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: Commodities

Inflation and precious metal prices

Theory and plausibility suggest that precious metal prices benefit from inflation and negative real interest rates. This makes gold, silver, platinum, and palladium natural...

Forecasting energy markets with macro data

Recent academic papers illustrate how macroeconomic data support predictions of energy market flows and prices. Valid macro indicators include shipping costs, industrial production measures,...

Commodity carry

Across assets, carry is defined as return for unchanged prices and is calculated based on the difference between spot and futures prices (view post...

Seasonal effects in commodity futures curves

Seasonal fluctuations are evident for many commodity prices. However, their exact size can be quite uncertain. Hence, seasons affect commodity futures curves in two...

Twitter Feed


"Defining a futures return as the rate of change of futures prices...implies that a futures contract is fully collateralized...Different collateral choices...affect the dynamic properties of returns...and modify their risk profile." https://t.co/Imd0gw4miW https://t.co/0kKGn0qd8D macro_srsv photo

"Fluctuations in exchange rates are priced in international stock returns...Currency risk is more likely to be priced among firms producing tradeable goods, and especially during periods of sudden exchange rate fluctuations."
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"Short interest is a strong negative predictor of stock market returns internationally...This predictability survives out-of-sample tests, persists outside recessions, and is not subsumed by other well-known return predictors." https://t.co/arfn26w8zB https://t.co/NFKvE7wNgI macro_srsv photo

TAGS

SYSTEMIC RISK

Market dynamics: belief, risk, and ambiguity effects

To understand financial market dynamics, it is helpful to distinguish beliefs, attitudes towards risk, and...

Building a real-time market distress index

A new Fed paper explains how to construct a real-time distress index, using the case...

The financial stability interest rate

The financial stability interest rate is a threshold above which the real interest rate in...

Contagion and self-fulfilling dynamics

Contagion and self-fulfilling feedback loops are propagation mechanisms at the heart of systemic financial crises....

Macro uncertainty as predictor of market volatility

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

SYSTEMATIC VALUE

Risk premia in energy futures markets

Energy futures markets allow transferring risk from producers or consumers to financial investors. According to...

Ten things investors should know about nowcasting

Nowcasting in financial markets is mainly about forecasting forthcoming data reports, particularly GDP releases. However,...

Macro trends for trading models

Unlike market price trends, macroeconomic trends are hard to track in real-time. Conventional econometric models...

Machine learning for portfolio diversification

Dimension reduction methods of machine learning are suited for detecting latent factors of a broad...

Accounting data as investment factors

Corporate balance sheet data are important building blocks of quantitative-fundamental (“quantamental”) investment factors. However, accounting...

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....

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....

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...