Making Sense Trading Insights: Why macro matters for systematic investors
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Sep 26, 2025 Ralph Sueppel, Managing Director at MacroSynergy, brings his expertise in quantitative finance and macroeconomics to the discussion. He explains the significance of point-in-time data in developing reliable investment strategies through J.P. Morgan's Quantamental System. Ralph dives into the common pitfalls of revised data affecting backtests, and highlights where macro alpha can be found across various asset classes. He also touches on using machine learning for sector predictions and discusses why many investors overlook the value of macro insights.
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Systematic Macro Usage Is Underdeveloped
- Ralph Sueppel explains Macro Synergy builds macro-quantamental factors and macrosystematic strategies.
- He argues systematic use of macro info is underdeveloped and improves market efficiency.
Always Use Point-In-Time Data
- Use point-in-time (vintage) macro data to reconstruct what markets knew at each date.
- This enables scientific analysis and meaningful backtests, Ralph warns.
Revisions Can Destroy Backtest Credibility
- Using revised (non-vintage) data creates two error types that distort backtests.
- Type two—seeing value where none existed—is especially damaging to live performance.