Global Performance Monitor: Investor nervousness

研报英文原文证据摘录

Global Performance Monitor: Investor nervousness

Global Quant Strategy Publications

Global Wave

Our regime Indicator. The Global Wave quantifies multi-year trends in global economic

activity and major turning points in the cycle. The direction of the global cycle

influences equity market performance, regional allocation, country allocation, style

allocation, and stock selection. The Bunkers are stocks with style characteristics for a

downturn and the Boosters are stocks for an upturn.

Triple Momentum Allocator

Monthly report highlighting the benefits of combining three types of momentum, namely

Earnings Momentum, Price Momentum, and News Momentum. Popular uses include 1)

identifying stocks with the strongest/weakest Triple Momentum, 2) using Triple

Momentum for Allocation (regions/sectors/countries), 3) monitoring changes in Triple

Momentum to highlight when signals are fading and when new opportunities are

emerging, and 4) monitoring time series in Triple Momentum to show which sectors and

region-sectors have been in vogue at any point in time in the past.

Global Positioning in Stocks

Our Positioning analysis monitors the overweights and underweights of active long-only

funds globally (AUM $38 trillion) by aggregating active positions by stock, sector,

country, and region. Additionally, “Equity Flow” indicates which stocks, sectors,

countries, and regions long-only funds are buying and selling (dollar value of stocks

bought and sold each month). Also, the challenge is to determine which crowded trades

may outperform and which may face performance hurdles. We combine our positioning

analysis with Triple Momentum to highlight which crowded positions have positive

catalysts “Crowded Positives” and which have negative catalysts “Crowded Negatives”.