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Factors

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.

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.

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.

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.

Aug 06 2014

Factor Performance: A Month Divided

  • Aug 6, 2014

Factor performance over the first three weeks of July was very different than the last week, which produced a challenging month-end for quantitative investors.

Apr 07 2014

Quantitative Strategies: Factor Performance Reverses

  • Apr 7, 2014

Momentum suffered across almost every sector, but it was particularly bad for Health Care and Info Tech. Value factors finally rebounded after losing over the past year.

Mar 07 2014

The State Of Momentum

  • Mar 7, 2014

Momentum has easily been the best quantitative factor over the last year. The only other factor with notable positive performance is Sentiment. Can this continue?

Dec 06 2013

2013 Factor Performance: What Worked? What Will Keep Working?

  • Dec 6, 2013

Momentum and Value worked in 2013. Materials and Financials were the easiest sectors to exploit; Discretionary and Tech the most difficult. Momentum works in December; Value and Small Caps at the start of the year.

Feb 06 2013

Correlations And Factor Performance

  • Feb 6, 2013

Value factor performance took off at the end of June last year and never looked back; posting positive Q1 minus Q5 spreads every month since.

Jan 07 2013

A Review Of Correlations & Factor Performance

  • Jan 7, 2013

A review of correlations and factor performance. Plus, weighting matters in sector performance as we compare the S&P 500 to our Leuthold 3000 universe.

Aug 07 2012

Impressive Factor Performance In July

  • Aug 7, 2012

On a performance spread basis, most of the factor categories we monitor worked as intended during July.

Feb 05 2012

January Performance: Reversals Everywhere

  • Feb 5, 2012

January performance was nearly opposite that of 2011… Shifts in factor performance and volatility are discussed.

  

 

Jan 05 2012

Factor Performance For 2011

  • Jan 5, 2012

A detailed look at quantitative factor performance for 2011. What worked and what did not?

 

Dec 06 2011

Factor Performance Remains Choppy

  • Dec 6, 2011

Factor performance continues to flip-flop, one-year correlations hit all-time high, Earnings Revisions remains the strongest factor in 2011, which prompts a deeper look.

 

Nov 05 2011

The Return Of Value And Growth?

  • Nov 5, 2011

Correlations finally drop during the October market rally. Both Value and Growth factors outperformed during the month. Some momentum factors have diverged… each is an atypical occurrence.

 

Oct 05 2011

Record Performance Correlations Continue

  • Oct 5, 2011

Industry groups and stocks continue to set records with performance correlations. Defensive groups have seen the largest percentage gain to current correlations relative to the last five years. There truly has been no place to hide in this market.

 

Sep 04 2011

Correlations: Hitting Record Highs

  • Sep 4, 2011

Industry groups and stocks are now trading at record correlations.

Aug 04 2011

Factor Performance: Insider Activity Finally Works; Value Continues To Struggle

  • Aug 4, 2011

Insider Activity measures finally additive in July after six months of negative results;  other factors’ performance deteriorated, however.

 

Jul 05 2011

June 2011 Factor Performance

  • Jul 5, 2011

The month of June brought more of the same, with profitability, size and momentum continuing to work reasonably well.

Jun 05 2011

Factor Performance Since 2009 Lows: Reversals Everywhere

  • Jun 5, 2011

Graphical representation of the difficulty since the March 2009 market bottom. Not many factors have been effective.

 

May 04 2011

April Factor Performance: Talk About Boring

  • May 4, 2011

Very little to show for a month of solid market performance. Breaking the market down by capitalization yields some interesting results.

Apr 05 2011

March Performance: Factors Continue To Lack Consistency… Except For Momentum

  • Apr 5, 2011

Momentum once again has the best performance. This out-of-favor factor has continued to outperform the rest of the factors.

 

Mar 04 2011

February Performance: Month Ends On A Whimper

  • Mar 4, 2011

During February, the only quantitative factor producing positive performance was Momentum. All other factors produced negative returns.

 

Feb 04 2011

January Performance: Quality and Size Take The Lead...Finally

  • Feb 4, 2011

Quantitative Factor review for January shows Large Caps, Quality, and Profitability factors finally performing well. It’s been over a year since stocks with better Profitability outperformed in an up S&P month.

 

Jan 05 2011

Year In Review: Inconsistency Among Traditional Factors

  • Jan 5, 2011

Factor performance during 2010: A review of traditional quantitative factors and their performance for the year.