Correlation ‘is not causation’ for rates and value stocks
Some quants remain unconvinced by the ‘great rotation’ away from growth
It is a widely held belief in markets that when interest rates rise, value stocks do well and growth stocks do badly. This has been the central idea that observers have used to explain this year’s market rotation, in which the Russell 1000 value index is currently beating the growth index by more than 18%.
But although the theory might seem convincing, it may also be wrong.
Some top quants say
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Investing
Middle East crisis revives demand for VKOs – with a twist
Equity investors balance fear and optimism by pairing 2022’s best hedge with lookback options
In the age of GenAI, why do we still need good models?
Jean-Philippe Bouchaud says models can guide artificial intelligence through regime shifts and away from overfitting
Iran confusion makes the case for causal modelling
A new test model built using Claude suggests oil prices may surge back above $100
The MIT professor giving LLMs a ‘brain scan’
Hui Chen’s research is yielding new ways to interpret – and steer – AI models
Russell’s flexi hedging aims to tame jumpy yen
Japanese clients can dynamically switch hedging profile based on USD/JPY movements
Credit market maths seems not to add up
Today’s investors would appear to be better off buying ‘riskier’ debt
How the Iran war wreaked havoc on consensus US rates trades
Hedge fund steepeners, swap spreads and vol-selling strategies were hit as conflict forced stop-outs during March
Vida portfolio solutions on J.P. Morgan Markets
J.P. Morgan’s Vida portfolio solutions are being applied across financing and portfolio management, reflecting a shift towards more scalable, integrated investment infrastructure
