RV type trading can get systematized to an extent but macro cannot. The future of RV is different from the future of macro. I think behavioural and seasonality strategies might start getting in vogue, such as seasonality and auctions strategy, but these are by no means "quanty", as a lot of these merely optimise and systematise what a normal PM has probably seen. When this regime dies out (and I can't tell you when), you're going to find a mass of money returns to RV trading, which quants/python coders can more or less entirely automate, but with a discretionary PM using bond/bond supply technicals to figure out which flagged trades are sound. Yet these guys got wiped out in the reflationary VAR shocks this February (7Y USTs auction tailing 4.5bps !!!!), quite like 2013's taper tantrum, as CBs are content to not do anything to fend off steeper (and increasingly bear flattening) curves, whilst the few purely directional, pay rates, long vol PMs probably smashed it.
Macro traders like these with no stops, massive capital can do "mine, yours" all day long and will totally kill it.ĭespite what's been said here, most typical "macro PMs" are really somewhere between RV and macro-RV, as the rates and FX world has become more and more positive carry, directionally independent, and many are still reeling from the recency bias of "lower rates for longer" and Draghi's "we'll do whatever it takes". On the contrary I think "Second-gen", rates and FX momentum trading in the form of say Alan Howard/Chris Rokos will have a resurgence given the reflationary regime we've entering. I work at a place undergoing a discretionary to more quanty transition as described by others here, but far less systematic than say Element or certain pods in MLP/ExodusPoint.
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