BAML's Style Cycle Performance Shows Market Environment Change

Bank of America Merrill Lynch, looking across Europe, notes that Style Cycle performance is changing. In a December 12 research piece titled “This ‘Recovery’ has legs,” the bank’s UK-based quantitative analysts Manish Kabra and James Wei engage in an exercise that illuminates a small but growing sect inside the algorithmic investment community: market environment analysis.

Understanding market environmental factors is a foundational key to understanding certain quantitative strategies

From the outside looking in, understanding quantitative and algorithmic investing techniques can seem daunting. Like driving a car with faulty steering and brakes on a steep mountain road without guardrails, it is easy for a quant conversation to quickly come off the...