Reward-risk timing refers to methods for allocating between a risky market index and a risk-free asset. It is a combination of reward timing, based on expected future risk asset returns, and volatility timing, based on recent price volatility. A new paper proposes to use machine learning with random forests for estimating both risk premia (return […]
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.
