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 strategies, cross-country trading factors can be based on point-in-time indicators of economic developments. The main difference is that cross-country factors are typically related to relative economic performance. This post constructs […]
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.
