RESEARCH: MACRO & ECONOMICS

EQUITY FACTORS & INFLATION

  • Factor performance is impacted by inflation and deflation
  • An inflationary environment is more attractive for most factors
  • The change in inflation has been most meaningful for the Size factor

EQUITY FACTORS & GDP GROWTH

  • Economic cycles have a clear impact on factor performance
  • Some factors show pro-cyclical while others highlight anti-cyclical characteristics
  • Given that real GDP is not published in real-time, it is unlikely effective for factor selection

FACTORS & INTEREST RATES

  • There are no consistent relationships between Value, Size, Momentum and interest rates
  • Applies to high and low and increasing and decreasing rate environments
  • Investors shouldn’t be too concerned about factor exposure and rising rates, more about very low rates

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