Systematic Global Macro Investing with GMO’s Martin Emery
Excess Returns
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Is the Balance Sheet Expansion Really Helping the Markets?
We're looking at a time period here where the markets are extremely expensive, they're vulnerable because there's a lot of other... It's expensive to start with. Perhaps these bubbles just haven't been able to burst a little bit or let off steam I suspect in my own personal view is that we've put so much money supply and so much liquidity in the markets. The opportunities for macro alpha which derives most of its return from relative value in cross sectional trades are the best we've seen in the 20-year history of running the SGM and systematic global macro portfolio. If these are to revert to some level or you come back perhaps a more normal ratio or differential that is incredibly high
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