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: Market Turmoil

The correlation risk premium

The correlation risk premium is a premium for uncertainty of future correlation of securities among each other or with a benchmark. A rise in...

Understanding collateral runs

In normal financial runs lenders want their money back. In collateral runs borrowers want their collateral back. In today’s highly collateralized financial system the...

How to prepare for the next systemic crisis

Systemic crises are rare. But they are make-or-break events for long-term performance and social relevance of investment managers. In systemic crises conventional investment strategies...

The 1×1 of risk perception measures

There are two reasons why macro traders watch risk perceptions. First, sudden spikes often trigger subsequent flows and macroeconomic change. Second, implausibly high or...

Twitter Feed


"[Cuemacro's] 'tcapy' is...an open-source a transaction cost analysis library to download for free from GitHub...[It is] fully modifiable...to your requirements...you don’t spend years building the framework." https://t.co/ycgaYwIotm https://t.co/0H8j56Z95t macro_srsv photo

The basics of low-risk strategies: These strategies prefer leveraged low-risk assets over high-risk assets. The rationale is that leverage is restricted and that investors pay over the odds for assets with lottery-like upwardly skewed return expectations. https://t.co/H0zSCErg4l https://t.co/vHLKifMzI1 macro_srsv photo

"Many investors in bond funds were seeking yield with moderate risk, reassured by right of immediate redemption and assumption of limited downside...Mutual funds cannot default but once redemptions pass a certain level may be forced into liquidation." https://t.co/RVcKmd1pzP https://t.co/1ItNfsbBjP macro_srsv photo

TAGS

SYSTEMIC RISK

Systemic risk under non-conventional monetary policy

Central bank operations in the form of quantitative easing, qualitative easing, forward guidance and collateral...

Risk management shocks and price distortions

Risk management relies on statistical metrics that converge on common standards. These metrics can change...

Unproductive debt

Credit and related interest income have historically been viewed as service and related payment for...

How central banks can take nominal rates deeply negative

The popular view that nominal interest rates have a natural zero lower bound has become...

Bayesian Risk Forecasting

Portfolio risk forecasting is subject to great parameter uncertainty, particularly for longer forward horizons. This...

SYSTEMATIC VALUE

The basics of low-risk strategies

Low-risk investment strategies prefer leveraged low-risk assets over high-risk assets. The measure of risk can...

How loss aversion increases market volatility and predicts returns

Loss aversion means that people are more sensitive to losses than to gains. This asymmetry...

Reward-risk timing

Reward-risk timing refers to methods for allocating between a risky market index and a risk-free...

Lagged correlation between asset prices

Efficient market theory assumes that all market prices incorporate all information at the same time....

Detecting market price distortions with neural networks

Detecting price deviations from fundamental value is challenging because the fundamental value itself is uncertain....

POPULAR POSTS

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...

Basic theory of momentum strategies

Systematic momentum trading is a major alternative risk premium strategy across asset classes. Time series momentum motivates trend following; cross section momentum gives rise...

The four components of long-term bond yields

A BOJ paper proposes an affine terms structure model for bond yields under consideration of the zero lower bound. It estimates the contribution of...