Applied Demonstration Portfolios
Where the rubber meets the road
It's not often that economic forecasting can translate directly, on a rules-based basis, into tangible portfolio construction. Our unique combination of monetary economics and hedge fund experience allows us to apply our skillset in developing notional demonstration portfolios, the performance of which we track over time.
This is where we test - on a transparent basis - the research ideas that we have generated over decades of analysis and we validate or invalidate these ideas.
We move from theory and analytics to practical portfolio construction decisions. We do this by taking the leading forecasting indicators we have developed and then deriving specific, rules-based signals and asset weightings based on these indicators. Simply put, an indicator value of "X" translates to an asset allocation configuration of "Y".
The indicators that generate our economic forecasts produce buy/sell signals and asset weightings for stock indices, sectors, bonds, property, commodities and currencies - on a monthly or quarterly basis. This is a seamless, rigorous transition from economic forecasting to portfolio management.
This has allowed us to showcase the utility and replicability of the analytical tools we have built and their relevance to real-world investment management. To repeat, our forecasting is specifically designed to be actionable.
We maintain over 20 different notional portfolios covering numerous geographies and asset classes and a selection of these portfolios is shown below. As well as our off-the-shelf portfolios we also develop portfolios for clients based on their particular requirements.
Our portfolios are driven by quantitative analysis of economic and market data and are based on money and credit theory. As such they are systematic-fundamental rather than systematic-technical in nature.
Our portfolios for gold and currencies do contain a technical/momentum component overlaying the fundamental drivers.
In summary, we generate economic forecasts and then produce a concrete set of asset allocations which has historically performed well in the environment predicted by those forecasts. This is then run - live - on a notional basis with portfolios and performance regularly updated and recorded.
The accuracy of our forecasting is reflected in the performance of our demonstration portfolios.
Please feel free to contact us for further information about our demonstration portfolios - and our customised portfolio services - and how these may be able to assist you in your investment decisions.
It's not often that economic forecasting can translate directly, on a rules-based basis, into tangible portfolio construction. Our unique combination of monetary economics and hedge fund experience allows us to apply our skillset in developing notional demonstration portfolios, the performance of which we track over time.
This is where we test - on a transparent basis - the research ideas that we have generated over decades of analysis and we validate or invalidate these ideas.
We move from theory and analytics to practical portfolio construction decisions. We do this by taking the leading forecasting indicators we have developed and then deriving specific, rules-based signals and asset weightings based on these indicators. Simply put, an indicator value of "X" translates to an asset allocation configuration of "Y".
The indicators that generate our economic forecasts produce buy/sell signals and asset weightings for stock indices, sectors, bonds, property, commodities and currencies - on a monthly or quarterly basis. This is a seamless, rigorous transition from economic forecasting to portfolio management.
This has allowed us to showcase the utility and replicability of the analytical tools we have built and their relevance to real-world investment management. To repeat, our forecasting is specifically designed to be actionable.
We maintain over 20 different notional portfolios covering numerous geographies and asset classes and a selection of these portfolios is shown below. As well as our off-the-shelf portfolios we also develop portfolios for clients based on their particular requirements.
Our portfolios are driven by quantitative analysis of economic and market data and are based on money and credit theory. As such they are systematic-fundamental rather than systematic-technical in nature.
Our portfolios for gold and currencies do contain a technical/momentum component overlaying the fundamental drivers.
In summary, we generate economic forecasts and then produce a concrete set of asset allocations which has historically performed well in the environment predicted by those forecasts. This is then run - live - on a notional basis with portfolios and performance regularly updated and recorded.
The accuracy of our forecasting is reflected in the performance of our demonstration portfolios.
Please feel free to contact us for further information about our demonstration portfolios - and our customised portfolio services - and how these may be able to assist you in your investment decisions.
Multi-Country Stock Index Portfolio
We know from our research that the liquidity trend in a country drives the annual return of its stock market at the index level, with reasonably predictable lags.
Given that we can calculate each country's liquidity score - and the lags - this allows us to rank each country by that score and allocate capital to the relevant stock index by virtue of its relative liquidity rank. The relative quarterly stock index performance of a country is shown to be positively correlated with its relative liquidity rank in the prior quarter.
Given that we can calculate each country's liquidity score - and the lags - this allows us to rank each country by that score and allocate capital to the relevant stock index by virtue of its relative liquidity rank. The relative quarterly stock index performance of a country is shown to be positively correlated with its relative liquidity rank in the prior quarter.
