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Quantitative Finance · Glossário

O que é Macro value signal?

Definition 16.1 Strategies II: Volatility, Relative Value, Macro and the Bank Desks · Capítulo 16 — Systematic Macro

A macro value signal ranks countries’ assets by their price against a fundamental anchor, such as purchasing-power parity for a currency, a real-yield or term-premium model for a bond, or earnings and book value for an equity index, buying the cheap and selling the dear.

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