Products & Services JPMaQS

Research evidence excerpt

Products & Services JPMaQS

Products & Services J P M O R G A NJPMaQS

13 July 2026

The analysis is conducted both globally and across up to 27 currency areas. Both growth and inflation surprises have been

significant negative predictors of daily duration returns. Growth surprises have also been significant positive predictors of returns

in equities, credit, industrial commodities, and foreign exchange.

A simple rates strategy illustrates both the strengths and limitations of trading economic surprises. Such strategies can generate

high, uncorrelated risk-adjusted returns. However, they require daily rebalancing, which raises transaction costs and constrains

scalable trading capacity.

Full post and python code here

Empirical findings in this note are based on the J.P. Morgan Macrosynergy Quantamental System (JPMaQS), a joint dataset

produced by J.P. Morgan and Macrosynergy delivering point-in-time macroeconomic indicators for systematic trading research.