Same framework. Different factor. Opposite risk signal.
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Same framework. Different factor. Opposite risk signal.
Two weeks ago, Qi flagged drawdown risk in Momentum via MSR.
Today the same framework is flagging a different factor — Earnings Momentum — but for the opposite reason.
MSR measures how much of a factor’s return variance is being explained by macro. But different factor archetypes are vulnerable in different MSR regimes.
For Price Momentum, low MSR is the fragility zone. Macro influence fades, idiosyncratic price action dominates, crowding builds in the winners — and the next macro shock can unwind the trade.
For Earnings Momentum, the risk is the other way around.
Continue reading our analysis by downloading the PDF above
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