Portfolio

Special Report

This is the first of two Special Reports aiming to answer client questions in response to the recent dramatic changes in stock-bond correlations. In this report we focus on what role US Treasurys have played since 1872, how the current regime shift in stock-bond correlation compares to 150-years of history, and how it will impact asset allocation going forward.

The model is neutral on equities, bonds, and cash. Within equities, it is underweight Japan and the US, and overweight EM and Europe.

When does rising unemployment become a bigger problem than inflation? The Fed won't cut rates until that happens, probably thwarting market hopes of big cuts in 2H.

Special Report

We measure the effects of inflation and growth cycles on the returns of various assets using the four-quadrant approach, where we classify periods into the following buckets: Slowing inflation/slowing growth (slowdown), rising growth/slowing inflation (goldilocks), rising growth/rising inflation (overheating), and slowing growth/rising inflation (stagflation). Our analysis provides insight into the coming macro environment. As growth and inflation begin to decline, the best choices for asset allocators will be fixed income, precious metals, CTAs and timberland.

MacroQuant is underweight equities and overweight bonds and cash.

Slowing growth would be bad for equities, but so would stronger growth since it would mean more rate hikes.

Special Report

Our recommendations for podcasts (on macro and markets, as well as non-work-related topics) to try over the holidays.

MacroQuant is overweight bonds, underweight equities, and neutral on cash. Within the equity universe, the model is underweight the US and overweight Japan, the UK, and Australia.

Recession is not yet fully priced in, so markets have further to fall next year. But watch for a buying opportunity in the second half.

MacroQuant is overweight bonds, underweight equities, and neutral on cash. Within the equity universe, the model is overweight Japan, India, Brazil, the US, and the UK.