An analog model for global macro investing


Autoria(s): Correia, Gonçalo Guimarães
Contribuinte(s)

Lameira, Pedro

Data(s)

25/08/2015

31/12/2016

01/01/2015

Resumo

This study proposes a systematic model that is able to fit the Global Macro Investing universe. The Analog Model tests the possibility of capturing the likelihood of an optimal investment allocation based on similarity across different periods in history. Instead of observing Macroeconomic data, the model uses financial markets’ variables to classify unknown short-term regimes. This methodology is particularly relevant considering that asset classes and investment strategies react differently to specific macro environment shifts.

UNL - NSBE

Identificador

http://hdl.handle.net/10362/15362

201477076

Idioma(s)

eng

Direitos

embargoedAccess

Palavras-Chave #Global macro #Asset allocation #Trading strategy
Tipo

masterThesis