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.

SPECIAL: Asset management

Crowded trades: measure and effect

One measure of the crowdedness of trades in a portfolio is centrality. Centrality is a concept of network analysis that measures how similar one...

The passive investment boom and its consequences

Passive investment vehicles have been expanding rapidly over the past 10 years, with assets reaching about USD8 trillion or 20% of aggregate investment funds...

Trend following and the headwinds of rising yields

The decline in bond yields over the past decades has supported profitability and diversification value of trend followers. Returns have been boosted by a...

Cash hoarding and market dynamics

Institutional asset managers can aggravate market swings due to the pro-cyclicality of redemptions, internal leverage and cash positions. A new empirical analysis shows that...

Twitter Feed

"Commodity Momentum Decomposition": "This study decomposes a momentum factor (MOM) in the commodity futures market. A high-to-price (HTP) factor generates a higher Sharpe ratio than a price-to-high (PTH) factor." https://t.co/2m5IFpUURu 🇺🇦 https://t.co/FDUdumbqPB macro_srsv photo
"Pairs Trading: Modeling the spread as Gaussian state-space model with exogenous inputs [in Python]." https://t.co/nYHlTRLRGz 🇺🇦 https://t.co/iLQzEhRiiW macro_srsv photo
"Pairs trading: Analysis of [seven] pair selection methods and [two] trading strategies [in Python]." https://t.co/FJPep8OS2V https://t.co/TQf4xxQDGI macro_srsv photo

TAGS

SYSTEMIC RISK

Crashes in safe asset markets

A new theoretical paper illustrates the logic behind runs and crashes in modern safe asset...

Copulas and trading strategies

Reliance on linear correlation coefficients and joint normal distribution of returns in multi-asset trading strategies...

How to manage systemic risk in asset management

Systemic crises are rare but critical for long-term performance records. When the financial system fails,...

Classifying market regimes

Market regimes are clusters of persistent market conditions. They affect the relevance of investment factors...

How to construct a bond volatility index and extract market information

Volatility indices, based upon the methodology of the Cboe volatility index (VIX), serve as measures...

SYSTEMATIC VALUE

Trend following: combining market and macro information

Classic trend following is based on market prices or returns. Market trends are relatively cheap...

The power of macro trends in rates markets

Broad macroeconomic trends, such as inflation, economic growth, and credit creation are critical factors of...

Six ways to estimate realized volatility

Asset return volatility is typically calculated as (annualized) standard deviation of returns over a sequence...

Duration volatility risk premia

Duration volatility risk premium means compensation for bearing return volatility risk of an interest rate...

Inflation as equity trading signal

Academic research suggests that high and rising consumer price inflation puts upward pressure on real...

POPULAR POSTS

The dangerous disregard for fat tails in quantitative finance

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

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

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

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

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

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...