Macro-aware risk parity

Equity trend-following with market and macro data

Boosting macro trading signals

Quantamental economic surprise indicators: a primer

Macrosynergy Research

Macrosynergy Research is dedicated to educating the investment and academic communities on the importance of macro quantamental trading strategies. These are alternative investment management styles based on macroeconomic and policy trends. Social and economic benefits arise from an improved information value of market prices, increased efficiency of capital allocation and reduced risk of financial crises.

Thematic collection: bond returns

Macro trading signal optimization: basic statistical learning methods

U.S. Treasuries and macro-enhanced trend following

Jupyter Notebook Trend-following strategies rely on the persistence of market trends. Such persistence can arise from the gradual dissemination of information or behavioural biases. In light of these inefficiencies, trends

Variance risk premia for patient investors

The variance risk premium manifests as a long-term difference between option-implied and expected realized asset price volatility. It compensates investors for taking short volatility risk, which typically comes with a

The risk-reversal premium

The risk reversal premium manifests as an overpricing of out-of-the-money put options relative to out-of-the-money call options with equal expiration dates. The premium apparently arises from equity investors’ demand for

Measures of market risk and uncertainty

In financial markets, risk refers to the probability distribution of future returns. Uncertainty is a broader concept that encompasses ambiguity about the parameters of this probability distribution. There are various

Realistic volatility risk premia

The volatility risk premium compensates investors for taking volatility risk. Conceptually it is based on the difference between options-implied and expected realized volatility. In equity markets this premium should be

Systemic Risk

Crowded trades and consequences

A crowded trade is a position with a high ratio of active institutional investor involvement relative to its liquidity. Crowding is a form of endogenous

Tracking systematic default risk

Systematic default risk is the probability of a critical share of the corporate sector defaulting simultaneously. It can be analyzed through a corporate default model

Crashes in safe asset markets

A new theoretical paper illustrates the logic behind runs and crashes in modern safe asset markets. Safe assets are characterized by stable value and high

Systematic Value

Macro-aware risk parity

Jupyter Notebook Risk parity is an investment strategy that allocates risk exposure equally across asset types through volatility-based calibration and leverage. A most profitable risk

Boosting macro trading signals

Jupyter Notebook Boosting is a machine learning ensemble method that combines the predictions of a chain of basic models, whereby each model seeks to address

Popular Posts

Leverage in asset management

Asset managers can use leverage to enhance returns. Outside hedge funds, such leverage is modest as share of assets under management. However, considering the huge volume

VIX term structure as a trading signal

The VIX futures curve reflects expectations of future implied volatility of S&P500 index options. The slope of the curve is indicative of expected volatility and

The importance of volatility of volatility

Options-implied volatility of U.S. equity prices is measured by the volatility index, VIX. Options-implied volatility of volatility is measured by the volatility-of-volatility index, VVIX. Importantly,

Understanding dollar cross-currency basis

Covered interest parity is an arbitrage condition that equalizes costs of direct USD funding and of synthetic USD funding through FX swaps. Deviations are called