The fixed income term premium is the difference between the yield of a longer-maturity bond and the average expected risk-free short-term rate for that maturity. Abstractly, it is a price for commitment. The term premium is not directly observable but needs to be estimated based on the assumptions of a term structure model that separates […]
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.
