Hyper-stability is destabilizing
Thursday, September 12th, 2019 Categories: Investment Styles, Rotation, Seasonality, Sector Strategy, United States
Are we in a quant crash and what does it mean?
This week has seen a sudden upsurge in factor rotation at the individual stock level in the US. It may be too soon to call this a quant crash and we would be wary of attributing this to some macro-economic story, like a change in Treasury yields. The best explanation may be that it was so darn quiet immediately beforehand – something which our equity sector models show very clearly.