Markets exhibited more strange behavior this week as the war in Ukraine raged on, and the macroeconomic backdrop continued to drive investor sentiment. So this week, we continue to leverage our Surprise Indices to highlight market reaction to current global events. We’ll also extend our analysis to illustrate a practical example of using our Surprise Index framework, combined with additional...
Geopolitical Risk Quant Insight 2022 Ukraine Crisis Multi-factor Analysis Surprise Metric Surprise Characteristics Indices
Fishing for Value in a Sea of Growth
February 06, 2022Over the last couple weeks, we’ve been profiling the growth vs value rotation and the macroeconomic factors driving the current market environment. Though the worst of the recent market sell-off may have passed, it’s clear that 2022 has brought a new regime which requires investors to be creative in sourcing ideas that align with their investment mandate, while allowing for opportunities to take...
The Macro Forces Shaping the Growth vs. Value Rotation
January 30, 2022Last week, we keyed into the growth vs. value rotation that has kicked off the year 2022 with a bang. Value’s rally and growth’s sell-off through the first two weeks of the year were historically significant and have added fuel to the fire in an already tumultuous environment headlined by macroeconomic conditions.
Identifying Crowded Names - Q4 2021 Earnings Season
January 16, 2022There is no shortage of systematic distortion in the market as we kick off Q4 2021 earnings season. As we have in the past, we will highlight the most crowded stocks from both a long and short perspective as earnings calls begin. Crowded stocks can exhibit exacerbated pricing pressure when material information reaches the market. In addition, earnings releases can increase price volatility,...
Quantifying the Impact of an Increasingly Hawkish Fed
January 09, 2022This week, we’re temporarily pausing our “Where’s the Alpha?” series to help our community analyze the potential impact of the Fed’s hawkish surprise earlier this week.
The Fed’s Dec 14-15 meeting minutes became publicly available on Tuesday, revealing that the Fed intends to accelerate the reduction of the bonds held on its balance sheet. While most observers expected measured rate increases,...
Where’s the Macro?
December 05, 2021Throughout 2021, we’ve explored a variety of macroeconomic influences on equity risk and performance, from interest rates to inflation, commodities, and more. Of course, the magnitude of the macro role in equity markets fluctuates over time but, for many, it has felt as though macroeconomic factors have been a massive driver of performance for nearly two years running. As a result, as fundamental...