Strategies · Library · Global macro
§19.4Factor
Global fixed-income strategy
Rank government bonds of different countries on growth, inflation, sovereign risk, real rates, value, momentum and term spread. Buy the best group and sell the worst, often through country bond ETFs.
Open in the builderAs a long-only proxy; see how ARCANE uses it.
- Asset class
- Global macro
- Held for
- Months
- Data
- ARCANE has part of the data
- Symphony
- Builds as a long-only proxy
The rule
- Signal
- Combined factor rank of each country's bonds
- Entry and exit
- Rebalance periodically; hold top, short bottom
- Sizing
- Equal weight within each group
How it fails
- Currency risk
- Data lag
- Shorting needed
Data it needs
- country macro data
- bond ETF prices
Bond ETF prices yes, macro factors no.
How ARCANE uses it
Could inform a Call on a sovereign bond or currency pair. Paper only.
Builds as a long-only proxy. Long-only rotation on past return across bond ETFs replaces the factor ranking and the short leg.
Filed under the factor card
Own companies that are small, cheap, profitable and invest conservatively, against their opposites, and rebalance once a year.
A paper plan from this card holds 63 to 365 days, stops at 2× the expected move and uses at most 75% of your risk budget. The card
Source: Kakushadze and Serur (2018), 151 Trading Strategies, §19.4, p. 123 of the SSRN version. Described in our words. Factor is ARCANE’s filing, not the book’s.