August 2021 Monthly Review

Jordi Visser

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Despite growing fears about the delta variant and a slowdown in economic data, stocks moved higher with the SPX finishing positive for the 7th consecutive month. Following July’s higher volatility, the VIX resumed a downward trend.  At the same time, 10-year rates had their first monthly rise since March. Increased restrictions in Asia had a marked impact as a result of downstream effects, including driving down the ASEAN manufacturing PMI to levels similar to those seen in June of 2020. Not surprisingly, it spooked the rest of the world. The G10 Citi Surprise Index had its largest monthly drop since April 2020, which had marked the worst economic period of the pandemic. Under the hood in the equity markets, the news in Asia led investors to further bolster defensive positions. The Size Factor was up for the 5th month in a row and had its largest monthly performance since March 2020, when the SPX was down 12.51%. In addition, the Quality Factor also had its largest positive move since March 2020.

One of the ways we measure long alpha dispersion is the percent of names within the S&P 1500 Index that outperform the mean. This percentage continued to decline and reached the lows witnessed during March 2020, matching the factor moves within the month. Weiss PMs continue to believe that once fears over covid subside, fundamentals will drive price movement rather than broad risk reduction which has dominated price movement since February when the fears over growth began.

 

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Important disclosures: Disclosures: This content (the "Insights Page") is provided by Weiss Multi-Strategy Advisers LLC ("Weiss"). The views expressed on the Insights Page are for informational purposes only and are subject to change without notice. Information on the Insights Page has been developed internally and is based on market conditions as of the date of the original post on the Insights Page from sources believed to be reliable. Nothing on the Insights Page should be construed as investment, legal, tax, or other advice and should not be viewed as a recommendation to buy or sell any security or adopt any investment strategy. Past performance is no guarantee of future results. Please consult your own advisers regarding business, legal, tax, or other matters concerning investments. Weiss has no control over information at any external site hyperlinked on the Insights Page. Weiss makes no representation concerning and is not responsible for the quality, content, nature, or reliability of any hyperlinked site and has included hyperlinks only as a convenience. The inclusion of any external hyperlink does not imply any endorsement or ongoing monitoring by Weiss of any hyperlinked site. Investing in securities is speculative and involves substantial risk of loss.
Important disclosures: Disclosures: This content (the "Insights Page") is provided by Weiss Multi-Strategy Advisers LLC ("Weiss"). The views expressed on the Insights Page are for informational purposes only and are subject to change without notice. Information on the Insights Page has been developed internally and is based on market conditions as of the date of the original post on the Insights Page from sources believed to be reliable. Nothing on the Insights Page should be construed as investment, legal, tax, or other advice and should not be viewed as a recommendation to buy or sell any security or adopt any investment strategy. Past performance is no guarantee of future results. Please consult your own advisers regarding business, legal, tax, or other matters concerning investments. Weiss has no control over information at any external site hyperlinked on the Insights Page. Weiss makes no representation concerning and is not responsible for the quality, content, nature, or reliability of any hyperlinked site and has included hyperlinks only as a convenience. The inclusion of any external hyperlink does not imply any endorsement or ongoing monitoring by Weiss of any hyperlinked site. Investing in securities is speculative and involves substantial risk of loss.