Data from Premialabs show the value of trend when there is a major repricing in the market. In September the trend factor was the best performing factor across any asset class. Credit value and equity momentum also did well but when the market is focused on macro events and repricing of risk, the trend is your friend. We cannot say that will apply for all months, but the conditions of high volatility, uncertainty, and asset repricing like from an interest rate shock will provide good trend conditions across all asset classes.
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