Quant Macro Investing

Risk Taking Disciplined

Quant Macro Investing

We think picking the right relationship for observation can be way more important in building the so-called quant model.

For example, check out the relationship between BDI and German government bond yield here (why German bond yield?  How about US Treasury?  Gilts?  JGB? …).

This apparent relationship may not stand the test of time (say, back dating for 15 years).  We, however, think that is precisely the point.  As the macro environment is rapidly changing, such relationship is more likely to emerge more recently.

Before moving to “Quant Macro”, how do we know, in the first place,  if “pure macro” works or not?  Isn’t that too subjective?  We think we can add value here, as we are with a hedge fund that invests based on macro understanding (here more for macro investing).

October 21, 2009 - Posted by | ABCs for Quant

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