Introducing the new generation of Capital Market Assumptions
Addressing shortcomings in the existing CMA landscape.
Allocation Strategy
Insights
Stay up-to-date on our latest research and views on asset allocation topics:
Insights
Insights
Introducing the new generation of Capital Market Assumptions
Addressing shortcomings in the existing CMA landscape.
Insights
Common macro drivers across asset classes
Constructing factors derived from discounted cash flow logic.
Insights
How should you model long-horizon expectations?
Long-horizon modelling is essential for pricing and risk assessments of long-duration assets.
Insights
Forward-looking assessment of risk and return
How to redefine expected returns and risk given limits to analysing historical returns.
Insights
Your investor characteristics and objectives can be quantified
Using portfolio simulations to help investors understand allocation decisions.
Insights
How to think about risk and its drivers at different horizons
Asset return distributions change with investment horizon.
Research Publications
Research Publications
Real Estate Exposures to Bond and Equity Return Drivers
Journal of Alternative Investments (2024)
Research Publications
Simulating Long-Horizon Returns on Government Bonds
Journal of Fixed Income (2024)
Research Publications
Understanding International Long-term Interest Rate Comovement
Advances in Econometrics (2022)
Research Publications
Financial Market Volatility, Macroeconomic Fundamentals and Investor Sentiment
Journal of Banking and Finance (2018)
Research Publications
Information in the Term Structure of Yield Curve Volatility
Journal of Finance (2016)
Research Publications