Bernstein Quants Say Value Stock Rally Has More Room To Run, But Watch Macro Risk

Bernstein’s Global Quantitative Strategy team has had two weeks of listening to depressing stories from fund managers who didn’t catch the “pro-cyclical upswing” that occurred in the wake of a surprise US election. Before the rapid change in market environment they might have been in “high quality” stocks that had been bid up to abnormally high price-earnings ratios; or perhaps they were in growth stocks that had already priced in growth for years to come; or they might have had short exposure to financials in anticipation of a depressing regulatory environment for banks. Whatever the case for missing the resulting…