Our Approach

“ Seeing the forest for the trees ”

For thirty years our partners have researched, analyzed, traded and invested throughout the global macro markets. Throughout this period, macroeconomic data has been a key input into formulating our expectations for asset price movements (up or down) across global markets. This is fairly common for macro investors. However, over the course of the last fifteen years, we have developed (and continuously re-engineer) a technology that systematically transforms macroeconomic data across developed and emerging markets into “tradable economics”. This is not common.

Tradable economics is a technology for developing systematic trading strategies and trading support tools based on economic data, statistics that – unlike market prices – directly inform economic activity. They can be simple time series, official releases or advanced indicators. Economic data become tradable through intuitive transformations, high quality controls, deploying point-in-time timestamps and applying strict out-of-sample estimation and construction decisions. For more information on tradable economics, see our Systemic Risk and Systematic Value Project.

Based on tradable economics, Macrosynergy has developed a quantamental computing system that tracks a broad range of macroeconomic trends in real time for over 30 countries, as well as market risk premia for a wide range of liquid derivatives. Its purpose is to develop macro systematic quantamental investment strategies that generate competitive, uncorrelated investment returns (what the investment industry calls “alpha”). Diversification means that strategies can be applied across all asset classes, across many markets and for a variety of different styles of factors.

Our principal objective is to directly, through managing capital, or indirectly, through advisory services, improve portfolio investment returns by combining quantitative fundamental research technology with decades of intelligence and experience from discretionary macro trading. From this combination our name, “Macrosynergy”, and company were born in 2009.

These complementary, value generating portfolio returns help endowments, public and corporate pension plans and sovereign wealth funds meet or exceed their investment returns requirements to support individual people and communities who rely upon them.

Macro Systematic Quantamental Investment Strategies

across 25-30 FX forwards relative to each other and risk hedged based on relative estimated implicit macro subsidies

across 27 international IRS swaps on a risk parity basis based on macroeconomic estimates of term premia

across 20 commodity futures relative to each other and on a risk parity basis based on relative estimated economic convenience yields

across 18 international equity index futures relative to each other and on a risk parity basis based on relative trends in financial conditions

across 8 developed markets equity indices on a risk parity basis based on a real forward earnings carry / volatility trade-off

across FX forwards and equity index futures in the form of 18 country pairs on risk parity basis based on divergences in monetary policy trends

across 24 currencies based on inflation/monetary trends