This allows us to allocate capital based on liquidity ranks and therefore to construct a country stock index portfolio with allocations regularly adjusted according to relative monetary liquidity.
This makes perfect sense but, to our knowledge, is seldom if ever done.
We do this for the following countries:
This country stock index portfolio is rebalanced on a quarterly basis and the notional performance of the Global Stock Index portfolio (in local currency terms) looks as follows:
This makes perfect sense but, to our knowledge, is seldom if ever done.
We do this for the following countries:
- USA
- Germany
- UK
- China
- Australia
- Japan
- Brazil
- India
- Korea
- Switzerland
- Canada
- Hong Kong
This country stock index portfolio is rebalanced on a quarterly basis and the notional performance of the Global Stock Index portfolio (in local currency terms) looks as follows:
Equities (Sectors) Portfolios
We have constructed several stock portfolios down to the sector level. Some of these are rebalanced on a monthly basis and some quarterly.
Our country coverage for the quarterly portfolio is the US and Australia.
For the monthly portfolios we cover:
We also have a combined portfolio of the above countries which we benchmark against the MSCI ACWI in local currency terms.
Here are the notional performance results (in local currency terms) of the monthly Global Sectors portfolio to March, 2026:
Our country coverage for the quarterly portfolio is the US and Australia.
For the monthly portfolios we cover:
- US
- UK
- Japan
- Germany
- Australia
- China
- Brazil
- Switzerland
- Canada
- India
- South Korea
- Hong Kong
We also have a combined portfolio of the above countries which we benchmark against the MSCI ACWI in local currency terms.
Here are the notional performance results (in local currency terms) of the monthly Global Sectors portfolio to March, 2026:
Multi-Asset (Stock Sectors/Bonds) Portfolios
Our approach has also delivered multi-asset models covering stocks (down to the sector level) and bonds, by country:
These are rebalanced on a monthly basis.
The combined global portfolio is akin to a Global, Stock Sectors and Bonds portfolio and its notional performance is shown below in USD terms:
- US
- Eurozone
- Japan
- China
- UK
- Australia
- A combination of these as a proxy global portfolio
These are rebalanced on a monthly basis.
The combined global portfolio is akin to a Global, Stock Sectors and Bonds portfolio and its notional performance is shown below in USD terms:
Stock Index & Benchmark Bond Portfolio
We use monetary liquidity to time the high-level shift in allocation between stocks and bonds, with "stocks" being represented by the relevant country's stock index and "bonds" being the benchmark government bond.
We run our liquidity model each month and the value of liquidity in each country drives the stock/bond mix for that country based on historical returns of each asset for each value of liquidity.
We do this for the following countries:
Here are the notional results for the US Stock Index and Bonds Model from applying this approach:
We run our liquidity model each month and the value of liquidity in each country drives the stock/bond mix for that country based on historical returns of each asset for each value of liquidity.
We do this for the following countries:
- US
- Eurozone
- Japan
- UK
- Australia
- Canada
Here are the notional results for the US Stock Index and Bonds Model from applying this approach:
Global Macro Long-only Portfolio
With this portfolio we attempt to look at the asset universe through the eyes of a long-only macro hedge fund manager. Allocations to property and commodities are made via ETFs when available.
Assets covered are stocks, bonds, property and commodities.
Here are the notional performance data for the Global Long Only Macro portfolio since January, 2000 with the benchmark being the Eurekahedge Hedge Fund Index:
Assets covered are stocks, bonds, property and commodities.
Here are the notional performance data for the Global Long Only Macro portfolio since January, 2000 with the benchmark being the Eurekahedge Hedge Fund Index:
Gold Timing Portfolio
Our gold timing model uses a combination of lagged money supply growth rates that give the high-level fundamental trends combined with two momentum filters to reduce noise. These are weighted and signals are either LONG or EXIT.
Summary performance data for this Gold Portfolio are below. Cash freed up during EXIT periods is assumed to attract interest at the rate of 3 month T-bills less 0.5%.
Summary performance data for this Gold Portfolio are below. Cash freed up during EXIT periods is assumed to attract interest at the rate of 3 month T-bills less 0.5%.
These are some of the sample notional portfolios that we run on a proof-of-concept basis. The aim is to put our theoretical framework to the test by demonstrating that it is possible to make a smooth, logical and coherent transition from economic forecasting to active portfolio management.
Contact us to learn more about our demonstration portfolios and how we can help with the transition from economic forecasting to active asset management.
Contact us to learn more about our demonstration portfolios and how we can help with the transition from economic forecasting to active asset management.
