Macroeconomics - $URTH $MTUM $VLUE - The Holy Grail
MSCI World ETF is at a double top at the ATH...
"Next Tuesday marks the 12-month anniversary of the MSCI AC World Value Index’s eight-year low, a key timeframe that many quantitative models use to screen for momentum shares to buy.
...
Momentum bets are popular within the roughly $2 trillion systematic community, which groups stocks together by their characteristics, an approach known as factor investing. Exchange-traded funds tied to momentum command $20 billion in the U.S. alone.
...
Some portfolios rebalance monthly. Others, including major momentum ETFs, do so every quarter or half year -- suggesting more cash will join the cyclical rotation at the end of this March.
...
The violent downdraft (and subsequent rally) of last March is poised to create the most turbulent rebalance ever for momentum-based strategies
...
A portfolio that buys the 100 top gainers in the S&P 500 would see the largest turnover in at least three decades if it rebalanced in March.
...
All this could be absorbed by the market comfortably on a typical day. But if enough quants sell the same stock at the same time, there’s always the risk of an increase in trading costs and price volatility."
- Bloomberg
319 quad witching OpEx, and momentum factor 1 year rebalancing aligning hints at a non-trivial probability of high volatility!
At the end of the day, BlackRock's quants decide what goes into these ETFs. It has been interesting indeed to follow theirs and the Morgans' trail.
Let's see if this period is the catalyst for "The Blood Moon"...
GLHF
- DPT
"Next Tuesday marks the 12-month anniversary of the MSCI AC World Value Index’s eight-year low, a key timeframe that many quantitative models use to screen for momentum shares to buy.
...
Momentum bets are popular within the roughly $2 trillion systematic community, which groups stocks together by their characteristics, an approach known as factor investing. Exchange-traded funds tied to momentum command $20 billion in the U.S. alone.
...
Some portfolios rebalance monthly. Others, including major momentum ETFs, do so every quarter or half year -- suggesting more cash will join the cyclical rotation at the end of this March.
...
The violent downdraft (and subsequent rally) of last March is poised to create the most turbulent rebalance ever for momentum-based strategies
...
A portfolio that buys the 100 top gainers in the S&P 500 would see the largest turnover in at least three decades if it rebalanced in March.
...
All this could be absorbed by the market comfortably on a typical day. But if enough quants sell the same stock at the same time, there’s always the risk of an increase in trading costs and price volatility."
- Bloomberg
319 quad witching OpEx, and momentum factor 1 year rebalancing aligning hints at a non-trivial probability of high volatility!
At the end of the day, BlackRock's quants decide what goes into these ETFs. It has been interesting indeed to follow theirs and the Morgans' trail.
Let's see if this period is the catalyst for "The Blood Moon"...
GLHF
- DPT
Trade active:
Now Momentum and Value have converged, and volatility can emerge.
