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Excess Returns
Understanding the Changing Macro Landscape with Warren Pies and Fernando Vidal
Nov 9, 2023
Warren Pies and Fernando Vidal from 314 Research discuss their systematic macro process, treasury issuance, Fed policy, changing correlation between stocks and bonds, drawdown prediction model, and outlook for housing. They also emphasize the importance of commodities in macro research and share insights on the challenges in the housing market and implementing their drawdown risk model.
01:00:35
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Quick takeaways
- Analyzing the duration of treasury issuance is crucial in understanding the impact of quantitative tightening (QT) and the macroeconomic environment.
- Recent changes in the market have led to a positive correlation between stocks and bonds, which has significant implications for portfolio construction and risk management.
Deep dives
The importance of duration of treasury issuance in macro analysis
Analyzing the duration of treasury issuance is crucial in understanding the impact of quantitative tightening (QT) and the macroeconomic environment. The Federal Reserve's reduction of quantitative easing (QE) removes duration from the market, while QT introduces duration back into the market. This makes it essential to follow the actions of the Treasury in terms of the type of debt it issues. The Treasury's decisions on duration can blunt or enhance the impact of QT on the market.
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Discover
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