Market-implied Consensus
Visibility into the consensus expectations embedded in market prices
Market prices aggregate a rich set of information across a diverse set of investors. AS Market-implied Consensus systematically measures the consensus views that are priced into markets across asset classes and horizons. We use advanced macro present-value modelling techniques that combine market prices with futures, swaps, and survey measures to provide clients with visibility over what is priced across asset classes, across horizons.
We extract market-implied consensus views on expected dividend growth, inflation, real interest rates, equity risk premiums, and term premiums. We infer short- and long-term views from a wide range of asset prices and financial instruments.
The estimates are available every day and delivered through modern tech platforms. Our estimates are used by a diverse set of financial professionals including CIOs, portfolio managers, researchers, and economists, who seek to understand what is priced into markets.
Key Facts
MARKET-IMPLIED CONSENSUS
Insights from ensuring market prices add up to their expected payoffs
Our advanced macro present-value modelling approach extracts the consensus macro expectations that are implicit in prices of equities, bonds, credit, and FX. By combining rich sources of information from a diverse set of financial instruments, we can separate market pricing across horizons for investors to understand what is priced over the short and long term, every day.
We extract information from asset prices, options, futures, swaps, and survey measures to provide granular visibility into what markets are pricing.
Our estimates provide clients with analytical tools to explore market pricing and decompose market moves across a wide range of asset classes and markets.
Applications
Carefully defined contrarian investing, and making sense of markets
We give investors the tools to carefully benchmark their contrarian views. Macro investors often think in terms of data surprises relative to consensus. Our analytics provide the means to explore how consensus expectations change across horizons and over time, and in response to news. This perspective is especially important for understanding and investing in long-duration assets.
Our solution provides an enhanced understanding of why market prices change, through the lens of changing macro expectations and risk premiums.
- Benchmark views on growth at different horizons relative to what is priced into US equities.
- Understand duration positioning and whether views on long-term yields depend on reversion in monetary policy repricing, term premiums or other factors.
Read more
Why are UK Gilt yields trading at high levels?
We discuss how UK yields have reached their highest levels in decades.
Macro consensus and understanding market-implied macro pricing
Applying DCF logic to extract market-implied expectations.
Estimating market-implied r-star in real time
Extracting consensus on the equilibrium rate consistent with market pricing.
Delivery & Analytics
Rich analytics and estimates of macro views implied by market prices
Available via API, with flexible delivery options including cloud and FTP — and an intuitive query builder that makes it easy to explore and retrieve exactly the data you need.
Expectations of dividend growth, inflation, real interest rates and risk premiums across markets and horizons
Decompositions of asset class performance into core macro drivers
Contact Us
Find out more
Contact us to learn more about how we can help with your asset allocation needs.
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