Quantitative Investment Strategies

Quantitative Investment Strategy Documentation

General information

IOSCO Principles – Statement of Compliance: Macquarie Bank Limited

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Macquarie Proprietary Indices - Risk Factors

PDF 462 KB

Macquarie Strategy Calculation Holidays

CSV 1 KB

 

Strategy data

Historical Strategy Levels (MABC Strategy MQCP430F)

XLS 94 KB

Historical Strategy Levels (MQCP530E)

XLS 57 KB

Historical Strategy Levels (MQCP536E)

XLS 57 KB

Historical Strategy Levels (MQCP598E)

XLS 65 KB

Historical Strategy Levels (MQCP614E)

XLS 64 KB

Target Weights

XLSX 6 KB

 

Macquarie VMAQDSPG Strategy

Historical Strategy Levels (VMAQDSPG)

XLSX 52 KB

 

The Macquarie Commodity Strategy - MQCP708E

Component Dollar Weights (MQCP708E)

CSV 4 KB

 

The Macquarie Commodity Strategy - MQCP855

Component Dollar Weights (MQCP855E)

CSV 21 KB

Historical Strategy Levels (MQCP855E)

XLS 64 KB

Historical Strategy Levels (MQCP855U)

XLS 64 KB

 

The Macquarie MQCP711E Strategy

Component Dollar Weights (MQCP711E)

CSV 6 KB

 

The Macquarie Vol Matched Spreads F3vF0 Ex Ags and Lv Curve Carry - MQCP829E

Component Dollar Weights (MQCP829E)

CSV 2 KB

Historical Strategy Levels (MQCP829E)

XLS 64 KB

 

The Macquarie Vol Matched Spreads Minimum Drawdown Ex Ags and Lv Curve Carry - MQCP838E

Component Dollar Weights (MQCP838E)

CSV 2 KB

Historical Strategy Levels (MQCP838E)

XLS 63 KB

 

The Macquarie Daily Convexity Alpha ex Ags and Lv - MQCP807E

Component Dollar Weights (MQCP807E)

CSV 14 KB

Historical Strategy Levels (MQCP807E)

XLS 64 KB

 

The Macquarie MQCP845E Vol Matched Spreads Curve Carry Strategy

Component Dollar Weights (MQCP845E)

CSV 4 KB

 

The Macquarie MQCP846E Vol Matched Spreads Curve Carry Strategy

Component Dollar Weights (MQCP846E)

CSV 3 KB

 

The Macquarie Baskets MQCPC indices

MQCPCENE Weights

CSV 771 KB

MQCPCAGE Weights

CSV 1 MB

MQCPCPRE Weights

CSV 334 KB

MQCPCINE Weights

CSV 586 KB

 

The Macquarie Building Block Indices

Building Block Dollar Weights

XLS 28 KB

Historical Strategy Levels (Building Block)

CSV 7 MB

Diversified Heavy & Ex-Sector Building Block Dollar Weights

CSV 125 KB

 

The Macquarie Trend Following Alpha F3 2.5x Strategy – MQCP536E

Component Dollar Weights (MQCP536E)

CSV 368 KB

 

The Macquarie Investor Product 575

Component Dollar Weights (MQCP575E)

CSV 1 KB

Component Dollar Weights (MQCP252E)

CSV 703 bytes

 

The Macquarie Dynamic Pre-Post Roll Congestion Indices

Component Dollar Weights (MQCP170E)

CSV 3 MB

Component Dollar Weights (MQCP510E)

CSV 2 KB

Component Dollar Weights (MQCP561E)

CSV 2 KB

 

The Macquarie Trend Following Alpha Strategy - MQCP514E

Component Dollar Weights (MQCP514E)

CSV 5 KB

 

The Macquarie Dynamic Carry Alpha Strategy - MQCP710E

Component Dollar Weights (MQCP710E)

CSV 5 KB

 

The Macquarie Backwardation Alpha Strategy - MQCP565E

Component Dollar Weights (MQCP565E)

CSV 2 KB

 

The Macquarie MQCC112T Strategy

Component Dollar Weights (MQCC112T)

CSV 1 MB

 

The Macquarie Investor Product 625

Component Dollar Weights (MQCP625E)

