Size
Value Or Growth? Size Matters
Growth has been outperforming Value since 2007, but the magnitude varies widely by market cap. Large Cap has seen Growth outperform Value by a greater amount and with more consistency than has the Small Cap space. We use the S&P style indexes for reference.
Factors Work In Rough Environment
Size produced the biggest differential, followed by Profitability, Quality, and Momentum factors.
Quantitative Strategies: Factor Performance Reverses
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.
The State Of Momentum
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?
January Performance: Quality and Size Take The Lead...Finally
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.
Year In Review: Inconsistency Among Traditional Factors
Factor performance during 2010: A review of traditional quantitative factors and their performance for the year.
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