Indicadores/Modelo BCA
El z-score de acciones estadounidenses de MacroQuant está peligrosamente cerca del umbral de -1. Los movimientos por debajo de ese umbral han coincidido de manera confiable con mercados bajistas de acciones en el pasado. Por lo tanto, MacroQuant recomienda una posición infraponderada en acciones, compensada por una sobreponderación en bonos y efectivo.
In this FX note, we provide a rationale for why it is important to pay attention to technical indicators, while still keeping your eyeball on the structural factors that drive currencies. This report answers the following questions: 1. Should you buy or sell the USD over a three-to-six month period from the pure lens of our proven technical indicators and 2. What are the best tactical cross trades among currencies.
The US High Quality (USHQ) portfolio underperformed its benchmark through May, returning 5.1%, whilst its SPY benchmark returned 6.1%. On a trailing three-month basis, performance is also slightly weaker vs. benchmark, with USHQ underperforming by approx. 130bps. Notably, volatility and drawdown remain lower than the SPY, aiding risk-adjusted performance.
MacroQuant advierte que las acciones estadounidenses están descontando muy poco riesgo económico. El modelo está evitando las acciones y recomienda una gran sobreponderación en efectivo.
MacroQuant warns that US equities are pricing in very little economic risk. The model is shunning equities and recommends a large overweight to cash.
Are bond yields overextended? We introduce a new global technical indicator that helps spot mean-reversion opportunities and shows which markets are nearing exhaustion.