CSV 1 KB

 

The Macquarie Investor Product 626

Component Dollar Weights (MQCP626E)

CSV 1 KB

 

The Macquarie Investor Product 500E

Component Dollar Weights (MQCP500E)

CSV 4 KB

 

The Macquarie Backwardation vs Contango Strategy – MQCP725E

Component Dollar Weights (MQCP725E)

CSV 1 KB

Component Dollar Weights (MQCP845E)

CSV 4 KB

 

The Macquarie F6 Equal Weights Backwardation Beta Strategy - MQCP300E

Component Dollar Weights (MQCP300E)

CSV 1 KB

 

The Macquarie Roll Yield Enhanced Beta Strategy - MQCP312E

Component Dollar Weights (MQCP312E)

CSV 239 KB

Historical Strategy Levels (MQCP312E)

XLS 65 KB

The Macquarie Carry Strategy MQCP614E

Component Dollar Weights (MQCP614E)

CSV 403 KB

 

The Macquarie Dynamic Carry ex Agriculture & Livestock Indices - MQCP713E & MQCP717E

Component Dollar Weights (MQCP717U)

CSV 735 bytes

 

Macquarie Inverse Variable Beta Strategy - MQCP321E

Component Dollar Weights (MQCP321E)

CSV 2 KB

 

Macquarie MQCP864E Commodity Curve Navigator Strategy

Component Dollar Weights (MQCP864E)

CSV 5 bytes

 

Macquarie Investor Product DO01

Historical Strategy Levels (MQISDO01)

XLS 63 KB

Component Dollar Weights (MQISDO01)

CSV 28 KB

 

Macquarie Investor Product DO02

Historical Strategy Levels (MQISDO02)

XLS 63 KB

Component Dollar Weights (MQISDO02)

CSV 12 KB

 

Macquarie Investor Product DO03

Historical Strategy Levels (MQISDO03)

XLS 65 KB

Component Dollar Weights (MQISDO03)

CSV 2 KB

 

Macquarie Investor Product DO04

Historical Strategy Levels (MQISDO04)

XLS 64 KB

Component Dollar Weights (MQISDO04)

CSV 7 KB

 

Macquarie Investor Product DO05

Historical Strategy Levels (MQISDO05)

XLS 66 KB

Component Dollar Weights (MQISDO05)

CSV 1 KB

 

Macquarie Investor Product DO06

Historical Strategy Levels (MQISDO06)

XLS 67 KB

Component Dollar Weights (MQISDO06)

CSV 5 KB

 

Macquarie Investor Product DO07

Historical Strategy Levels (MQISDO07)

XLS 66 KB

Component Dollar Weights (MQISDO07)

CSV 2 KB

 

Macquarie Investor Product DO08

Historical Strategy Levels (MQISDO08)

XLS 65 KB

Component Dollar Weights (MQISDO08)

CSV 620 bytes

 

Macquarie Investor Product DO09

Historical Strategy Levels (MQISDO09)

XLS 64 KB

Component Dollar Weights (MQISDO09)

CSV 7 KB

 

Macquarie Investor Product DO14

Historical Strategy Levels (VMAQDO14)

XLS 65 KB

Component Dollar Weights (VMAQDO14)

CSV 7 KB

 

Macquarie VMACBK2B Strategy

Component Dollar Weights (VMACBK2B)

CSV 4 KB

 

Macquarie MQCP823E Strategy

Component Dollar Weights (MQCP823E)

CSV 4 KB

 

Macquarie MQCP439E Strategy

Component Dollar Weights (MQCP439E)

CSV 82 KB

 

Macquarie MQIS311B Strategy

Macquarie MQIS311B Strategy Description

PDF 230 KB

Historical Strategy Levels (MQIS311B)

XLS 52 KB

 

Macquarie MQCPF7 Strategy

Historical Strategy Levels (MQCPF7)

XLS 65 KB

 

Macquarie MQIS315 Strategy

Macquarie MQIS315 Strategy Description

PDF 289 KB

Historical Strategy Levels (MQIS315)

XLS 52 KB

Actual or potential investors in products linked to the Indices can request Strategy Level Data by emailing CIP@macquarie.com.