Trading Insights: Why macro matters for systematic investors

22 snips

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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ADVICE

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.

INSIGHT

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.

ANECDOTE

Building Vintages Required A Big Partnership

Ralph recounts the high cost and effort to build vintage macro datasets, including digging through archives and contacting statistical offices.
This led to the partnership between MacroSynergy and J.P. Morgan to create JPMaQS.

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In this episode we hear from Ralph Sueppel, Managing Director at Macrosynergy, a London-based macroeconomic research and technology company that co-developed the J.P. Morgan Macrosynergy Quantamental System (“JPMaQS”): a data and analytics product harnessing macroeconomic quantamental point-in-time data for investment strategies. Ralph joins J.P. Morgan’s Eloise Goulder, head of the Data Assets & Alpha Group. They delve into the evolution of systematic strategies using macro quantamental data, and they explore which data sets, asset classes, and analytical techniques have historically yielded the greatest alpha opportunities in this space. Finally, they touch on the future path for macro quantamental investing strategies.

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This episode was recorded on August 28, 2025.

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