Duration and credit
Consider a slowdown in which government yields fall while corporate spreads widen. Which part of a bond allocation carries the greater exposure to each move?
Portfolio context
Macro intelligence for asset allocation
Several positions can express the same macro view. Long-duration bonds and a basket of equities may both benefit from falling discount rates even though their exposure to profits and credit risk differs. Looking only at asset-class weights can leave that common assumption out of the discussion.
Troia connects economic regime analysis with questions about equities, bonds, credit, currencies and commodities. The portfolio mix shown on this site is illustrative. Investment teams can use the research to examine their own exposures, taking account of mandates, valuations, time horizons and existing positions.
Identify the channel into the portfolio
An inflation surprise can matter through expected policy rates, real yields, corporate margins or several channels together. Identify the channel most relevant to the holding. A high-quality government bond and a corporate bond of similar maturity can respond differently if credit spreads also move.
Research workflow
- Identify a macro driverChoose a risk such as persistent inflation or weakening demand.
- Map the exposureTrace the relevant channel through rates, profits, spreads or currencies.
- Review the mandateAssess concentration and limits before considering any portfolio change.
Separate the economic view from the price paid
A sound macro explanation does not determine a trade on its own. A portfolio discussion also needs to establish how much of the view is already reflected in prices and how much risk the mandate can absorb. Those are decisions for the investment team.
In the investment process
Equities and currencies
For an overseas equity holding, examine local earnings exposure and the exchange rate used to translate returns back into the portfolio’s reporting currency.
Example research question
If restrictive policy lasts longer than our base case assumes, which holdings share the same vulnerability?View the illustrative portfolio mix ↗