Hyper-stability is destabilizing

Thursday, September 12th, 2019   Categories: , , , ,

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.

Select Synopsis
Synopses can be downloaded by subscribers holding a Harlyn All Access Pass
Not a subscriber? PURCHASE ALL ACCESS PASS
Already hold an All Access Pass? LOG IN