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judgetrade
Interesting stuff from MSCI

https://www.msci.com/factor-index-scorecard

They have been spot on! N=4, I know, reasearching further!

• Q1 2021: "As we enter 2021, MSCI’s adaptive multi-factor model pointed to an overweight of low size and value, an underweight of quality and low volatility and neutral on momentum and yield relative to an equally weighted factor mix.
• Q2 2021: As economies reopen with increasing numbers of COVID-19 vaccinations, MSCI’s adaptive multi-factor model pointed to a continued overweight of low size and value.
• Q3: As economies reopened with increasing numbers of COVID-19 vaccinations “in arms,” MSCI’s adaptive multi-factor model pointed to an overweight to momentum as of Sept. 30, 2021.
• Q4: The macro-cycle pillar indicated an overweight to value, low size and momentum, based on signals from the Chicago Fed National Activity Index, Federal Reserve Bank of Philadelphia’s ADS Index and PMI."

Best Regards
Andreas

Feb 20, 2022 3:30:40 PM