Explore CoreMacro
CoreMacro | MacroQuant
The latest update on the MacroQuant quantitative model, which tracks hundreds of leading indicators to generate actionable investment signals across major asset classes. Typically published once a month.
MacroQuant remains tactically overweight equities, favors an above-benchmark duration stance in fixed-income portfolios, remains bearish on the US dollar, and is bullish on gold.
MacroQuant is neutral-to-slightly positive on stocks on a tactical 1-to-3 month horizon but sees downside risks over a longer-term horizon. Its favorite equity sectors are communication services and IT. Regionally, it prefers EM and US equities. The model is bullish on duration. It remains bearish on the US dollar. It is upbeat on gold and copper but is slightly negative on oil.
MacroQuant sees downside risks to stocks over a long-term horizon but is not yet saying that we are at imminent risk of an equity bear market.
MacroQuant is recommending that equity investors keep their finger near the eject button but avoid pressing it for now. The model is warming up to the dollar again and sees scope for oil prices to rise.
MacroQuant’s US equity z-score is dangerously close to the -1 threshold. Moves below that threshold have reliably coincided with equity bear markets in the past. As such, MacroQuant recommends an underweight on stocks, offset by an overweight on bonds and 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.
MacroQuant sees the risks to US growth as being to the downside and the risks to inflation as being to the upside. Such a stagflationary brew justifies an underweight on stocks.
Going into April, MacroQuant recommends a modest underweight on stocks, offset by an overweight on bonds and cash. While MacroQuant is modestly bearish on stocks, we suspect that the downside risks to equities may be greater than what the model assumes.
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 latest version of the MacroQuant model suggests that the bull market in US stocks is winding down. The model expects Treasury yields to fall later this year but is not ready to go long duration just yet.