Daily Archives: Apr 6, 2018 at 10:20 am EDT

Spike In Market Volatility Dents Momentum Factor’s Dominance

Momentum-based strategies have led the factor-investing horse race for US equities in recent history, but the latest surge in market volatility may be its undoing. For the trailing 30-day period, the momentum factor’s modest loss leaves it in last place, based on a set of ETFs tracking key US-based factor strategies. By contrast, the best-performing factor strategy for this time window – core small-cap stocks – has managed to post a modest increase.
Continue reading

Macro Briefing: 6 April 2018

Trump considers an additional $100 billion in tariffs on China’s goods: Retuers
China vows to counter US protectionism “to the end, and at any cost”: Bloomberg
ECB board member says trade fears already pinching economy: Reuters
Fed chair Powell expected to defend gradual rate hikes: MarketWatch
Jobless claims in US jumped to three-month high last week: MarketWatch
US firms announce sharply higher number of job cuts in March: CNBC
US trade deficit near 10-year high in February: Wall St Journal
13 big mutual fund firms agree to rstart reporting active share data: Reuters
Slower labor force growth is a headwind for US GDP growth: SF Federal Reserve