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Macro Factors

Jan 06 2018

Economic Performance: Powerful Factor For Country Rotation

  • Jan 6, 2018

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

  • Oct 5, 2017

There will be occasions when the macro influences are reasserted, which happened in September.

Dec 07 2016

Quantitative Factor Performance: Year In Review

  • Dec 7, 2016

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

  • May 6, 2016

Positive forces may be transient. Be wary of EM’s high correlation to commodities and Chinese stocks.