PROPRIETARY MODELS 'We live in a VUCA world'
VUCA - Volatility Uncertainty Complexity Ambiguity
> Markets and economies evolve as stochastic processes
> The Global Macro space is a complex interconnection of all these stochastic time series
> Our speciality at MacroVIGILANCE is cross-analysing these time series to produce top down research
"the world is inherently unpredictable"
The world at large and particularly financial markets are complex systems that are inherently unpredictable and very sensitive to incremental change and chaotic dynamics. But there are tools and techniques we can develop to navigate and direct our activities in such domains. Because of both the interconnectedness and interdependence of the global macro space, we believe it is essential to have several robust models that in union, provide consistent inference for asset allocation and risk management and thus we employ multi-model ensemble analysis.
At MacroVIGILANCE we have developed a small stable of proprietary financial time series models that we run across a diverse set of macro instruments and data to capture Alpha and highlight the varying degrees of operational RISK.
The statistical configuration and parameters for each model remains constant whatever the instrument it's applied to and whatever the time frame. Therefore we avoid falling into the "curve fitting" trap.
The objective of running multiple models is to provide several perspectives to determine which data should be construed as noise and which should be viewed as signal.
The main themes with our models are: non-linear stochastic data, stochastic drift, fractal scale-invariant price structure, probability distributions & variance, volatility & standard deviation, trend & momentum (sequential directional movement), reversal & mean reversion, jumps/Levy flight and cycles.
We work primarily with Weekly data as we believe daily data is too noisy for global macro calls, whilst monthly data is too lagging.
They aim to be visually pleasing, but more importantly they should help the asset manager easily identify key areas to position and identify both improving situations and conversely deteriorating situations.
(see models below - click bottom right on each image to enlarge (weekly data except MVd-pulse & flow)
MValpha JPY/USD example
MVdelta Eurostoxx Bank Index example
MVeconometric DJIA example
MVvolatility DAX example
MVspread DAX/CAC pairs trade example
MVbeta GOLD example
MVd-pulse SILVER example
MVenergy SP500 example
MVtrigress Global SP1200 example
MVcycle S&P500 example