Articles by Greg Swenson Director of Equities

Factor performance reversed course again in April, with the spike in oil driving most of the volatility.

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Most of the factor trends that were in place at the end of 2014 have continued in 2015 thus far.

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Using “Analyst Score” to measure sentiment and our Group Selection (GS) Scores, we present what appear to be the most quantitatively Attractive, yet disliked equity groups.

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Factor performance reversed course in February, with most factors performing the opposite of how they have over the last six months.

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Factor performance in January was very similar to how the year ended, with Momentum doing very well and Value struggling.

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Our domestic Group Selection (GS) Scores worked well in 2014. Even more encouraging, all of the outperformance was due to the Attractive groups outperforming the average group. Among the factor categories driving the GS Scores, Profitability factors worked best; unusual in a strong bull market.

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Six of the seven factor categories we track have turned in positive performance so far in 2014; Value is the exception. Lost in the numbers is that most of the value has come from the short quintiles, so it has been hard for managers to take advantage of this trend.

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During another volatile month for the market, factor performance remained fairly consistent, with Profitability, Quality, and Momentum all working again. Value struggled for the second consecutive month and performed poorly during both the decline and reversal in October.

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The Attractive range of the Group Selection (GS) Scores outperformed the Unattractive range in the volatile September market.

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

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Consumer Discretionary and Information Technology produce six of the top ten groups.

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Small Cap stocks significantly underperformed Large Cap stocks since late March.

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Factor performance over the first three weeks of July was very different than the last week, which produced a challenging month-end for quantitative investors.

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With the two factors decoupling, we examine if either one has been adding more value.

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Although Valuations are a headwind for the asset class, at the stock level our disciplined multi-factor model indicates best opportunities are Small/Mid Caps, and Hotel & Resort-oriented names.

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But Momentum turnover of constituents has altered its characteristics – names are now slightly more defensive, cheaper, and larger.

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While Momentum continued to struggle and Value surged, the Size factor played a much larger role as Small Caps were hit hard in April.

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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.

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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?

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Three groups currently rank Attractive in the GS Scores: Health Care Distributors, Managed Health Care, and Health Care Equipment.

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