We offer an intuitive and interactive way to engage with State Street Global Markets'® research. With Insights, you can read market commentary from our team of macro strategists and explore the most interesting trends in our daily indicators of investor behavior, risk, inflation and sentiment based on award-winning research.1

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Chart of the Week19 Apr 2024
US exceptionalism (but not the good kind)

The latest IMF Fiscal Monitor makes worrying reading for the US. It predicts that US annual fiscal deficits will continue to run at or above 6% of GDP through to 2029. The cumulative deficit from 2019 to 2029 will thus amount to 82.5% of GDP (N.B. this is not the predicted change in the Debt to GDP ratio as GDP changes are not factored in). For advanced economies excluding the US, the expectation is for cumulative deficits over the same period of 30.1% of GDP (36% of the US total) and for EM (excluding China) of 43% (just over half of the US). Did someone say Debt Sustainability?

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Institutional investor indicators; March pause as dry powder runs out


  • The State Street Holdings Indicators showed that long-term investor allocations to equities rose by 0.6 percentage points to 53.4%.
  • Allocations to cash are within 0.3% of their long-run average.
  • There was a tiny 0.1 percentage point rise in fixed income allocations to 27.5%.


  • The State Street Risk Appetite Index rebounded to 0.09 from 0.18 revealing a modest retreat in risk bias across the month of March back toward neutral.
  • Our risk appetite index showed that investors remain hesitant in fixed income despite the coming rate reductions.
  • Risk appetite was completely balanced in FX and commodity linked assets.
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The State Street Global Markets® Insights app provides you with instant access to our cutting-edge research, data-driven indicators and timely expert commentary on global macro trends, multi-asset strategy, investor behavior, daily inflation, media sentiment, risk regimes, liquidity, currencies, portfolio construction and more.

Powered by our longstanding partnerships with renowned academics and unique proprietary data sources, Global Markets Research provides an essential perspective on markets that is not available anywhere else.

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Our home section is at the core of Insights and is the starting point for exploring our research. We curate a feed of the most relevant and exciting content that is of greatest interest to you, based on your research preferences, saved views, and our Insights AI engine.

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In Research, explore our catalogue of research by filtering on publication type, author, or theme. Once you’re satisfied with your search, sort the results by the latest or most popular research meeting your criteria and subscribe to future publications or authors.

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Choose how you want to engage with our indicators. Browse our Indicator section to analyze trends across market segments and through time.

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In Research a Trade Idea, look across flagship indicator pairings in investor behavior, risk, inflation and sentiment to get a feel for the investment environment in the market segment of your choosing.

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Or, if you’re looking for a more hands-on approach, visit our Signal Studio and craft your own indicator combinations.

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Our Research

Our expansive suite of investment indicators provides investors with an information edge. We provide measures of:

  • Investor Behavior
  • Risk Regimes
  • Media Sentiment
  • Consumer Prices
Aggregated and anonymized measures of institutional behavior can identify persistent trends in buying, selling, positioning, and agreement across investment styles, currencies, sectors, countries, and asset classes.
Market commentary

Our team of macro strategists produce regular commentary on equity, fixed income, and currency markets around the world. We offer a differentiated view on global market trends, risk, and opportunities.

Thought leadership

Access our white papers and peer-reviewed research articles related to macro / multi-asset investor behavior, hedging, risk regimes, liquidity risk, private assets, portfolio construction, and more.

Latest papers

By Mark Kritzman, Huili Song, and David Turkington.


We show how warping time renders stock price bubbles comparable, revealing common patterns that investors can use to detect new bubbles and time exposure to their rise and fall.


Can history offer a guide to understanding future stock-price bubbles? The answer is yes, but we have to learn how to bend time. Thankfully, a method called dynamic time warping offers the solution. Previous bubbles occur at different paces: some rise fast and others slowly, some crash after weeks while others persist for years. By stretching and shrinking the timeline of thousands of bubble events, we systematically place them side by side and find more commonalities in their attributes' patterns than a calendar view suggests. We then use various attributes collectively to assess the likelihood of a developing bubble and identify its lifecycle stage, from inception to peak to conclusion. A simple trading rule seeking to invest in bubble run-ups and post-crash over reactions, while avoiding the peak, generates compelling performance in out-of-sample backtests.



By Alexander Cheema-Fox, Megan Czasonis, Piyush Kontu and George Serafeim


We explore the world’s first set of financial accounting data on firms’ sustainable activities.


