The 'Broadening' IWM Trade is Running on One Engine
Heading 1
Heading 2
Heading 3
Heading 4
Heading 5
Heading 6
Lorem ipsum dolor sit amet, consectetur adipiscing elit, sed do eiusmod tempor incididunt ut labore et dolore magna aliqua. Ut enim ad minim veniam, quis nostrud exercitation ullamco laboris nisi ut aliquip ex ea commodo consequat. Duis aute irure dolor in reprehenderit in voluptate velit esse cillum dolore eu fugiat nulla pariatur.
Block quote
Ordered list
- Item 1
- Item 2
- Item 3
Unordered list
- Item A
- Item B
- Item C
Bold text
Emphasis
Superscript
Subscript
IWM, the iShares Russell 2000 ETF, is +10% YTD. Impressive headline. But decompose those returns through Qi's MFERM and the picture is far less comfortable.
The entire YTD gain has been fuelled by idiosyncratic drivers. Macro is recovering from peak Iran escalation but hasn't clawed all the way back:
- May oil futures trade at $91 vs. $65 pre the Iran Conflict. Oil is the biggest IWM factor drag YTD.
- Corporate HY credit spreads at 336bps vs. 288bps tights back in late Jan. The next biggest drag.
- Rate vol & equity vol are back to levels at the start of the Iran Conflict but not at YTD lows.
- 10yr real yields remain notably above YTD lows.
Continue reading our analysis by downloading the PDF above
Related Articles
Equity Exposures, Sector Trends & Regime Analysis—In Depth
The 'Broadening' IWM Trade is Running on One Engine
Equity Exposures, Sector Trends & Regime Analysis—In Depth
Tech if Iran risk fades — Three Independent Lenses
Equity Exposures, Sector Trends & Regime Analysis—In Depth
Quant Insight’s Risk Indicator just hit +3.2σ. Welcome to the club.
Iran.jpg)
Equity Exposures, Sector Trends & Regime Analysis—In Depth
Top of Mind for S&P 500 Since the Iran Shock — Who Wins When It Fades?