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Factor Performance

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).