Research

Macro-Quantamental Research

Peer-reviewed quantitative research bridging macroeconomics and finance. All methodologies are transparent, all results reproducible.

Equity Strategy 12 min read

Stock selection with macro factors: the case for simple neural networks

An exploration of how simple neural network architectures can effectively combine macro-quantamental factors for systematic stock selection across global equity markets.

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Fundamental Value 10 min read

How dollar invoicing and dollar debt shape FX risk premia

The dominance of the US dollar in global trade invoicing and international debt creates systematic risk premia in currency markets that can be captured quantamentally.

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Macro Trends 9 min read

Public finance pressure as a systematic trading factor

Government fiscal positions create predictable pressures on sovereign bond markets. We show how to construct a tradable factor from point-in-time public finance data.

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Equity Strategy 11 min read

Alpha through equity-versus-FX trading

Cross-asset relative value strategies that exploit the divergent responses of equity and currency markets to macroeconomic information offer a distinct source of uncorrelated alpha.

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Equity Strategy 14 min read

Systematic stock selection with macro factors

A framework for integrating macroeconomic indicators into equity selection models. We demonstrate how point-in-time macro data enhances cross-sectional return forecasts.

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Fundamental Value 10 min read

Macro scorecards for local-currency EM bonds

Composite macro indicators tailored to emerging market sovereign debt help identify value and risk in local-currency bond portfolios across 20+ developing economies.

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