From Our Blog
Mar 14, 2017 7:15:01 PM
2017's bull market continued in February, with Dividend Yield being the month's standout factor. The low volatility factor’s positive return in an up month is also quite notable. Even low beta stocks, which are expected to underperform when markets are up significantly, were basically flat. Book/Price was the laggard this month. And Momentum, the best performing factor in the latter half of the 20th century, has continued to lag.
Feb 14, 2017 11:33:13 AM
We hope that the new year has treated you well so far.
The first month of 2017 was a bullish one, more so for tech investors than for the broader market. The rally was helped by expectations that there wouldn't be quite as many Fed hikes as were priced in at the end of 2016, and the US dollar also saw a reversal after strengthening against many currencies in 2016. Apart from Estimate Dispersion, %4 Week Total Return (AKA Reversal Factor) and 2Y Forward Growth, most factors saw poor performance. So while bullish investors may be celebrating the start of 2016, those with a bit too much exposure to classic factors like Value or the newly popular Beta and Volatility factors may find their performance lagging the indices.
Jan 3, 2017 7:49:42 PM
Happy New Year!
The end of one year and the start of another is always a time of introspection and reflection. In this case, we would like to apply that introspection to the factors that we help our clients track. We'll lead with what most investors are interested in - headline performance - and then revisit specific instances that could benefit from extra reflection.
Dec 6, 2016 10:54:16 AM
Continuing our series on monthly factor returns, here is a summary for November.
Nov 17, 2016 12:31:23 PM
The US election is over, and despite the reactions of many, this wasn’t a black swan event. It could hardly even be called a fat tail risk. Yet, an event that markets were giving between a 15% and 30% chance did in fact occur. Donald Trump now comes to power in an era of single party government, with the GOP controlling the House of Representatives and still barely in control of the Senate. We’ve been sharing some quantitative insights on the topic throughout the cycle, and in this post will follow up to see how things worked out.First, let’s take a look at the factor returns around this election: