Bank Balance Sheets Predict Bond Returns
(3 min read)
Investors often try to use flow and positioning data to forecast market returns, whether in bond, equity, or other asset markets. The challenge is to find data that aids prediction rather than just backward-looking explanation. The academic paper, ‘The Banking View of Bond Risk Premia’, by UCLA’s Valentin Haddad and Berkley’s David Sraer suggests that, at least for bond markets, looking at the balance sheets of banks could do just that: predict bond returns...
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