The Quantitative Analysis & Systematic Global Macro suite of indexes takes the pulse of global macroeconomic conditions in real time, potentially helping institutions better monitor their asset allocation policy against the macro environment.
Launched Jan. 23 by London's Cass Business School and Quantitative Investment Solutions Ltd., a London-based specialist consultant, the system for extracting real-time systematic macro factors can also be applied to portfolio management to better control volatility or alpha generation, said Alessandro Beber, professor of finance at Cass. Mr. Beber and Maurizio Luisi, London-based principal at QIS, led the project.
“What typically happens is that the low frequency of information that's available when measuring the state of the economy, such as (gross domestic product), means that while asset managers look at the macro conditions, there's not much to learn” in order to apply the information to the investment process because of the time delay, Mr. Beber said.
In “striking contrast,” they're also bombarded with such economic indicators as employment, retail sales and housing starts. “While the information can be helpful, they are also very dispersed. So what we've attempted to do is to collapse all this information into one indicator. ... This is a daily, evolving measurement of market conditions.”
The indexes cover the U.S., U.K., eurozone (core and periphery nations) and Japan. The team is also developing emerging markets capabilities.
