Research archive
A dated record of market conditions, economic developments, and academic factor behavior.
Showing 12 reports
The current regime is Broad Risk-On, indicating a generally constructive risk backdrop. However, there are signs of mixed breadth and lagging growth leadership. While the risk appetite remains supportive, the recent deterioration in growth and momentum leadership suggests a potential shift in market dynamics. The primary watch item is the rising defensive demand, which could signal a change in investor sentiment if it continues.
The current regime is Mixed / Transitional, indicating a complex market environment. Supportive elements include a constructive risk backdrop and confirming credit risk appetite. However, growth leadership is lagging, and breadth is mixed, with recent signals showing deterioration. The primary watch item is the persistent decline in breadth, which has weakened for three consecutive observations.
The current regime is Broad Risk-On, indicating a generally supportive environment for risk assets. However, several internal signals are showing signs of change. Specifically, risk-on appetite, growth leadership, momentum leadership, and small-cap participation have all deteriorated since the last snapshot. These changes are not yet persistent, as they have occurred over a limited number of observations. The primary watch item is the small-cap participation score, which has shown consistent deterioration over three consecutive snapshots.
Economic activity is currently expanding, supported by strong growth and labor conditions. The main concern lies with inflation pressure, which remains moderate but should be monitored closely. Recent data indicates that growth momentum is weakening, even though the overall level of growth remains expansionary. This mixed economic regime classification persists as the macro backdrop does not provide a clear signal across the major pillars.
The most notable factor conclusion is that Momentum and Long-Term Reversal are classified as positive across all four displayed horizons. Conversely, RMW is negative across all four horizons. SMB and HML exhibit mixed patterns, with their 1M results differing from longer lookbacks. The main factor contrast to monitor is the performance of RMW, which remains persistently negative.
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