Though sustainable investing has grown in popularity over the past decade, measuring sustainability remains a key challenge. Investors often rely on environmental criteria—such as analyst ratings and carbon emissions—that are insufficient or rely on qualitative analysis. However, for the first time, with the advent of the EU’s Taxonomy for Sustainable Activities, investors have access to financial accounting data that follows standardized and transparent criteria for quantifying the percentage of a firm’s revenues and expenditures that align with sustainable activities. In a recent paper, we explore this novel dataset for a cross-section of large European firms, documenting patterns and analysing how firms’ aligned activities relate to fundamentals and environment ratings. We find that the EU Taxonomy data provide information that is distinct from existing sources and offers insights that can help investors and regulators, alike.



By Megan Czasonis, Mark Kritzman, and David Turkington.


We propose a new currency hedging technique called full-scale hedging, which accounts for the complexities of diversification.


Diversification is nuanced and summary statistics, such as correlation, fail to capture complexities that lie below the surface. For investors, these complexities matter—accounting for them can make the difference between an effective, or ineffective, hedging strategy. In the case of currencies, investors often determine risk-minimizing hedge ratios based on the portfolio’s betas to those currencies or with mean-variance optimization. In both cases, the optimal solution depends crucially on the correlation between the currencies and assets in the portfolio. But correlation is an unreliable estimate of the diversification investors actually care about: the co-occurrences of the cumulative returns of the portfolio and currencies over the investment horizon. We propose a new currency hedging technique called full-scale hedging, which addresses these challenges by considering the full distribution of co-occurrences between currencies and the portfolio.



By Mark Kritzman, Huili Song, and David Turkington.


We show how warping time renders stock price bubbles comparable, revealing common patterns that investors can use to detect new bubbles and time exposure to their rise and fall.


Can history offer a guide to understanding future stock-price bubbles? The answer is yes, but we have to learn how to bend time. Thankfully, a method called dynamic time warping offers the solution. Previous bubbles occur at different paces: some rise fast and others slowly, some crash after weeks while others persist for years. By stretching and shrinking the timeline of thousands of bubble events, we systematically place them side by side and find more commonalities in their attributes' patterns than a calendar view suggests. We then use various attributes collectively to assess the likelihood of a developing bubble and identify its lifecycle stage, from inception to peak to conclusion. A simple trading rule seeking to invest in bubble run-ups and post-crash over reactions, while avoiding the peak, generates compelling performance in out-of-sample backtests.



By Mark Kritzman, Cel Kulasekaran, and David Turkington.


We introduce a more flexible way to forecast risk and return based on the most relevant historical periods.


As economic regimes shift, investors who choose to adapt must build portfolios that match their evolving view of the future. Forecasts of asset risk and return should account for regime-specific trends. The question is how to implement this idea in practice. Typically, an analyst will find every time an economic indicator like inflation or growth was above (or below) a fixed threshold, and she will pay equal attention to every data point that qualifies. While this approach seems sensible, it also has dramatic limitations. Ideally, we should recognize that the regime labels of past events are not simple yes/no answers; they are ambiguous. We should pay more attention to some past events than others, based on their relevance. We should weigh the impact of many variables rather than just one. And we should accept that some events are relevant to more than one regime. A statistical measure of relevance, based on the Mahalanobis distance, empowers investors to analyze these nuances of regimes with rigor. We show how to estimate expected risk and return as weighted averages of the relevant past, and how these forecasts of asset performance lead to intuitive portfolios optimized for a range of possible regimes.



By Alberto Cavallo, Megan Czasonis, William Kinlaw, and David Turkington


We show how unstructured price data from online retailers can anticipate inflation shifts and enable investors to hedge inflation risk dynamically. 


Investors and academics have been studying inflation, and how it affects asset prices, for more than four decades. Their findings are discouraging: there just aren’t many assets that offer a reliable hedge against inflation. Treasury Inflation Protected Securities (TIPS), introduced in 1997, represent the only U.S. asset class whose returns are linked explicitly to inflation, but they have drawbacks. For one, their yields are lower than normal treasury bonds during most periods, when inflation is low. In an ideal world, investors would capture the higher yield of treasuries when inflation is benign and shift into TIPS to capture their price appreciation when inflation expectations rise. To do this, they need a good leading indicator of the market’s collective inflation expectations. In this paper, we show how unstructured price data from online retailers, spanning millions of products captured by PriceStats®, can be used to forecast the relative performance of TIPS and treasuries.



By Musa Amadeus, Rajeev Bhargava, Michael Guidi, Marvin Loh, Gideon Ozik, and Ronnie Sadka


Read between the lines: The measurement of Fed members’ monetary tones facilitates an understanding of the dynamics of the individual monetary policy stances underlying aggregated, consensus (top-down) Fed tones.


