Equities

As a short-term (0-3 months) trade, go long an equal-weighted basket of Chinese Investable and A-shares / short the KOSPI. This is a bet on mean reversion. We do not recommend that medium- and long-term investors implement this strategy.

The Goldilocks environment for US profit margins should start to sour next year. Contrary to conventional wisdom, AI could end up eroding margins for both producers and consumers of artificial intelligence.

S&P 500 performance rotated in June, but fundamental growth remains strong across sectors, with earnings and revenue growth extending well beyond the largest mega-cap companies.

The US High Quality (USHQ) portfolio outperformed its benchmark through June, returning -0.50%, while its SPY benchmark returned -1.37%. On a trailing three-month basis, the USHQ portfolio’s performance was weaker than the benchmark, with USHQ underperforming by approx. 205bps.

MacroQuant recommends underweighting equities and adopting a benchmark duration stance in fixed-income portfolios. The model is very positive on the US dollar, bearish on gold, neutral on copper, and bullish on oil.

The S&P 500 has become increasingly concentrated. We know that. But the critical question is not how many stocks are driving the market; it is how many factors are driving stocks. We define an AI risk factor to test whether AI has become the dominant common exposure throughout much of the factor zoo.