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
Options vanna positioning echoes 2024 vol spike, banks warn
Extreme negative position could exacerbate vol response in US equity selloff
AI trained on fundamentals says which stocks will crash in sync
Neural net models correlations without a returns history and could improve stress testing
Big investors turn to off-exchange prediction markets
Millions of OTC event contracts are being traded monthly, with individual deals as big as $10 million
Perps extend the menu to tempt TradFi diners
Expiry-less futures are spreading from bitcoin into gold, equities and FX. Institutions are watching, not buying
Goldman gobbles up credit options
Counterparty Radar: Q1 surge comes as US mutual funds and life insurers pile into index CDSs
US buy side flocked to FX forwards and options in Q1
Counterparty Radar: Pimco led $187 billion rise in forwards notional among funds, while TIAA drove insurer activity
Basis trade loses its bite as banks move in
Returns on popular hedge fund strategy dwindle to as little as three basis points, while dealers make use of softened capital rules to replicate the trade
US housing law delivers good news for insurers
Congress added curbs to institutional property ownership; insurers are more interested in the underlying loans
