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US Small Caps: From Macro Complacency to Stranglehold

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In mid-January, we flagged IWM’s Macro Share of Risk (MSR) at range lows — a classic complacency signal. Sharpe ratios at multi-year highs. The Goldilocks consensus in full swing.

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That was the peak.

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Since 22-Jan, IWM is down 7%. But Qi’s macro factor model shows the macro drag is nearly double that: -12.7%.

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Continue reading our analysis by downloading the PDF below

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