Category: Weekly Commentary (Page 6 of 21)
We explore the Barclays Shiller CAPE sector rotation strategy, a value strategy whose recent success may have far less to do with value than it seems.
We find little evidence supporting the notion that PMI changes can be used for constructing a long/short cyclicals versus defensives trade.
New research from Axioma suggests that less is more when it comes to style titlts, once again demonstrating the impact of specification vs style.
The term premium for bonds is difficult to caputre without de-risking a portfolio. Using levered ETPs can help maintain equity exposure while adding bonds.
Macro and Momentum Factor Rotation
By Yuling "Ivey" Zhang
On September 30, 2019