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Trading Floor Signals SOFR Futures Strategy Explained
Equities rallied on the Fed's first 2022 hike day. The growth equity drawdown happened six weeks before — when the path factor moved in January. Barra uses realized correlations to estimate sensitivity and has no channel to detect futures-implied signals before they appear in returns. Read the full breakdown: https://open.substack.com/pub/navnoorbawa/p/how-barra-axioma-and-commercial-risk?r=2io3ue&utm_campaign=post-expanded-share&utm_medium=web #HedgeFunds #QuantFinance #MacroTrading #FixedIncome
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