Market-implied Macro
Market-implied Macro
Asset prices embed information regarding consensus expectations at the macro level. We use advanced modelling techniques to provide clients with visibility over what is priced across different asset classes and horizons.
Our estimates are useful for portfolio managers, economists, researchers and analysts in a variety of applications. We focus on timely and accurate assessments of macro pricing that can be used for monitoring markets, designing tactical macro strategies, and calibrating asset allocation models.
The importance of understanding macro pricing
Asset prices embed expectations, and it is important to understand how these expectations change over time. This is especially crucial for long duration assets that embed expectations across multiple horizons.
Our modelling toolkits are specifically designed to measure what expectations are priced into assets. We derive short- and long-term expectations that are consistent with asset prices, as well as distributions of probabilities for different return outcomes.
Monitor and understand markets
Macro forces drive cross-asset moves in markets: we provide an enhanced understanding of why market prices change through the lens of changing macro expectations and risk premiums.
Enhance tactical macro strategies
Macro investors often think in terms of how macro data will come in relative to consensus expectations. Tactical macro positioning needs to take into account how market consensus expectations change over time and in response to news.
Ensure consistency with macro pricing
Asset allocation tools, including capital market assumptions and asset market simulations, need to be consistent with what is priced into markets. Macro consensus estimates are important inputs into estimation and calibration of allocation models.
Market-implied macro identifies the macro expectations priced into markets
Expectations of dividend growth, inflation, real interest rates and risk premiums across markets and horizons
Decompose asset class performance into their core macro drivers
Estimates of equilibrium real interest rates, inflation expectations, and long-term risk premiums derived from market pricing
Market-implied macro for the largest markets and asset classes
High frequency estimates of economic growth and inflation expectations across horizons
Probabilities assigned to market outcomes across horizons implied by option prices
Learn more about Market-implied Macro
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