, 2022 - Stuart Brown

We explore currency exposures in international equity portfolios by decomposing the optimal currency portfolio into a “hedge portfolio,” which minimizes equity volatility, and an “alpha seeking portfolio” based on the well-documented currency styles of value, momentum and carry.

Journal Article

Deep Value

October 4, 2022 - Alwin Loke

We examine the efficacy of a hypothetical deep value strategy—where the valuation spread between cheap and expensive securities is wide relative to its history—across global asset classes and also provide new evidence on competing theories for the value premium.

Journal Article

International Diversification Works (Eventually)

May 1, 2022 - Alwin Loke

Critics of international diversification observe that it does not protect investors against short-term market crashes because markets become more correlated during downturns.