VP Research

Backed by more than a decade of R&D and the latest quantitative techniques, we are a full-stack research solution for our clients, from pensions and family offices to macro hedge funds and fundamental equity investors.

“Man plus machine beats man or machine alone”

We view ourselves as equal parts data scientist and market historian as we seek axiomatic truths inherent to the investment process.

Our approach integrates insights across three time-horizons:

  • Tactical (1-3 months): “Playing the game”, LPPL bubbles/crashes & flows/positioning;
  • Cyclical (6-12 months): Leading Indicators of the business cycle and liquidity cycle help to set the medium-term road map;
  • Structural (2-3+ years): Industry capital cycles determine long-term outperformance.

Leading Indicators

Not all economic data is created equal:

  • Data moves in a predictable sequence from leading (e.g. building permits) -> coincident (e.g. retail sales) -> lagging (e.g. inflation, unemployment).
  • Many forecasters miss turning points due to a focus on data that is revised later.
  • The biggest data revisions are at turning points in the cycle.
  • Many popular economic data is useless in real-time due to data revisions (e.g. GDP growth, non-farm payrolls etc.)

Regime Shifts

We explicitly separate regime shift models from traditional business cycle approaches:

  • We view recessions as regime shifts, when hard economic and soft market data get caught in feedback loops.
  • Most of the time, the world operates in a “normal business cycle” regime, which can be modelled as regressions or continuous cycle models.

The Capital Cycle

The capital cycle is about competition: too much investment in an industry today destroys future shareholder returns:

  • Quantifying the capital cycle makes it actionable.
  • An industry with a high capital-scarcity score, that's cheap and hated creates the ideal investment set up.
  • We define capital-scarcity using: Capex + R&D as % of assets, Depreciation & Amortization as % of assets, Marginal return on invested capital.


We use “quantity” (Global excess liquidity) and “breadth” (BCFI) indicators to measure liquidity’s leading impact on asset prices:

The consensus focus on central bank balance sheets is incomplete in practice:

  • it does not capture private sector behavior (other than indirectly driving animal spirits due to central bank signaling).
  • when it does work, it is a coincident measure and not empirically leading by the time you observe the data.
  • spurious statistics are often used to overstate the correlation.
  • only suited to the post-GFC period, whereas VP’s BCFI and Global Excess Liquidity indicators can be extended back to the 1980s.

“Playing the Game”

Investing is a multi-layered game, where investors must have a view on the future and whether that future is discounted into prices:

  • An experienced portfolio manager’s “gut feel” encompasses data subconsciously collected throughout his career.
  • We try to speed up the accumulation of experience through rigorous back tests.
  • We utilize a suite of tools to understanding positioning, crowding and the tactical outlook.