research

Our research seeks to exploit the most recent advances in financial economics, and connects factor returns to macroeconomic conditions. Our goal is to produce and implement differential portfolio advice.

The End of Asset Price Reflation?


This paper is relevant because it explicitly ties long term returns to real growth. The paper achieves this end through the linkage between real economic growth and cash flow growth. Finally, the paper suggests that extended periods of below-trend real growth should correspond to lower expected asset returns.

Slow Growth is bad news for U.S. Pension Investors


This paper builds on our earlier work linking macroeconomic conditions to asset returns. In this paper we show that a prolonged period of below-trend real economic growth can lead to deterioration in pension funding ratios.

More Low Inflation or Stagflation? - Government Finances Provide the Clues to Future Inflation


This paper uses the government budget constraint to address the potential for future inflation. The paper shows that under our baseline of low real growth, current inflation levels are also consistent with current levels of government debt and monetary balances. However, application of the government budget constraint also suggests that increased deficits combined with decreased money growth could lead to stagflation.

Sluggish Long-Term Prospects for U.S. Economic Growth - Despite Recent Improvements in Jobs and Growth


This note puts recent positive developments in US real GDP growth in the context of factors affecting long-term real growth. It argues that long-term trend growth has declined in the US, driven by declines in Total Factor Productivity and Labor Force growth. Consequently, growth forecasts should be dampened until there are signals that TFP growth and Labor Force growth have improved.

Factor Investing And Portfolio Strategy - Scope for Differential Portfolio Advice


This paper lays a foundation for differential portfolio advice. It shows that when investor attitudes towards risk differ, their factor allocations should also vary. As on a result, this paper provides a framework for developing the investment strategies that are investor-segment specific.

Differential Portfolio Advice - Defining Investor Segments


This paper sets out a framework that can be used to develop differential portfolio advice. The paper starts by identifying assets by client segment. It goes on to argue that investment horizon can be a differentiating characteristic across investor segments.

Disruptive Forces in Asset Management - Towards Better Solutions


This paper argues that the combination of market bifurcation and new technology are disrupting the asset management business.

Factor Investing - Still a Role for Investment Skill


This paper shows there are differences in how factor returns are measured. Consequently, factor measurement and portfolio construction are critical to factor-based investing. Thus, to implement a factor-based approach, investors will still need to rely on skilled investment managers.

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