Quant Mashup - Macrosynergy

Systematic stock selection with macro factors [Macrosynergy]

Macroeconomic conditions drive divergences in business profitability, making timely economic data a meaningful foundation for stock-selection factors. This post introduces basic methods for constructing such factors, focusing on statistical learning techniques that estimate how individual stock(...)

A scorecard for global equity allocation [Macrosynergy]

Macro-quantamental scorecards are systematic enhancements of discretionary portfolio management. They offer (a) information efficiency by structuring and condensing key macroeconomic data series, and (b) empirical validation of predictive power and trading value using historic point-in-time(...)

Macro trading factors: dimension reduction and statistical learning [Macrosynergy]

Macro trading factors are information states of economic developments that help predict asset returns. A single factor is typically represented by multiple indicators, just as a trading signal often combines several factors. Like signal generation, factor construction can be supported by(...)

The (hidden) trading value of central bank liquidity information [Macrosynergy]

Central banks regularly adjust the economy’s monetary base through foreign exchange interventions and open market operations. Point-in-time information on such intervention-based liquidity expansion has predictive power for asset returns. That is because such operations often come in longer-term(...)

Systematic equity allocation across countries for dollar-based investors [Macrosynergy]

This post demonstrates that country allocation with macroeconomic factors can materially enhance the returns on international equity portfolios in dollar terms. We identify a range of economic developments that, according to standard theory and in conjunction with market inattention, should predict(...)

Macro-aware risk parity [Macrosynergy]

Risk parity is an investment strategy that allocates risk exposure equally across asset types through volatility-based calibration and leverage. A most profitable risk parity strategy in the past decades has been the equity-duration “long-long”, which harvests combined equity and long(...)

Equity trend-following with market and macro data [Macrosynergy]

The popularity of trend-following bears the risk of market excesses. Medium-term market price trends often fuel economic trends that eventually oppose them (”macro headwinds”). Fortunately, relevant point-in-time economic indicators can provide critical information on the sustainability of(...)

Boosting macro trading signals [Macrosynergy]

Boosting is a machine learning ensemble method that combines the predictions of a chain of basic models, whereby each model seeks to address the shortcomings of the previous one. This post applies adaptive boosting (Adaboost) to trading signal optimisation. Signals are constructed with macro factors(...)

Quantamental economic surprise indicators: a primer [Macrosynergy]

Quantamental economic surprises are point-in-time measures of deviations of economic indicators from expected values. There are two types of surprises: first-print events and pure revisions. First-print events feature new observation periods, and the surprise element depends on market expectations(...)