Great post as always. Love the sector/style regime maps. I’ve been looking for ideas that work in both stagflationary & falling inflation growth regimes and they’re a concise way to scan for ideas. Just curious what source are you using for the factor scores?
appreciate the feedback, thank you. the style factors are something i generate myself. fortunate to have long period of daily history and have continued to maintain for US large cap universe (~1200 companies)
Dang. I had a feeling you might say that. It’s a great resource and helpful to aggregate into the etf loadings. I think NDR have some good factor score data like this but I don’t think much historical data is available.
Well per usual your post will send me into the bowels of the factset & bloomberg excel add-ins to try and hack together some new interesting ideas. Appreciate the frequent inspiration. My tools for monitoring earnings season and estimates have massively improved since finding your work but still nowhere near some of this wizardry you come up with.
sure. history a bit limited giving starting point for NDX and RTY, but can still run. i’d suggest that RTY historically acts a bit more like cyclical, so underperformance of that group serves as a guide. RTY also tends to have higher risk (small, beta, leverage) and lower profitability when using style factors as a guide. DM me on twitter or send me email and i can share specific stats on those ratios.
Excellent analysis. This is why I'm a paid-subscriber. I appreciate the ETF idea (MTUM), stock screens, and sector-related discussions that assist long-only investors like me whose eyes glaze over from put spread collar talk.
ha...yea...try to offer a few expressions given the very wide range of market participants. thanks much for the feedback and getting all the way to the end of the post ;)
Great perspective as ever. Dorky question, but how do your models work. It this a 10,000 column xls you roll forwards weekly, or are you crunching in python and then spitting out in excel
ah yes the best at analyzing data always want to see the data not just the report...helps tremendously with understanding and evaluating it. I always have to see the raw data...Well done as always Mr Blonde.
one of my favorite real time measures of cyclical activity is CRB Raw Industrial Material prices...which are now down 15% y/y which marks one of the lowest readings in the last 40yrs. CRB RIND is not the kind of stuff that trades on financial exchanges, so less prone to speculation and more a measure of demand activity. ISM <50 coming right up
well, lets see. i do worry about CTA driven overshoot...these monkeys trade with hammer hands in low/no trading liquidity environment and have no real price sensitivity. but hard to be convicted on that alone
Great post as always. Love the sector/style regime maps. I’ve been looking for ideas that work in both stagflationary & falling inflation growth regimes and they’re a concise way to scan for ideas. Just curious what source are you using for the factor scores?
appreciate the feedback, thank you. the style factors are something i generate myself. fortunate to have long period of daily history and have continued to maintain for US large cap universe (~1200 companies)
Dang. I had a feeling you might say that. It’s a great resource and helpful to aggregate into the etf loadings. I think NDR have some good factor score data like this but I don’t think much historical data is available.
Well per usual your post will send me into the bowels of the factset & bloomberg excel add-ins to try and hack together some new interesting ideas. Appreciate the frequent inspiration. My tools for monitoring earnings season and estimates have massively improved since finding your work but still nowhere near some of this wizardry you come up with.
Brilliant stuff... Happy paid up subscriber. This ain’t no dumb blonde
ha…thanks martin
Hi Mr Blonde, have you done any analysis on spy/iwn , qqq/iwn for "contractionary" periods? thanks.
sure. history a bit limited giving starting point for NDX and RTY, but can still run. i’d suggest that RTY historically acts a bit more like cyclical, so underperformance of that group serves as a guide. RTY also tends to have higher risk (small, beta, leverage) and lower profitability when using style factors as a guide. DM me on twitter or send me email and i can share specific stats on those ratios.
Thanks Mr B 👍
Love the encore. 👏👏👏
Fantastic analysis. I started following your work recently and am a paid subscriber
Mr. Blonde is a legend, although some is over my head, the directional calls are golden.
Excellent analysis. This is why I'm a paid-subscriber. I appreciate the ETF idea (MTUM), stock screens, and sector-related discussions that assist long-only investors like me whose eyes glaze over from put spread collar talk.
ha...yea...try to offer a few expressions given the very wide range of market participants. thanks much for the feedback and getting all the way to the end of the post ;)
Great perspective as ever. Dorky question, but how do your models work. It this a 10,000 column xls you roll forwards weekly, or are you crunching in python and then spitting out in excel
primarily excel. old school. and i like to actually see the data
ah yes the best at analyzing data always want to see the data not just the report...helps tremendously with understanding and evaluating it. I always have to see the raw data...Well done as always Mr Blonde.
Very much appreciate these observations & analysis. So much here, amazing. In the din of b.s. this helps me get my bearings. THANK YOU.
Hard to imagine this is a bounce based on any sort of economic strength given base metals hovering near the lows.
one of my favorite real time measures of cyclical activity is CRB Raw Industrial Material prices...which are now down 15% y/y which marks one of the lowest readings in the last 40yrs. CRB RIND is not the kind of stuff that trades on financial exchanges, so less prone to speculation and more a measure of demand activity. ISM <50 coming right up
CRB tends to lag a bit but I agree it's useful. I like the ratio of base metals / gold as a measure of cyclical strength.
Mr Blonde is seeing it like a beach ball. Great stuff. Thank you.
well, lets see. i do worry about CTA driven overshoot...these monkeys trade with hammer hands in low/no trading liquidity environment and have no real price sensitivity. but hard to be convicted on that alone
Well you know my views on CTAs already! I am becoming convinced that the sell side overestimates these flows. 👍
great take, thank you!