Two recent papers help understanding the information value of the implied volatility index for the S&P 500 stock index (VIX). An ECB paper de-composes VIX into measures of equity market uncertainty and risk aversion, e.g. the quantity and price of risk. Risk aversion in particular has been both a driver of monetary policy and an object of […]
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.
