Today, we'll be taking a break from examining current trade entanglements through the lens of the Exchange Rate Sensitivity factor. Instead we'll check in on Growth and Medium-Term Momentum, two factors that have seen rapid gains in our normalized return framework over the past few weeks. They've both recently been flagged as Overbought and Extremely Overbought, respectively, and...
As US trade news continues to dominate headlines and the market, we'll resume our examination of Chinese and US stocks through the lens of the Exchange Rate Sensitivity factor. This time, we'll be decomposing exposure to this factor in both countries at the sector level, to gain an understanding of what industries are most represented and to see what differences we can identify...
Last week we looked at the impact of ongoing US / China trade tensions in the context of Chinese stocks through the lens of the Exchange Rate Sensitivity factor. In doing so, we were able to connect the impact that trade events had on Chinese net exporters and net importers. Today, we'll use the same analysis to examine US exporters/importers in our US model.First, we'll start with...
With all eyes on the US - China trade morass, our focus this week will be on seeing if we can empirically evaluate the impact that ongoing trade friction has had on Chinese stocks. We'll do so through the lens of the Exchange Rate Sensitivity factor in our China-specific model. Ultimately, we'll aim to find out if this factor is an effective way to track trade tensions, and to see...
Over the past couple of weeks, we've examined Growth and Profitability to see the impact that 1Q earnings have had within the Russell 1000. We've now incorporated two more fundamental factors in our analysis - Value and Earnings Yield - to identify 21 companies that have had positive or negative fundamental changes in the past month that the market hasn't priced in yet. These names...
Last week, we shared the companies in the Russell 1000 that had seen the biggest changes in exposure to the fundamental factors of Growth and Profitability since the beginning of 1Q earnings season. Today, with more earnings in the rearview, we'll run the same analysis at the Industry Group (GICS 2) level in order to see what more we can learn about the market's response to...
Since we're in the thick of earnings season, this week we'll be examining the market's responsiveness to earnings by looking at how company exposure to the fundamental factors of Growth and Profitability have changed thus far during the 1Q reporting period. Ultimately, we'll highlight the companies in the Russell 1000 that have seen the most movement in their Growth and...
We hope you've been enjoying the holiday weekend. Today, we'll be examining
Total Risk in the global market (using the ACWI as a proxy) to see how it has trended over the past 12 months. Similar to the exercise we ran on the
US market last week, we'll seek to further our understanding of the recent market recovery through a global risk lens, and then compare it to the recovery of...
This week we'll examine
Total Risk in the US over the past 12 months (using the Russell 3000 as a bellwether) to better understand the mechanics of the market's swift recovery from the slump of late 2018. While we typically focus on the drivers of factor and market performance, it's also vital to determine how risk is trending (in particular the correlation between stock and factor...
In light of the substantial rally in the US market over the past week, we'll be refocusing our attention on our US model in order to see how the key
Volatility and
Market Sensitivity factors have behaved. We'll also attempt to identify what's been driving these factors by decomposing their underlying long and short components.
