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.
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
Jupyter Notebook Macro information state changes are point-in-time updates of recorded economic developments. They can refer to a specific indicator or a broad development, such as growth or inflation. The
Jupyter Notebook Macro-quantamental scorecards are condensed visualizations of point-in-time economic information for a specific financial market. Their defining characteristic is the combination of efficient presentation and evidence of empirical power.
Jupyter Notebook Financial markets pay great attention to reported changes in key economic statistics, particularly when they are unexpected. For quantitative analysis, we introduce the concept of information state changes
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 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
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
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
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
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
An empirical analysis of the U.S. bond market since the 1960s emphasizes occasional abrupt regime changes, as defined by yield levels, curve slopes, and related
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
Jupyter Notebook Cross-country relative duration strategies take vol-adjusted fixed receiver positions in interest rate swaps of one currency area versus others. Similar to directional IRS
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
Jupyter Notebook The popularity of trend-following bears the risk of market excesses. Medium-term market price trends often fuel economic trends that eventually oppose them (”macro
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
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
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
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,
The statistical term ‘fat tails’ refers to probability distributions with relatively high probability of extreme outcomes. Fat tails also imply strong influence of extreme observations
The correlation of equity and high grade sovereign bond returns is a powerful driver of portfolio construction and the term premia of interest rates. This
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
Macrosynergy is a London based macroeconomic research and technology company whose founders have developed and employed macro quantamental investment strategies in liquid, tradable asset classes, across many markets and for a variety of different factors to generate competitive, uncorrelated investment returns for institutional investors for two decades. Our quantitative-fundamental (quantamental) computing system tracks a broad range of real-time macroeconomic trends in developed and emerging countries, transforming them into macro systematic quantamental investment strategies. In June 2020 Macrosynergy and J.P. Morgan started a collaboration to scale the quantamental system and to popularize tradable economics across financial markets.
