A New York Fed blog post revisits the self-reinforcing dynamics in long-term U.S. interest rates, resulting from the dynamic hedging of MBS positions (see previous post here). However, it argues that the probability of severe “convexity events” has been reduced since the Federal Reserve has become a large holder of MBS that hedges little and […]
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.