Amadeus et al. (2022) observe that aggregated, consensus (top-down) central bank monetary tones in media contain predictive information pertaining to future weekly yield fluctuations. This article elucidates the more granular, stratified (bottom-up) dynamics underlying these relations. The predictive relationships between Fed consensus tones and yields are primarily driven by an underreaction of yields to the Fed Board of Governors’ tones between monetary policy meetings. Over short-term horizons, Treasury yields appear to price voting FOMC members’ (Board of Governors’ and Regional Bank Presidents’) tones while relatively longer-term horizon yields appear to reflect both voting and non-voting tones. Fed Regional Bank Presidents’ monetary tones are more responsive to regional inflation fluctuations than to unemployment. The analysis of the heterogeneous impacts of Fed members’ tones over distinct yield horizons provides insights pertaining to the pricing of voting and non-voting Fed members’ tones in Treasury markets.

By Megan Czasonis, Mark Kritzman, and David Turkington


Relevance-based prediction is a new approach to data-driven forecasting that serves as a favorable alternative to both linear regression analysis and machine learning. It follows from two seminal scientific innovations: Prasanta Mahalanobis’ distance measure and Claude Shannon’s information theory. Relevance-based prediction rests on three key tenets:


1) relevance, which measures the importance of an observation to a prediction;


2) fit, which measures the reliability of each individual prediction task;


3) codependence, which holds that the choice of observations and predictive variables should be determined jointly for each individual prediction task

By William Kinlaw, Mark Kritzman, and David Turkington


Conventional statistics hide important realities that investors need to know.


The correlation coefficient often fails to capture what really matters to investors. There are two reasons for this. First, investors often measure correlations using monthly data and assume that they also hold over one-year, five-year or ten-year periods. Unfortunately, in the real world, they often don’t. The second reason has to do with a fundamental misconception about diversification. The fact is, investors don’t always want it. Sure, they want it on the downside, in order to offset the poor performance of one or more assets. But on the upside they prefer all assets to rise in unison, which is the opposite of diversification. Put differently, they’d be happy to place their eggs, conveniently, in a single basket provided nobody steals it. Our research shows that correlations can vary through time based on a range of conditions including the level of interest rates, the degree of turbulence in financial markets, and the performance of major equity markets. Overall, our findings challenge the notion that returns evolve as a simple “random walk,” a critical pre-condition without which we must interpret the correlation coefficient distrustfully. To address these issues, we introduce the notion of co-occurrence and offer a new perspective on how investors should diversify portfolios.



2023 State Street Foundations of Investing Seminar Series


This year we reviewed the fundamentals of finance and investing! Even the most sophisticated investors can benefit from an occasional tune-up. For our third annual State Street Foundations of Investing Seminar Series, our team of academic and industry experts went back to basics, covering the core principles of modern investing.

Connecting theory to practice, our Global Markets research experts and academic partners covered topics such as inflation, liquidity, private markets, and much more. Check back here for the replay videos when they become available.



Thursday, June 29th 2023 at 9:00am HKT

How Carbon Emissions Connect to Investing

George Serafeim, Harvard Business School (bio) | REPLAY AVAILABLE

Presenting a framework on how carbon emissions link to growth, risk, and valuation across different sectors of the economy.



Thursday, July 13th 2023 at 9:00am HKT

The Prospects For and Implications of Chinese Financial Liberalization

Dwyfor Evans and Yuting Shao (bio), State Street Macro Strategy | REPLAY AVAILABLE

Currency control has been a hallmark of Chinese economic policy. However, as economic development matures, the need to foster internal capital markets, policy orthodoxy and, ultimately, liberalize the capital account amid the broader prospects for renminbi internationalization becomes more pressing. We take a close look at monetary policy and interest rate liberalization over the years, including the growth of the offshore market that has enabled China to experiment with reforms. Its commitment and timing around further liberalization remains a matter of conjecture, beyond the limited scope of ‘Connect’ programs tied to Hong Kong. As China’s economic and political influence expands, how will Chinese authorities balance their competing priorities, such as: gaining access to international markets, implementing monetary policy reforms and maintaining institutional stability? Meanwhile, how should institutional investors position themselves in Chinese asset markets and navigate through the economic and financial risks that ensue?



Thursday, July 20th 2023 at 9:00am HKT

Relevance-Based Prediction

Mark Kritzman, MIT Sloan School of Management (bio) | REPLAY AVAILABLE

This presentation describes a new mathematical system for predicting future outcomes based on a statistical concept called relevance, which gives a mathematically precise and theoretically justified measure of the importance of an observation to a prediction.  It also describes fit, which measures a specific prediction’s reliability, thereby offering guidance about how committed one should be to its predictions. And it shows how fit identifies the uniquely optimal combination of observations and predictive variables for each individual prediction task. This new relevance-based prediction system addresses complexities that are beyond the capacity of conventional prediction models, but in a way that is more transparent, more flexible, and less arbitrary than widely used machine learning algorithms.



