Correlations
A historic divergence between systematic strategies is creating a compelling entry point into Managed Futures. Our Chart Of The Week comes from Brian Payne, Chief Strategist for our Private Markets & Alternatives team.In their…
The S&P 500 sits near all-time highs, but sentiment and positioning suggest euphoria has not driven this rally. Prices are elevated, yet the SKEW/VIX ratio sits at 8.3, or its 67th percentile. While not at extreme levels associated with reversals, it…
Investors should modestly underweight equities in their portfolios and look to turn more aggressively defensive once the whites of the recession’s eyes are visible. We think that will happen within the next few months.
MacroQuant warns that US equities are pricing in very little economic risk. The model is shunning equities and recommends a large overweight to cash.
MacroQuant warns that US equities are pricing in very little economic risk. The model is shunning equities and recommends a large overweight to cash.
Tariff front-running behavior makes the April hard economic data difficult to interpret, but we take the strong reading from Food Services spending as a signal that the US consumer has not yet buckled.
Cross-asset signals remain distorted by policy developments, but we expect the US dollar to rebound tactically. More than observable fundamentals, policy headlines have been driving cross-asset movements. Traditional leading indicators have had limited market…
The MacroQuant model is no longer bullish on stocks but is not yet prepared to turn underweight. Subjectively, the Global Investment Strategy team is more bearish on equities than the model.
The MacroQuant model is no longer bullish on stocks but is not yet prepared to turn underweight. Subjectively, the Global Investment Strategy team is more bearish on equities than the model.
Two of our favorite indicators recently sent important signals. The first one, the short-term stock-bond yield correlation, recently drifted back to neutral territory after being negative. The correlation had been negative since December, reflecting increased…