The project

Systemic Risk and Systematic Value is dedicated to socially responsible macro trading strategies. Macro trading strategies 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: Bond yields

Analyzing global fixed income markets with tensors

Roughly speaking, a tensor is an array (generalization of a matrix) of numbers that transform according to certain rules when the array’s coordinates change....

The duration extraction effect

Under non-conventional monetary policy central banks influence financial markets through the “portfolio rebalancing channel”. The purchase of assets changes the structure of prices. A...

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....

How convenience yields have compressed real interest rates

Real interest rates on ‘safe’ assets such as high-quality government bonds had been stationary around 2% for more than a century until the 1980s....

Twitter Feed


"The Volatility Effect in China" shows that "low-risk stocks significantly outperform high-risk stocks...The main driver...is volatility, and not beta...robust across sectors and over time...consistent with evidence for the US and international markets." https://t.co/GegPTMIwb7 https://t.co/lGEz9NOAz7 macro_srsv photo

"Predicting Returns with Fundamental Data and Machine Learning in Python": "A demonstration of constructing a long/short equity strategy portfolio using...price, volatility, volume, dividends, growth rates, price ratios, and analyst rating." https://t.co/isNezp96pU https://t.co/SUcqpVpjYN macro_srsv photo

Macro uncertainty as predictor of market volatility: An aggregate measure of forecasting errors over a wide set of economic indicators can be a significant predictor of volatility and volatility jumps. https://t.co/Yq7aQgYfA5 https://t.co/1BTAUr3cSr macro_srsv photo

TAGS

SYSTEMIC RISK

Macro uncertainty as predictor of market volatility

Market volatility measures the size of variations of asset returns. Macroeconomic uncertainty measures the size...

Understanding international capital flows and shocks

Macro trading factors for FX must foremostly consider (gross) external investment positions. That is because...

Measures of market risk and uncertainty

In financial markets, risk refers to the probability distribution of future returns. Uncertainty is a...

Modern financial system risk for macro trading

Financial system risk is the main constraint and disruptor of macro trading strategies. There are...

Public finance risk

Fiscal expansion was the logical response to the 2020 health and economic crisis. Alas, public...

SYSTEMATIC VALUE

Macro uncertainty as predictor of market volatility

Market volatility measures the size of variations of asset returns. Macroeconomic uncertainty measures the size...

Classifying market states

Typically, we cannot predict a meaningful portion of daily or higher-frequency market returns. A more...

What traders should know about seasonal adjustment

The purpose of seasonal adjustment is to remove seasonal and calendar effects from economic time...

Inflation and precious metal prices

Theory and plausibility suggest that precious metal prices benefit from inflation and negative real interest...

Real-time growth estimation with reinforcement learning

Survey data and asset prices can be combined to estimate high-frequency growth expectations. This is...

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...

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...

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....