Systematic Strategies: A Quantitative Approach to Global Macro

By Menachem Sternberg

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