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Jun 07 2019

Can Smart Analysts Generate Smart Beta?

  • Jun 7, 2019

We assess the effectiveness of using Wall Street analyst opinions as factors in a quantitative stock selection model. Watch for the full report coming next week.

Apr 03 2019

Factor Frontiers And Investing To The Max

  • Apr 3, 2019

Quantitative investing has taken the industry by storm over the last decade, and smart beta ETFs are pulling in billions of dollars as investors and advisors gravitate to this portfolio management technique.

Feb 22 2019

Momentum Buyers: Beware

  • Feb 22, 2019

Momentum is a smart beta factor that gives investors excellent upside participation in rising markets. Most other smart beta factors are defensive plays, so Momentum is the place to be in strong upward moves. Momentum filled that role admirably in recent years, rising 56% from 2016 to the September top, compared to an average of +26% for the other major factors.

Dec 07 2018

Styles And Factors DeFANGed

  • Dec 7, 2018

Social media, mobile computing, and digital life-in-the-cloud were the dominant storylines for U.S. stocks over the last five years—reaching the apex of popularity following the early-2016 market low.

Oct 15 2018

Factors And Sectors: A Curious Entanglement

  • Oct 15, 2018

Portfolio managers who tilt toward Value or Growth stocks have long known that each style carries with it an inherent bias toward some sectors and away from others. Our recent piece, Value Style’s 100-Year Flood, highlighted the significant role that sector weights (overweight Financials and Energy, underweight Technology) played in Value’s decade-long stretch of underperformance.

Oct 05 2018

Research Preview: Sector-Adjusted Factor Returns

  • Oct 5, 2018

This article summarizes our current research into the interaction between factors and sectors. We find that sector weights have a significant influence on some factor results, while the true factor impact is the key driver for others. Watch for our full report coming next week.

May 05 2018

EM Country Rotation Based On A Stock Factor Model

  • May 5, 2018

Back testing shows stock-level factor alpha can be captured at the country level. With the rapid growth of single-country ETFs, this may prove an efficient, practical alternative to individual stock selection.

Mar 08 2018

The Ups and Downs of 2018

  • Mar 8, 2018

Ten weeks into 2018, we have already seen three mini-cycles in U.S. equities. A rip-roaring surge in January was followed in early February by one of the shortest corrections in history...

Mar 07 2018

Leverage Factor: A Boost For High Quality Stocks?

  • Mar 7, 2018

A review of Quality factors, as well as the lower valuations of High Quality stocks, supports the current High Quality cycle amid rising market volatility. The Leverage factor may provide particularly strong backing for High Quality stocks.

Mar 07 2018

Factor Mapping: The Final Piece Of The Puzzle

  • Mar 7, 2018

This months-long research effort culminates with this commentary as we lay out our thoughts on factor rotation and introduce The Leuthold Group’s recently launched Factor Tilt strategy.

Jan 25 2018

A Tactical Approach To Successful Factor Investing

  • Jan 25, 2018


Executive Summary / Factor Investing-An Initial Look / Factor Investing And The Importance Of Market Cycles / The Intelligent Use Of Smart Beta / A Six-Factor Study including Value, Momentum, Quality, Stability, Yield, and Size / Next Steps


Jan 06 2018

Coming Attractions

  • Jan 6, 2018

With an abundance of year-end updates in this edition of Perception for the Professional, we plan to release the content for this “Of Special Interest” section separately in mid-January.

Dec 07 2017

Sector Rotation: Momentum Versus Valuation Factor

  • Dec 7, 2017

For sector overweight/underweight decisions, applying a Momentum overweight with both EM and DM countries has been most successful.

Nov 07 2017

The Case Of The Disappearing Value Premium

  • Nov 7, 2017

Market history teaches us that investors behave differently in groups than they do as individuals.

Oct 06 2017

Valuation-Based Country Selection/Rotation

  • Oct 6, 2017

Despite cyclicality, over the longer term, investing in lower valuation countries ekes out better performance in an EM portfolio, and Dividend Yield showed the most consistency in terms of value factor effectiveness.

Sep 08 2017

Momentum-Based Country Rotation: EM Vs. DM

  • Sep 8, 2017

Last month we assessed the effectiveness of using valuation factors as a basis for country allocation. Using 20 years of data, our results showed that they work quite well specifically for Emerging Market (EM) country-rotation, however, the same valuation-based strategy does not appear to be value-added for Developed Market (DM) allocation/rotation.

Aug 05 2017

Valuation-Based Country Rotation: EM Vs. DM

  • Aug 5, 2017

Many studies have evaluated momentum factors for over/underweighting country exposures within a portfolio, but few have considered valuation factors for country rotation within the Emerging Market space.

Aug 04 2017

July Factor Performance

  • Aug 4, 2017

With the exception of Low Volatility and Profitability, all other factor categories produced positive factor performance in July. The month was eventful, however, as Momentum produced a +4% spread through July 12th, only to give up more than half of that advantage as interest rates rolled back over.

