Systematic Strategies: A Quantitative Approach to Global Macro

Risk Books

This article was first published as a chapter in Global Macro: Theory and Practice, by Risk Books.

Quantitative trading strategies were underutilised by the investment community for many years, being both unpopular and misunderstood. Many asset allocators and investors shied away from such strategies, labeling them “black box” to indicate that they did not understand them and thus deliberately avoided them. As is often the case with these new and developing areas, myths and a lack of knowledge were characteristic, and led to the inclusion in the same investment bucket of many trading strategies that were very different from each other, sometimes to the point of having almost nothing in common.

In this chapter, we will focus on the quantitative approach to global macro, describing the aim of these strategies, addressing the misconceptions that still surround them and analysing the factors behind their new-found attraction as effective investment strategies and portfolio diversifiers for asset allocators and institutional investors.

Defining Systematic Macro

Systematic strategies have been available for many years, utilising vast mathematical models to analyse and participate