Correlations
マクロクオンツは、米国エクイティがほとんど経済リスクを織り込んでいないと警告している。モデルはエクイティを回避しており、キャッシュへの大幅なオーバーウェイトを推奨している。
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…
マクロクォント・モデルはもはやエクイティに対して強気ではないが、まだアンダーウェイトに転じる準備はできていない。主観的には、グローバル・インベストメント・ストラテジー・チームはモデルよりもエクイティに対して弱気だ。
マクロクォント・モデルはもはやエクイティに対して強気ではないが、まだアンダーウェイトに転じる準備はできていない。主観的には、グローバル・インベストメント・ストラテジー・チームはモデルよりもエクイティに対して弱気である。
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…
January US retail sales missed estimates, with the headline number contracting by 0.9% m/m. The decline was broad-based, with spending excluding autos and gas down 0.5%, and the control group also down 0.8%. The retail sales report was impacted by the…
1月の米国生産者物価指数（Producer Price…
The January ISM Services missed estimates, decreasing to 52.8 from 54.0 in December. The move was driven by activity components, while employment and suppliers’ delivery times increased. Additionally, the prices paid measure decreased, reversing the…