Alongside the fastest rate of business activity growth for 15 years in June, the eurozone economy saw output prices… https://t.co/xoZAC0QCKK
Ideas for PMI™ usage in active investment strategies
In this short paper, we provide thoughts and ideas on how to glean signals from national sector PMI data with a view to utilising these in active equity investment strategies.
Our ideas are rooted in an approach that utilises PMI data in terms of both the momentum and the relative performance of a sector. This is achieved through a combination of transformations and extensive use of PMI sub-index data.
To illustrate, we apply these ideas to a subset of our German national sector PMI data, following a simple strategy where funds are invested primarily in those sectors with the 'best' momentum. Our results are encouraging and, depending on the combination of sub-index data and weighting schemes deployed, signals from the PMI data are shown to provide a platform for generating excess returns compared to a naïve benchmark strategy.
To view the full paper, please click the link below.
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Purchasing Managers' Index™ (PMI™) data are compiled by IHS Markit for more than 40 economies worldwide. The monthly data are derived from surveys of senior executives at private sector companies, and are available only via subscription. The PMI dataset features a headline number, which indicates the overall health of an economy, and sub-indices, which provide insights into other key economic drivers such as GDP, inflation, exports, capacity utilization, employment and inventories. The PMI data are used by financial and corporate professionals to better understand where economies and markets are headed, and to uncover opportunities.
- Week Ahead Economic Preview: Week of 28 June 2021
- US and Europe report strong growth in June as Japan contracts
- Flash UK PMI price gauges hit record highs in June
- Flash UK PMI signals record surge in employment, but also hints at higher wages
- Eurozone prices spike higher as economy grows at fastest rate for 15 years
- Flash UK PMI holds close to record high in June as economy booms
- Japan flash PMI indicates further economic slowdown in June amid COVID-19 emergency and supply disruptions
- Global economic growth surges to 15-year high as COVID-19 lockdowns ease