While last week’s sharp reversal of factor returns has halted, higher levels of factor volatility persist.

The 25-basis point downward move in the Federal Funds Rate target range at the end of July was meant to be an ‘insurance’ cut to support the US economy.

Many have drawn a parallel between this month and what happened in July of 2007.

Is Momentum’s sharp reversal an indication of changes in investor sentiment and a turning point for markets?

In this post, we investigate whether Axioma’s ROOF scores give any credence to the old adage, “When Wall Street sneezes, all markets catch a cold.”

We use the Axioma ROOF Scores to quantify investors’ expectations of the new PM in the run-up to his nomination, and the report card they have given him since.

We have added two other factors to the new model that reflect the unique composition of the Canadian economy: residual gold sensitivity and residual oil sensitivity.

While Version 4 of our Canada model also showed some big differences between Canada and other markets, Canada stood out most in terms of factor volatility.