Macquarie Quants Tackle Rugby


The equity research quants at Macquarie Securities have adapted their stock valuation models to forecasting the Rugby World Cup. The back test has an 82.5% accuracy. Perhaps Macquarie should set up a sports betting trading desk…

Macquarie structured its Rugby World Cup model similarly to its stock models. Whereas the Macquarie Alpha Model has over 120 factors that are grouped into 10 styles which are then weighted to form a single model rank, the Rugby model uses 10 factors across 5 styles.

The styles are derived from stock analysis. For example, one style is momentum, which in rugby terms is not derived from the recent movements in stock price but rather from recent match results:

  1. Value: World Ranking, World Cup Matches
  2. Momentum: Change in Ranking, Win % (Last 12m)
  3. Sentiment: Odds, Change in Odds
  4. Quality: Best Result, Point Differential (12m), World Cup Points
  5. Other: Home Ground Advantage

Macquarie assigned a value of 25% each to Value, Momentum, Sentiment, with Quality and Other Data making up the remaining 25%. The underlying factors making up the styles were weighted based on their anticipated impact.

The back test looked strong (as back tests often do) with an 82.5% accuracy in predicting matches leading up to the World Cup. So like all self-respecting quants, they decided to fearlessly apply the model to predict the outcome of the World Cup.

They assigned rankings to each team, with New Zealand ranked highest, followed by England and Australia. The official Rugby rankings have New Zealand ranked first, then Australia, and Ireland third, with England ranked 8th. Could the Macquarie quant building the model be a secret England fan? Doubtful…

Macquarie then applies the rankings to each of the upcoming matches, and concludes that New Zealand will triumph over England in the final with Australia coming in third.

Our Take

Unfortunately, the model’s second-highest ranked team, England, has already exited from the World Cup.  Perhaps the quants put too much weight on home field advantage.  Such are the vicissitudes of modelling…

Macquarie’s exercise is great fun and used in the office pools similarly to how stock models are used by portfolio managers: sparingly. As with investing, other factors will intrude, such as fundamental factors (injuries) and emotion (fan favorites).


About Author

Sandy Bragg is a principal at Integrity Research Associates. He has over thirty years experience as an investment research professional. Prior to joining Integrity in 2006, he was an Executive Managing Director at Standard & Poors, managing S&P’s equity research business and fund information properties. Sandy has an MBA from New York University and BA from Williams College. Email:

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