Correlations
MacroQuant warns that US equities are pricing in very little economic risk. The model is shunning equities and recommends a large overweight to cash.
Tariff front-running behavior makes the April hard economic data difficult to interpret, but we take the strong reading from Food Services spending as a signal that the US consumer has not yet buckled.
Cross-asset signals remain distorted by policy developments, but we expect the US dollar to rebound tactically. More than observable fundamentals, policy headlines have been driving cross-asset movements. Traditional leading indicators have had limited market…
The MacroQuant model is no longer bullish on stocks but is not yet prepared to turn underweight. Subjectively, the Global Investment Strategy team is more bearish on equities than the model.
The MacroQuant model is no longer bullish on stocks but is not yet prepared to turn underweight. Subjectively, the Global Investment Strategy team is more bearish on equities than the model.
Two of our favorite indicators recently sent important signals. The first one, the short-term stock-bond yield correlation, recently drifted back to neutral territory after being negative. The correlation had been negative since December, reflecting increased…
January US retail sales missed estimates, with the headline number contracting by 0.9% m/m. The decline was broad-based, with spending excluding autos and gas down 0.5%, and the control group also down 0.8%. The retail sales report was impacted by the…
The January US Producer Price Index came in slightly hotter than estimates, but decelerated to 0.4% m/m (3.5% y/y) from an upwardly-revised 0.5% in December. Core PPI, excluding food, energy, and trade services, was also stronger than expected, but also…
The January ISM Services missed estimates, decreasing to 52.8 from 54.0 in December. The move was driven by activity components, while employment and suppliers’ delivery times increased. Additionally, the prices paid measure decreased, reversing the…
Monday’s selloff was orderly and concentrated in the tech sector. The price action was a classic risk-off response, where both stock prices and bond yields decreased. While the VIX increased, the equity spot-vol beta, volatility’s sensitivity to spot price…