1/ Mapping Investable Return Sources to Macro Environments (AQR)
"Style premia have less macro exposure than do asset classes. Additionally, a diversified portfolio (for asset classes and style premia) may rely less on a specific macroeconomic outcome."
2/ "We must stress the limitations of this type of analysis. Any empirical result is specific to the sample period (here 1972-2013) and dependent on design choices.
"Long/short returns are scaled to target 10% annual volatility. We subtract no trading costs or fees."
3/ "The weak relation between equities & growth reflects the forward-looking nature of equity returns. The correlation between annual equity returns & our contemporaneous (*next* year's) growth indicator is 0.24 (0.50).
"Styles were positive in both up and down
environments."
4/ "The distinction between simple & partial correlations is the same as that between slope coefficients in simple & multiple regressions.
"It is difficult to find an asset class or even a style that performs well in a stagflationary (growth-down, inflation-up) environment."
5/ "Again, results might be specific to this sample or our specifications of style premia and macro environments.
"Even L/S styles can be more market-directional in certain asset classes (e.g. currency carry) than in the broadly diversified style composites we analyze here."
6/ "It is difficult to populate the upper-left quadrant on the risk graphs, with rising real yields, inflation, volatility and illiquidity all posing a challenging environment – all compounded by negative growth.
"Style premia tend to be closer to the origin in all four graphs."
7/ "The relationships we document are not predictive and thus less useful for tactical decisions than strategic ones.
"As post-WWII history is characterized by broadly benign growth and inflation, investors may have grown to consider equity-friendly conditions too complacently."
3/ "Value, momentum & defensive/quality applied to US individual stocks has a t-stat of 10.8. Data mining would take nearly a trillion random trials to find this.
"Applying those factors (+carry) across markets and asset classes gets a t-stat of >14."
2/ "The model's four terms describe different life stages for an individual who marries during the sample period. The intercept reflects the average life satisfaction of individuals in the baseline period [all noncohabiting years that are at least one year before marriage]."
3/ " 'How satisfied are you with your life, all things considered?' Responses are ranked on a scale from 0 (completely dissatisfied) to 10 (completely satisfied).
"We center life satisfaction scores around the annual mean of each population subsample in the original population."
1/ Short-sightedness, rates moves and a potential boost for value (Hanauer, Baltussen, Blitz, Schneider)
…
* Value spread remains wide
* Relationship between value and rates is not structural
* Extrapolative growth forecasts drive the value premium
… robeco.com/en-int/insight…
2/ "The valuation gap between cheap and expensive stocks remains extremely wide. This signals the potential for attractive returns going forward."
3/ "We observe a robust negative relationship between value returns and changes in the value spread.
"The intercept of ≈10% can be interpreted as a cleaner estimate of the value premium, given that it is purged of the time-varying effects of multiple expansions & compressions."
2/ Part 1: Basic directional strategies
Part 2: Adjusted trend, trend and carry in different risk regimes, spot trend, seasonally-adjusted carry, normalized trend, asset class trend
Part 3: Breakouts, value, acceleration, skew
Part 4: Fast mean reversion
Part 5: Relative value
3/ Related reading
Time-Series Momentum
Two Centuries of Trend Following
https://t.co/R6JQb6Cg96
Carry
https://t.co/poFk6OWQsO
Value and Momentum Everywhere
https://t.co/l0wVgAOrhL
2/ "The broadly similar pattern of adverse health and well-being reported as new-onset at 6- and 12 months among test-positives and test-negatives highlights the non-specific nature of these symptoms and suggests that multiple aetiologies may be responsible."
3/ Related reading:
Efficacy of Vaccination on Symptoms of Patients With Long COVID