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Quantitative Strategies

Apr 08 2021

Rotation Into Value Continues

  • Apr 8, 2021

While Value outperformance continued throughout the first quarter, March saw higher-quality Value names take the lead. Prior to March, it was mostly the unprofitable companies that had driven the rotation.

Mar 05 2021

Short Performance And Short Interest Both Revert

  • Mar 5, 2021

The Reddit-driven January performance of heavily-shorted stocks reversed in February, but not nearly enough to reverse all the previous gains.

Feb 05 2021

YOLO Mania

  • Feb 5, 2021

The Redditors came for the hedge funds, and chaos ensued. We think that when the dust settles, the Reddit crowd will be the spark that allowed more powerful market players to inflect the real pain. Our thoughts, from experience, on why this happened and how we try to avoid it.

Jan 08 2021

GS Scores Perform Well Amid 2020 Volatility

  • Jan 8, 2021

The GS Scores handled the chaotic, 2020 market well, turning in a +10.1% return spread. The lone black-eye was November, when the Pfizer vaccine news upended quant factors and produced the worst single-day performance in GS Score history.

Dec 05 2020

Factor Chaos

  • Dec 5, 2020

The November 9th Pfizer vaccine news compressed an entire Momentum reversal into one historic day. Factor performance easily broke records looking back over our entire history of data. While great news for the general public, it was awful news for Momentum indicators.

Nov 06 2020

Large Cap Growth, Without The FAANG

  • Nov 6, 2020

FAANG has dramatically outperformed Large Cap Growth the past ten years, but is has become cheaper and slightly less growth-oriented in the process. We examine the extent FAANG performance has carried through to the rest of the Large Cap Growth universe and how to get growth without them.

Sep 05 2020

Style Performance Differs Based On Market Cap

  • Sep 5, 2020

Growth continues to lead within Large Caps while Value has the advantage among the Mid and Small Cap arena.

Jul 08 2020

Growth Remains Undefeated

  • Jul 8, 2020

What can slowdown the outperformance of Growth stocks? It turns out, the answer to that persistently-unanswerable question is “Not much.” Not even a global pandemic-driven sell-off and swift rebound. From the market high in February through June 30th, Growth handily outperformed every other factor.

May 07 2020

Valuation Dispersions At Extremes

  • May 7, 2020

Valuation dispersions remain at extreme levels. Dispersions within Large Cap stocks remain above Tech Bubble levels, but are on par with Mid and Small Cap stocks on an absolute basis. Spreads within sectors also present historic stock selection opportunities.

Apr 07 2020

Factor Performance: Value Crushed

  • Apr 7, 2020

The selloff has served to amplify secular style-trends that were in place going into this debacle. Large Cap Growth has continued to outperform everything else, with the underperformance of Value stocks accelerating alongside market losses.

Mar 06 2020

Factor Performance During Sell-Off: Momentum Dominates

  • Mar 6, 2020

Momentum made up for a lackluster 2019 by providing protection during the volatile market correction, while Value continued to be punished. Momentum remains expensive relative to its long-term history, while Value remains cheap, but neither is outside levels seen in recent years.

Feb 06 2020

Tesla: A Short Story

  • Feb 6, 2020

The common, and easy reason given for the recent Tesla move is a short squeeze. We don’t deny that existing shorts are getting “squeezed,” but that’s a result, not a cause, of the recent move. The more likely instigator is speculator FOMO (Fear Of Missing Out).

Jan 07 2020

The Factor Of The Decade Is... Sales Stability?

  • Jan 7, 2020

During a decade characterized by surging equity markets and the proliferation of smart beta products, the best performing quantitative factor was Sales Stability, which isn’t usually associated with either of those trends.

Nov 07 2019

The State Of Momentum

  • Nov 7, 2019

Going forward, high Momentum will depend on an unlikely combination of Information Technology and low Volatility, while low Momentum continues to have outsized exposure to Energy and Materials. Recent weakness only moderately tempered valuations, which could be a headwind.

Sep 07 2019

Factor Performance: Momentum Saves The Day (Year); Value Is Awful

  • Sep 7, 2019

Momentum has made a furious comeback after a rough start to the year, posting an +11% spread in both May and August. Value continues to get crushed and there has been nowhere to hide: The pain is equally distributed between cheap and expensive, and it’s happening in every sector.

Apr 05 2019

Factor Performance: Has Anything Changed In 2019?

  • Apr 5, 2019

· From a factor performance standpoint, 2019 is looking a lot like 2018, with expensive Momentum names outperforming everything else and Value struggling.

Jan 08 2019

Momentum Negative In Q4, But Positive For 2018

  • Jan 8, 2019

2018 was frustrating for most investors as Value continued to struggle and positive Momentum performance was difficult to capture. Small Caps, Mid Caps, and ADRs also underperformed.

Dec 07 2018

What’s In Momentum Now?

  • Dec 7, 2018

 Along with market volatility, the composition of Momentum has changed, becoming more defensive and less exposed to cyclicals and commodities.

 

Nov 07 2018

October Factor Performance

  • Nov 7, 2018

Most factor categories reversed performance along with the market in October. During the month, Value had solid results while Growth gave up all of its 2018 gains. Profitability also had a nice bounce-back month. 

Sep 07 2018

Price Hasn't Mattered

  • Sep 7, 2018

While Momentum continues to work overall, the gains have been skewed to the companies trading at the highest valuation multiples. Extremes, based on both price and valuation, have only been greater a handful of times during the period measured.