Fund ExplorerIndicesInsightsVideosPricing

PMI & Equity Factor Performance

How Sensitive Are Equity Factors to Changes in the PMI?

Nicolas Rabener
10 min read
23 Jul 2019

SUMMARY

  • Value and Size have a positive relationship with the PMI, similar to the S&P 500
  • Indicates that risk sentiment is a core driver of factor performance
  • Investors can consider incorporating variables like the PMI in a risk management framework

INTRODUCTION

A physicist, a chemist, and an economist are stranded on an island, with nothing to eat. A can of soup washes ashore. The physicist says, “Let’s smash the can open with a rock”. The chemist says, “Let’s build a fire and heat the can first”. The economist says, “Let’s assume that we have a can-opener…”.

Keep reading with Institutional

Includes the full research library of 400+ articles, plus Returns Analyzer and Risk Analytics for return and risk contribution analysis.