Macrosynergy Research

Macrosynergy Research (formerly Systemic Risk and Systematic Value) is a free educational site dedicated to responsible macro trading strategies. These are alternative investment management styles based on macroeconomic and policy trends. If the right principles and ethics are applied, social and economic benefits arise from an improved information value of market prices, increased efficiency of capital allocation and reduced risk of financial crises.

Thematic collection: Equity returns

Excess inflation and asset class returns

Information Efficiency Editor - 0
Excess inflation means consumer price trends over and above the inflation target. In a credible inflation targeting regime, positive excess inflation skews the balance...
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Macro factors of the risk-parity trade

Information Efficiency Editor -
Risk-parity positioning in equity and (fixed income) duration has been a popular and successful investment strategy in past decades. However, part of that success...

Jobs growth as trading signal

Information Efficiency Editor -
Employment growth is an important and underestimated macro factor of financial market trends. Since the expansion of jobs relative to the workforce is indicative...

Inflation as equity trading signal

Information Efficiency Editor -
Academic research suggests that high and rising consumer price inflation puts upward pressure on real discount rates and is a headwind for equity market...

Equity convexity and gamma strategies

Macro Trends Editor -
Equity convexity means that a stock outperforms in times of large upward or downward movements of the broad market: its elasticity to the market...

Ralph Sueppel Follow

Managing Director at Macrosynergy Ltd. Development of systematic macro trading strategies.

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macro_srsv Ralph Sueppel @macro_srsv ·
6h

"Based on daily data for volatility indices and daily price and market cap data for equity indices...[We propose] a precise measure of the current systemic risk in stock markets." https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4384643 🇺🇦

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macro_srsv Ralph Sueppel @macro_srsv ·
28 Mar

"Option-Based Volatility Timing": "A volatility-managed strategy using equity options provides higher alphas, increases Sharpe ratios...exceeding those of the statistical volatility-managed counterparts." https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4391540 🇺🇦

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macro_srsv Ralph Sueppel @macro_srsv ·
27 Mar

"The pandas-market-calendars package...provides access to over 50+ unique exchange calendars for global equity and futures markets...with the holiday, late open and early close calendars for specific exchanges and OTC conventions." https://pypi.org/project/pandas-market-calendars/ 🇺🇦

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macro_srsv Ralph Sueppel @macro_srsv ·
25 Mar

Excess inflation and asset class returns:
In a credible policy regime, above-target CPI trends skew risks toward monetary tightening, negatively predict bond and equity returns, and positively predict FX returns. Empirical evidence supports this. https://research.macrosynergy.com/excess-inflation-and-asset-class-returns/🇺🇦

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SYSTEMIC RISK

Crashes in safe asset markets

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A new theoretical paper illustrates the logic behind runs and crashes in modern safe asset markets. Safe assets are characterized by stable value and...

Copulas and trading strategies

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Reliance on linear correlation coefficients and joint normal distribution of returns in multi-asset trading strategies can be badly misleading. Such conventions often overestimate diversification...

How to manage systemic risk in asset management

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Systemic crises are rare but critical for long-term performance records. When the financial system fails, good trades become bad trades and many sensible investment...

Classifying market regimes

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Market regimes are clusters of persistent market conditions. They affect the relevance of investment factors and the success of trading strategies. The practical challenge...

How to construct a bond volatility index and extract market information

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Volatility indices, based upon the methodology of the Cboe volatility index (VIX), serve as measures of near-term market uncertainty across asset classes. They are...

SYSTEMIC VALUE

Excess inflation and asset class returns

Editor -
Excess inflation means consumer price trends over and above the inflation target. In a credible inflation targeting regime, positive excess inflation skews the balance...

Convenience yield risk premia

Editor -
The convenience yield of a commodity is the benefit that arises from physical access. In conjunction with storage costs, it wields great influence on...

Predicting base metal futures returns with economic data

Editor -
Unlike other derivatives markets, for commodity futures, there is a direct relation between economic activity and demand for the underlying assets. Data on industrial...

Testing macro trading factors

Editor -
The recorded history of modern financial markets and macroeconomic developments is limited. Hence, statistical analysis of macro trading factors often relies on panels, sets...

Fiscal policy criteria for fixed-income allocation

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The fiscal stance of governments can be a powerful force in local fixed-income markets. On its own, an expansionary stance is seen as a...

POPULAR POSTS

The dangerous disregard for fat tails in quantitative finance

Editor -
The statistical term ‘fat tails’ refers to probability distributions with relatively high probability of extreme outcomes. Fat tails also imply strong influence of extreme...

Understanding dollar cross-currency basis

Editor -
Covered interest parity is an arbitrage condition that equalizes costs of direct USD funding and of synthetic USD funding through FX swaps. Deviations are...

VIX term structure as a trading signal

Editor -
The VIX futures curve reflects expectations of future implied volatility of S&P500 index options. The slope of the curve is indicative of expected volatility...

The importance of volatility of volatility

Editor -
Options-implied volatility of U.S. equity prices is measured by the volatility index, VIX. Options-implied volatility of volatility is measured by the volatility-of-volatility index, VVIX....

Understanding the correlation of equity and bond returns

Editor -
The correlation of equity and high grade sovereign bond returns is a powerful driver of portfolio construction and the term premia of interest rates....

Leverage in asset management

Editor -
Asset managers can use leverage to enhance returns. Outside hedge funds, such leverage is modest as share of assets under management. However, considering the huge...

ABOUT US

Macrosynergy Research (formerly Systemic Risk and Systematic Value) is a free educational site dedicated to responsible macro trading strategies. These are alternative investment management styles based on macroeconomic and policy trends. If the right principles and ethics are applied, social and economic benefits arise from an improved information value of market prices, increased efficiency of capital allocation and reduced risk of financial crises.

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