Jul 07 2017

Rotation From Info Tech To Financials Drives Factor Performance

  • Jul 7, 2017

Factors were impacted in June by: 1) Information Technology underperformance; 2) Financials’ renewed strength; and, 3) defensive and low volatility stocks lagging.

Jun 07 2017

Dynamic Factor Investing: A Study In Value

  • Jun 7, 2017

Investment factors experience performance cycles just like every other asset and index. The Value factor is robust across definitions, as all eight versions produced positive excess returns under long/short and long-only methodologies.

May 05 2017

The Intelligent Use Of Smart Beta

  • May 5, 2017

Quantitative investing has become an integral component of professional investment management, and smart beta funds have become popular vehicles for advisors as they assemble actively-managed client portfolios.

Apr 07 2017

In Uncertain World, Investors Reward Growth

  • Apr 7, 2017

With the “Trump Trade” in question, investors have been flocking to companies delivering tangible results.

Mar 07 2017

February Factor Performance

  • Mar 7, 2017

Low Volatility was in favor once again during February after struggling the previous month. Starting in September, the factor has continuously reversed the previous month’s performance.

Mar 07 2017

Emerging Markets: Momentum-Based Sector Rotation

  • Mar 7, 2017

Momentum factors are effective in differentiating EM sector performance, with High Momentum significantly outperforming Low Momentum. Unfortunately, there is a lack of investable EM sector vehicles.

Feb 07 2017

Factor Investing And The Importance Of Market Cycles

  • Feb 7, 2017

While factors do offer excess return they are by no means winners in all seasons. Our findings show that factor returns are cyclical, volatile, and unstable over time.

Dec 07 2016

Quantitative Factor Performance: Year In Review

  • Dec 7, 2016

Factor performance during 2016 is the reverse of that of 2014-2015. Quants and smart beta funds focusing solely on Value have enjoyed the year, while multi-factor approaches have struggled. Value has been the only factor that has provided positive performance this year.

Nov 03 2016

An Initial Look At Smart Beta And Factor Investing

  • Nov 3, 2016

Also known as smart beta or strategic beta, factor investing has become the hottest portfolio management trend in the last five years. The smart beta space exceeds $600 billion in assets under management.

Oct 07 2016

September Factor Performance

  • Oct 7, 2016

Value, Growth, and Profitability were all negative, while Momentum turned around its recent negative performance streak.

Aug 05 2016

July Factor Performance

  • Aug 5, 2016

Value was the only factor category that worked during July. Being the one factor that currently offers rising interest rate exposure, Value has performed inversely to every other category for most of 2016.

May 05 2016

Factors Continue To Underperform

  • May 5, 2016

Similar to March, Value was the only factor to perform well in April. Profitability, Momentum, and Volatility all had spreads worse than –5%. 

Apr 07 2016

Factor Performance Reverses

  • Apr 7, 2016

With the exception of Value, March was a bad month for quantitative factor performance. Every other factor category we follow underperformed, with Momentum posting its second consecutive –5% spread.

Dec 08 2015

Quantitative Factor Performance: What Is Working?

  • Dec 8, 2015

For the third consecutive year (thus far), quantitative factors worked best within the Materials sector. Energy also saw success as the decline in oil hurt the same stocks as in 2014. Factors were least effective in Health Care and Telecom.

Jul 08 2015

First Half Factor Performance: Sentiment And Momentum Drive Returns

  • Jul 8, 2015

Looking at year-to-date factor performance, Sentiment is the best performing; Momentum and Growth have also performed well.

Jun 04 2015

Momentum and Sentiment bounced back in May

  • Jun 4, 2015

Momentum and Sentiment bounced back in May, while Value and Quality struggled.

May 08 2015

Factor Performance: Bounce In Oil Drives Momentum Reversal

  • May 8, 2015

Factor performance reversed course again in April, with the spike in oil driving most of the volatility.

Mar 06 2015

Factor Performance: Most Factors Reverse Course

  • Mar 6, 2015

Factor performance reversed course in February, with most factors performing the opposite of how they have over the last six months.

Feb 06 2015

Momentum Strong, Value Weak

  • Feb 6, 2015

Factor performance in January was very similar to how the year ended, with Momentum doing very well and Value struggling.

Dec 05 2014

Quantitative Factor Performance: What Is Working?

  • Dec 5, 2014

Six of the seven factor categories we track have turned in positive performance so far in 2014; Value is the exception. Lost in the numbers is that most of the value has come from the short quintiles, so it has been hard for managers to take advantage of this trend.

Nov 06 2014

Most Factors Navigate Volatility Well

  • Nov 6, 2014

During another volatile month for the market, factor performance remained fairly consistent, with Profitability, Quality, and Momentum all working again. Value struggled for the second consecutive month and performed poorly during both the decline and reversal in October.

Sep 09 2014

Choppy Factor Performance Is Cousin To Volatility And Suggests Caution.

  • Sep 9, 2014

 We additionally compare factor results YTD to that of 2013 YTD; shift to Large Caps should have staying power.