Thursday, July 27th 2023 at 9:00am HKT

Narrative Economics in Practice

Gideon Ozik, MKT MediaStats (bio) REPLAY AVAILABLE

Empirical measures of narratives can help investors quantify attention to stories and in turn, enhance portfolio returns. The summer session will discuss how media-derived measures of narratives can explain market-wide moves and how investors may use such measures to assess portfolio exposures to (otherwise) intangible risks.

We will examine specific applications of narrative economics to improve portfolio and risk management processes using a variety of narratives including inflation, escalation of nuclear tensions and civil unrest. We will then discuss how narrative-conscious strategies may improve stress scenario analysis and asset allocation. Finally, we will review methods by which investors may gain or hedge financial exposure to emerging themes by constructing portfolios of narrative-sensitive assets.



Thursday, August 3rd 2023 at 9:00am HKT

An Overview of Private Markets Investing

Josh Lerner, Harvard Business School (bio) | REPLAY AVAILABLE

After a historic boom leading into 2022, the private market now sits at an inflection point. Uncertainty is high, making investors' job of navigating the current private market landscape difficult. In this lecture, Harvard Business School professor Josh Lerner will discuss the major factors to consider when investing in today's market conditions. Professor Lerner will give insight on the drivers of the historic private equity (PE) boom, current trends that are impacting the direction of the market, and secular shifts that will influence the long-term outlook of PE. The content will draw from a combination of academic research, industry data, and expert insights to provide a 360-degree view of the market landscape. From this lecture, investors will develop a backdrop for positioning themselves for success amidst present and future market dynamics.



Thursday, August 10th 2023 at 9:00am HKT

Defining and Measuring Inflation

Alberto Cavallo, Harvard Business School (bio) | REPLAY AVAILABLE

As the global economy reemerges from the global COVID-19 pandemic and central banks raise interest rates to contain prices, inflation risk looms large in the minds of investors. In this session, Alberto Cavallo the Edgerley Family Professor at Harvard Business School, co-founder of PriceStats, and member of the Technical Advisory Committee of the U.S. Bureau of Labor Statistics (BLS) will discuss the fundamentals of how inflation is measured, what drives it, and how to think about the risk to investors in 2023.



Thursday, August 17th 2023 at 9:00am HKT

How Behavioral Biases Impact Markets

Alex Cheema-Fox, State Street Associates (bio) | REPLAY AVAILABLE

Sophisticated investors have long recognized that market participants are not always 100 percent rational and that behavioral biases and trends can influence markets. It is essential that investors learn to recognize these patterns both in themselves and the markets at large as well as how to measure and account for them when managing portfolios. In this session, Alex Cheema-Fox, Head of Investor Behavior Research at State Street Associates reviews key principles of behavioral finance with a practical focus on implications for investment management.



Thursday, August 24th 2023 at 9:00am HKT

Central Banking Strategies and Challenges

Robin Greenwood, Harvard Business School (bio) | REPLAY AVAILABLE

In an increasingly interconnected world, it is impossible to succeed as an investor without a firm grasp on economic fundamentals and policy levers. In this session, Robin Greenwood — the George Gund Professor of Finance — will review the fundamental tenets of central banking with a focus on the main questions global investors should be thinking about in 2023.



Thursday, August 31st 2023 at 9:00am HKT

Currency Hedging and Currency Factors

David Turkington and Megan Czasonis, State Street Associates (bio) | REPLAY AVAILABLE

When investors seek returns in foreign markets, they inevitably gain exposure to currency risk. Efficiently managing this risk and turning it into an opportunity to enhance performance requires a well-defined currency process. In this presentation, Megan Czasonis (Head of Portfolio Management Research at State Street Associates) and David Turkington (Head of State Street Associates) will discuss how to approach currency hedging, first from the perspective of managing risk, and second from the perspective of generating active returns. In doing so, they’ll discuss how to balance the risk and diversification properties of foreign currencies, show how factors both traditional and new can explain currency moves, and identify which factors have worked well lately and which have broken down.

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1.Peter L. Bernstein Award for Best Article in an Institutional Investor Journal in 2013; Doriot Award for Best Private Equity Research Paper in 2022; Bernstein-Fabozzi/Jacobs-Levy Award for Outstanding Article in the Journal of Portfolio Management in 2006, 2009, 2011, 2013 (2), 2014, 2015, 2016, 2021; Roger F. Murray First Prize for Research Presented at the Q Group Conference in 2012 and 2021; Graham & Dodd Scroll Award for article in the Financial Analysts Journal in 2002 and 2010.