The systematic macro risk model (SRM) monitors a dynamic set of macro and sentiment variables to forecast the forward level of risk in financial markets and calculates the appropriate exposures in equity and fixed income market accordingly. The risk model builds on academic and proprietary research and is comprehensively tested. It operates on multiple horizons and is explicitly devised to handle non-linear and complex relationships.
Statistical techniques behind the strategy are designed to manage noisy data sets, control overfitting, and importantly, to identify robust relationships which may be overseen by common, regression type, methods. The number of variables is limited and contains no black-box type data aggregation.
