Value generation based on quantamental factors

Macro quantamental information creates trading value through various strategy principles. Financial markets are not macro information efficient. This means that investment decisions miss out on ample relevant macroeconomic data and facts. The principal obstacles to information efficiency are costs and external effects (view post here). Since price-relevant information comes at a cost, it will only be procured to the extent that inefficient markets allow translating it into sufficient returns. 

Acknowledging the cost-return trade-off, the rational inattention theory provides a model of how market participants manage their attention scarcity (view post here). Rational inattention explains why agents pay disproportionate attention to popular variables, simplify the world into a small set of indicators, pay more attention in times of uncertainty, and limit their range of actions.