Saeed Amen, Thalesians
How can RavenPack's macro news analytics data be used to trade bond futures and FX?
Thalesians' quant strategist Saeed Amen examines how RavenPack's macro news analytics data can be used to trade bond futures and FX.
Amen uses the RavenPack Analytics Global Macro data to create news-based economic indexes (NBESI) for the US, EZ, UK and Japan, which are then tested against sovereign bond futures prices and spreads.
He also tests the indexes against common FX strategies.
Findings show that, since 2001:
- the NBESI G4 bond futures basket (using US NBESI) has a risk adjusted returns of 1.14 and drawdowns of 7.1%, outperforming a passive basket, which has a risk adjusted return of 0.79
- the NBESI US Treasury futures spread basket has risk adjusted returns of 0.90 versus the passive basket's 0.46
The full white paper can be downloaded here