Indices

page_indices

Over Saeed Amen’s career, he has created a large number of data indices, including Nomura’s growth surprise and terms of trade indices. He was also part of the team which developed Lehman Brothers MarQCuS FX tradable FX index product, which had 2bn USD AUM. Utilising Saeed Amen’s deep expertise in this field, we offer our own data indices for clients. In time we are hoping to add more.

Macro Data Indices

Cuemacro’s proprietary macro data indices seek to use both conventional and unusual datasets to give market participants a better understanding of the prevailing macro environment. Below we present our various macro data indices.

Cuemacro FOMC statement scores – Cuemacro natural language processing analysis of FOMC statements

Applying natural language processing to FOMC statements, we create a proprietary score for Fed hawkish/dovish sentiment. For further details about subscribing to the raw data, please contact Cuemacro.

fed

Cuemacro NewsNFP – Cuemacro news based change in non-farm payrolls forecast

Using factors including news data, we apply a proprietary algorithm to generate a monthly forecast for the upcoming change in US non-farm payrolls release, which is available at 7AM London time on the morning of each US employment report. Our model has a 60% hit ratio, in terms of predicting the direction of the surprise in the US change in non-farm payrolls since 2007. Further details to come soon!

More macro data indices to come soon!
Trading Indices
Cuemacro CTA Multi-Asset Trend Following Strategy

Live positions and returns statistics are available for this for members.

Cuemacro FX Trend Following Strategy

We present a beta-style FX trend following strategy for G10 USD crosses. Carry is not included in these calculations. We report both cumulative returns and positions by currency pair.

 

Updated daily at 23:00 GMT (with delayed signal)

 

For further details please contact Cuemacro.