Markets marko kolanovic momentum value

Marko Kolanovic Weighs In On This Week’s Dramatic Factor Rotations, Delivers Near-Term Market Outlook

"By just looking at the price of the S&P 500 one cannot see the true state of equity markets".

"By just looking at the price of the S&P 500 one cannot see the true state of equity markets".
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4 comments on “Marko Kolanovic Weighs In On This Week’s Dramatic Factor Rotations, Delivers Near-Term Market Outlook

  1. If there is one advisor who drove the trade war, it is Lighthizer. https://foreignpolicy.com/2019/08/02/trump-hired-robert-lighthizer-to-win-a-trade-war-he-lost/

    So watch for any sign that Lighthizer’s star is dimming and Munchin’s is rising.

    The pressure on Trump is rising. He is certainly aware that he’s painted himself into a corner.

  2. The momentum -> value swing is very interesting.

    Eyeballing MTUM vs VLUE factor ETFs, it looks like for most investors it will have potentially erased about 3 months of outperformance vs the broader market.

    In other words, if Joe was 100% in MTUM and Sally was 100% in VLUE, Joe has lost all his outperf vs SP50 from late May and Sally has recovered all her underperf vs SP50 from late May.

    Realistically, most Joes would have been 30% MTUM 70% SP50 and most Sallys would have been 70% SP50 30% VLUE. Same period of clawback but the amount of out/underperf erased would have been smaller.

    Using rel perf MTUM and VLUE vs SP50 from 12/31/18 to 5/31/2019, 30% MTUM Joe outperf’d SP50 by 0.6% and 30% VLUE Sally underperf’d by -1.9%. From 5/31/2019 to 9/10/2019, Joe underperf’d by -0.9% and Sally outperf’d by +1.3%. From 12/31/2018 to 9/10/2019, Joe outperf’d by 0.3% and Sally underperf’d by -0.5%.

    Even 100% MTUM Joe outperf’d by 1.0% and 100% VLUE Sally underperf’d by -1.8%, from 12/31/2018 to 9/10/2019.

  3. Been long puke for awhile, nice to see it be edible again.

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