AS Insights
Allocation Strategy
Market-Implied Macro
AS Market-implied Macro estimates provide visibility over what markets are pricing across asset classes and horizons.
Allocation Strategy
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.
Asset Price
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Expected Cash Flow
Real Rate
Expected Inflation
Risk Premium
Year 1
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Expected Cash Flow
Real Rate
Expected Inflation
Risk Premium
Year 2
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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 should also 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.
Coverage
Market-implied Macro identifies the macro expectations priced into markets
Macro Expectations
Expectations of dividend growth, inflation, real interest rates and risk premiums across markets and horizons
Market Drivers
Decompose asset class performance into their core macro drivers
Long-term expectations
Estimates of equilibrium real interest rates, inflation expectations, and long-term risk premiums derived from market pricing
Key coverage
Market-implied macro for the largest markets and asset classes
High frequency macro
High frequency estimates of economic growth and inflation expectations across horizons
Market-implied probabilities
Probabilities assigned to market outcomes across horizons implied by option prices
Learn more about Market-implied Macro
Contact us to learn more about Market-implied Macro and other services.
Related Content
Articles and insights related to our Market-implied Macro solutions.
