Research Review | 20 September 2019 | Factor Investing

Momentum with Volatility Timing
Yulia Malitskaia (VKY Analytics)
July 9, 2019
The growing adoption of factor investing simultaneously prompted the active topic of factor timing approaches for the dynamic allocation of multi-factor portfolios. The trend represents a natural development of filling the gap between passive and active management. The paper addresses this direction by introducing the volatility-timed winners approach that applies past volatilities as a timing predictor to mitigate momentum factor underperformance for time intervals spanning the market downturn and post-crisis period. The proposed approach was confirmed with Spearman rank correlation and demonstrated in relation to different strategies including momentum volatility scaling, risk-based asset allocation, time series momentum and MSCI momentum indexes. The corresponding analysis generalized existing volatility scaling strategies and brought together the two branches of the smart-beta domain, factor investing and risk-based asset allocation.
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Macro Briefing | 20 September 2019

Iran threatens “all-out-war” if US attacks in reponse to Saudi attacks: WaPo
Oil on track for 7% gain this week in the wake of Saudi attacks: Reuters
FedEx pilot arrested in China, raising tension with US: CNN
US is temporarily exempting hundreds of Chinese products from tariffs: CNBC
World growth is “fragile,” says incoming ECB President Christine Lagarde: MW
US Leading Economic Index steady in August after strong gain in July: CB
US jobless claims continue to point to healthy labor market: CNBC
Philly Fed’s mfg index: moderately strong growth rate in Sep: Philly Fed
US existing home sales rose to highest level in over a year in Aug: Bloomberg

US Business Cycle Risk Report | 19 September 2019

Slow growth continues to dominate the US economic profile, and the trend could weaken further in the months ahead. But the downshift has yet to trigger a credible recession warning. Although some indicators suggest otherwise – including the inverted Treasury yield curve – a broad reading of economic and financial data still points to a modest expansion in the recent past—and for the immediate future.

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Macro Briefing | 19 September 2019

Fed cuts rates by 1/4 point, drawing criticism from Trump: Politico
Fed lost control of key interest rate early this week: CNBC
OECD: global growth expected to ease to slowest pace in a decade: WSJ
US discussing with Gulf allies possible responses to Saudi attacks: Reuters
UK Supreme Court’s hearing of case against prime minister ends today: Reuters
Former Fed official: trade-war uncertainty, not tariffs, weighing on economy: CNBC
US housing starts rose to 12-year high in August: CNBC

Macro Briefing | 18 September 2019

Fed expected to cut rates today, for second time this year: WSJ
Saudi Arabia set to show evidence of Iran link in oil facility attacks: Reuters
Oil exports will continue as normal, Saudi Arabia says: Bloomberg
Israel election, second in 5 months, results in deadlock: BBC
An economic crisis for Latin America is lurking: NY Times
Eurozone inflation stable in Aug, at lowest pace in nearly 3 years: Reuters
UK inflation slips to slowest pace since 2016: Bloomberg
US manufacturing activity rebounded in August, Federal Reserve reports: CNBC
US homebuilders remain bullish in September on housing outlook: NAHB

Macro Briefing | 17 September 2019

Oil shock creates new uncertainty for global economy: CNN
Oil market weighs the impact from attacks on Saudi production: NY Times
Oil prices pull back after Monday’s surge: Reuters
US gasoline prices set to rise after spike in oil prices: Bloomberg
Iran ‘will never talk to America,’ supreme leader says: CNBC
The Fed is divided but expected to cut interest rates this week: Reuters
Israelis go to polls today for the 2nd time in 5 months: Politico
German economic sentiment rebounds in Sep after sharp slide:
NY Fed Mfg Index reflects sluggish growth in September: NY Fed
Oil spiked on Monday after weekend attacks on Saudi Arabia: CNBC

Macro Briefing | 16 September 2019

Oil prices surge after attack on Saudi oil facilities: Reuters
US economy is relatively immune to blowback from Saudi oil attack: WSJ
Trump: US ‘locked and loaded’ after attack on Saudi oil supply: CNBC
United Auto Workers union goes on strike against GM: CNN
China’s economic growth continued to decelerate in August: Bloomberg
Johnson to tell European Commission UK won’t delay Oct 31 Brexit: BBC
Incoming ECB chief will likely maintain ultra-loose policy: Bloomberg
Import prices for US fell sharply in August: MW
US consumer sentiment rebounded moderately in September: UoM
US retail sales edged up to +4.1% annual pace in August: CNBC