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Quantitative Strategies

Jun 07 2024

Low Correlations Haven’t Helped

  • Jun 7, 2024

With the Mag 7 driving S&P 500 returns on a daily basis, the other 593 stocks have become less correlated with the S&P 500’s day-to-day changes. Although dropping correlations are typically a good thing for active managers, we think this time is different.

May 07 2024

Speculation Within Large Caps

  • May 7, 2024

Risk appetite continues to be stronger within large caps compared to small caps, with AI themes more prevalent among the biggest names. Less volatile, more profitable firms are winning within small caps.

Mar 07 2024

2024 Factor Performance

  • Mar 7, 2024

Factor performance was decidedly risk-on in February. Through month end, high-momentum names have outperformed the universe by 6.7%—we have to go back to the Tech Bubble to find a year when momentum had a stronger start.

Jan 06 2024

2023 Factor Performance

  • Jan 6, 2024

Much like the overall market, factors reversed course in 2023 with most broad categories performing opposite of what they did in 2022. While two years ago, safety was a virtue, in 2023, the riskier the better.

Dec 06 2023

Value Functioning Better Than Advertised

  • Dec 6, 2023

Value has worked much better within small caps compared to large caps for three of the last four years. This is nothing new, though, as value is historically a much better factor within the less efficient smaller-cap universe.

Oct 05 2023

Factor Behavior Differs By Market Cap

  • Oct 5, 2023

Growth has performed much better among large caps than small caps, resulting in higher relative valuations for large caps. Based on factor valuations, we think value provides a more attractive large-cap entry point, while growth looks more attractive within small caps. 

Aug 05 2023

The Low-Quality Rally Of 2023

  • Aug 5, 2023

All the talk has been about mega-cap growth stocks, but equities with low-quality characteristics have fared even better. High beta, negative earnings, and those with high short interest have trounced the rest of our universe.

May 05 2023

Low-Vol Back In Favor

  • May 5, 2023

The preference for defensive industries and sectors in April led to the outperformance of low volatility stocks, while growth lagged. YTD factor results have been poor, with negative spreads for momentum, profitability, value, and low-vol.

Apr 06 2023

Growth Scare Hits Factors

  • Apr 6, 2023

Volatility returned, as two large bank failures had investors questioning growth expectations. Value was hit the hardest; growth was the main beneficiary. 

Mar 07 2023

The Calm After The Storm

  • Mar 7, 2023

Factor performance stabilized in February, recovering from a brutal start to the year. While those dynamics bled into the first two days of February, the trend quickly reversed as interest rates bounced off recent lows and stayed on an upward trajectory for the rest of the month.

Feb 06 2023

Losing Momentum

  • Feb 6, 2023

After working well in 2022, Momentum took a beating out of the gates in 2023. Investors rejected the winners from last year and returned to the lowest quality and most speculative winners from the previous low-rate playbook.

Jan 07 2023

2022 Quantitative Factor Performance: Year In Review

  • Jan 7, 2023

The rotation into Value continued into 2022, with Momentum joining the party and Growth the only blemish on the factor scorecard. 

Oct 07 2022

Momentum Offering Downside Protection

  • Oct 7, 2022

In a volatile year, protection is coming from what many may deem an unlikely suspect—the momentum factor. Contrary to popular belief, momentum tends to work better in down months than up months.

Sep 08 2022

Earnings Revisions And Predictive Power

  • Sep 8, 2022

While the market moves back into sell-off mode, everyone seems to be waiting for the inevitable hammer to drop on earnings. If and when that happens, does it give us any insight about performance prospects? Or does it just make forward P/E ratios less attractive?

Aug 05 2022

Factors Reverse Alongside Market

  • Aug 5, 2022

With equities rallying off bear market lows, factors also reversed during July. Except for Profitability, every factor category performed inversely to their year-to-date results. Momentum and Low Volatility were the biggest losers, while Growth was the biggest winner.

Aug 05 2022

High-Beta Bounce

  • Aug 5, 2022

High-beta stocks outdid everything else during July, after getting crushed during the first half of 2022. At the end of June, Momentum was more correlated with low beta than any other time in our history.

Jun 07 2022

Reversal Of Fortune For ValMo Investors

  • Jun 7, 2022

From the end of 2020 through May, stocks in the top quintile of both value and momentum have returned 60% versus 7% for the overall universe. That compares to the brutal stretch from 2016-2020 when the only way momentum investing worked was to not only disregard valuations, but to actively buy the most expensive momentum stocks.

May 06 2022

Speculative Growth Selloff: Near The End?

  • May 6, 2022

The group is back to where it was before the pandemonium began, both on a price and valuation basis. While the move is likely to overshoot below median and historical lows, we think we’re closer to the final chapter than the midpoint.

Apr 06 2022

Factor Performance: A Tale Of Two Halves

  • Apr 6, 2022

Through the first two-and-a-half months of 2022, factor performance maintained the trend established in 2021: Value outperformed everything else and Growth lagged. When the 10-2 year differential dropped near 20 bps on March 16th, Growth stocks outperformed from that day forward, while Profitability and Value suffered.

Feb 04 2022

A Detour On The Way To The Moon

  • Feb 4, 2022

It’s been a year since the retail crowd on WallStreetBets—a Reddit forum—banded together to “stick it to the shorts.” The event was short-lived, but the effects are still being felt throughout the market.