Is factor investing dying?
Factor investing has met its hardest test yet in financial markets since equity factors were discovered during the 1970s. Many signs are suggesting that simple factor investing has hit a wall and will not generate alpha in the future.
FX Update: USDJPY saw most violent single day rally in over 20 years
The USDJPY rally yesterday was one for the ages, by our measure the single most violent rally move not connected directly with BoJ policy moves or Japanese MoF interventions in modern market history. It could well be a signal that the days of extremely low volatility are now behind us.