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Factor Performance

Nov 13 2020

Momentum’s Terrible, Horrible, No Good, Very Bad Day!

  • Nov 13, 2020

If Momentum and Growth investors thought they were escaping 2020 unscathed, they learned otherwise on Monday. Pfizer’s promising news about a COVID-19 vaccine was met with universal excitement and investors rearranging portfolios—taking gains in long-term winners and plowing into beaten-down cyclical stocks. 

Oct 23 2020

Election—Another Chance For Value

  • Oct 23, 2020

As we Chinese watch the elegant display of the western democratic process this election season, we can’t help but think there are indeed people less fortunate than us “commies.” Worse yet, some of these people are Value investors.

 

Mar 17 2020

Valuation Dispersions Reach 2009 Levels

  • Mar 17, 2020

The recent market turmoil has only served to exacerbate equity style trends that have been in place for years, with Value, Small Caps, and High Beta all underperforming relative to Growth / Momentum, Large Cap, and Low Volatility, respectively. 

Jan 31 2020

“1” For The Record Books

  • Jan 31, 2020

Dark energy makes up 68% of the universe, yet astrophysicists are having a devil of a time explaining what it is, why it is, or how it works. Quant investors are facing their own dark-energy mystery in understanding style returns of 2019.

Oct 10 2019

The Case Of The Flipping Factors

  • Oct 10, 2019

Equity market themes have been boringly consistent of late; growth beating value, large beating small, and domestic beating international. In the factor world, Momentum and Low Volatility have been investor favorites for most of 2019 while Value resided in last place – the same old, same old. Then, something remarkable occurred on September 9th.

Oct 05 2019

A Most Peculiar Day

  • Oct 5, 2019

Something remarkable occurred on September 9th. Momentum crashed and Value soared on that Monday, in what one analyst described as a five standard deviation event. Do we have a clear understanding of what really happened? This research project takes a multi-faceted look at what transpired during one unusual week in September.

Aug 09 2019

The Stock Market’s Clark Kent

  • Aug 9, 2019

Mild-mannered and humdrum on the surface but a superhero underneath—that’s Clark Kent and, in recent months, the Low Volatility factor. Low Vol stocks are unexciting by definition, and the factor’s current holdings focus on utilities, REITs, and insurance companies.

Dec 07 2016

Acting Like A “New” Bull Market?

  • Dec 7, 2016

With DJIA and S&P 500 losses in the 2015-16 decline limited to less than –15%, there’s no way we’d argue the episode represented a completed cyclical bear market (and we said so at the time).