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Dec 07 2021

Value Or Growth? Size Matters

  • Dec 7, 2021

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.

Oct 06 2014

Factors Work In Rough Environment

  • Oct 6, 2014

Size produced the biggest differential, followed by Profitability, Quality, and Momentum factors.

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?

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.