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Quantitative Strategies

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.

Jan 07 2022

2021 Quantitative Factor Performance: Year In Review

  • Jan 7, 2022

After years of underperformance, Value was finally productive—it was the best factor we track. In general, overall factor performance was good, but worked much better within small- and mid-caps compared to large-caps. Value was especially superior outside of the large-cap universe.

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.

Sep 08 2021

Financials Growing Up

  • Sep 8, 2021

Financials have dramatically improved their Growth profile; a move that makes the traditionally value-oriented sector one of the most well-rounded segments of the equity market.

Aug 06 2021

High Quality Growth Performs Well

  • Aug 6, 2021

In 2020, speculative Growth was easily the best-performing portion of the market. However, in 2021, that has reversed: Growth companies with negative earnings are underperforming everything else. 

Jun 05 2021

Val-Mo (Finally) Explodes Higher

  • Jun 5, 2021

After years of underperformance, investors who pay attention to both Momentum and Value are finally being rewarded. The turnaround has been substantial, but the relative valuation of expensive Momentum vs. cheap Momentum stocks is still extremely elevated by historical standards.

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.