Jan 06 2018
Economic Performance: Powerful Factor For Country Rotation
In previous studies, we looked at two classic factors for employing a country rotation strategy: valuation and momentum.
Oct 05 2017
Macro Factors Reassert Themselves
There will be occasions when the macro influences are reasserted, which happened in September.
Dec 07 2016
Quantitative Factor Performance: Year In Review
Factor performance during 2016 is the reverse of that of 2014-2015. Quants and smart beta funds focusing solely on Value have enjoyed the year, while multi-factor approaches have struggled. Value has been the only factor that has provided positive performance this year.
May 06 2016
EM: Improved Sentiment But Macro Risks Still Dominate
Positive forces may be transient. Be wary of EM’s high correlation to commodities and Chinese stocks.