Macroeconomic trends are internationally comparable daily information states of the latest dynamics of economic aggregates, such as production, price indices, credit, and trade. Popular examples are real-time estimates of GDP growth, consumer price inflation, and employment changes. Macroeconomic trends are the largest set of category groups on JPMaQS, with a plausible and empirically proven predictive power for returns across asset classes
Macroeconomic balance sheets are daily information states of important macro accounts, typically in the form of standard ratios. These accounts include high-level balance sheet positions of the government, the banking sector, the central bank, and international investment relations. Common examples include general government debt and deficits ratios to GDP, current account balances as % of GDP, and FX reserves as a ratio of international liabilities.
Financial conditions are daily information states of economic and market factors that influence the ease of borrowing and raising capital in an economy. These typically are combinations of economic and market data and include metrics of real interest rates, real effective currency appreciation, terms-of-trade, credit growth, as well as central bank liquidity generation. Financial conditions are often among the most timely indicators of changes in economic development.
Shocks are daily information states of changes in uncertainty or risk aversion. Risk measures refer to daily information states of the magnitude of uncertainty and risk aversion. Unlike economic trends or balance sheets, these data are mainly based on market prices. However, they have macro implications. Examples include realized return volatility across asset classes, volatility risk premia, and tail risk premia.
Trading factors are daily information states of composite indicators of economic and market information that are widely accepted as a valid basis for taking financial market positions. This theme is still at a primary stage, and the focus is mainly on types of cross-asset carry. Carry generally is defined as the return on an asset in a state where all market prices are unchanged. It requires the consideration of macro estimates, such as forward earnings growth and inflation.
Generic returns provide approximate daily profit and loss series’ of positions in stylized contracts as a percentage of notional or risk capital. They are available for a range of asset classes, including interest rate swaps, government bonds, FX forwards, equity index futures, commodity futures, and some CDS indices. Many types of generic returns also include returns on volatility-targeted and hedged positions.