Factors
Quantitative Strategies: Factor Performance Reverses
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.
The State Of Momentum
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?
2013 Factor Performance: What Worked? What Will Keep Working?
Momentum and Value worked in 2013. Materials and Financials were the easiest sectors to exploit; Discretionary and Tech the most difficult. Momentum works in December; Value and Small Caps at the start of the year.
A Correction Preview?
Was the brief taper-induced pullback a sign of what’s to come down the road? If so, we looked at what factors performed well and what factors didn’t in response to the rising rate environment.
Correlations And Factor Performance
Value factor performance took off at the end of June last year and never looked back; posting positive Q1 minus Q5 spreads every month since.
A Review Of Correlations & Factor Performance
A review of correlations and factor performance. Plus, weighting matters in sector performance as we compare the S&P 500 to our Leuthold 3000 universe.
Impressive Factor Performance In July
On a performance spread basis, most of the factor categories we monitor worked as intended during July.
January Performance: Reversals Everywhere
January performance was nearly opposite that of 2011… Shifts in factor performance and volatility are discussed.
Factor Performance For 2011
A detailed look at quantitative factor performance for 2011. What worked and what did not?
Factor Performance Remains Choppy
Factor performance continues to flip-flop, one-year correlations hit all-time high, Earnings Revisions remains the strongest factor in 2011, which prompts a deeper look.
The Return Of Value And Growth?
Correlations finally drop during the October market rally. Both Value and Growth factors outperformed during the month. Some momentum factors have diverged… each is an atypical occurrence.
Record Performance Correlations Continue
Industry groups and stocks continue to set records with performance correlations. Defensive groups have seen the largest percentage gain to current correlations relative to the last five years. There truly has been no place to hide in this market.
Correlations: Hitting Record Highs
Industry groups and stocks are now trading at record correlations.
Factor Performance: Insider Activity Finally Works; Value Continues To Struggle
Insider Activity measures finally additive in July after six months of negative results; other factors’ performance deteriorated, however.
June 2011 Factor Performance
The month of June brought more of the same, with profitability, size and momentum continuing to work reasonably well.
Factor Performance Since 2009 Lows: Reversals Everywhere
Graphical representation of the difficulty since the March 2009 market bottom. Not many factors have been effective.
April Factor Performance: Talk About Boring
Very little to show for a month of solid market performance. Breaking the market down by capitalization yields some interesting results.
March Performance: Factors Continue To Lack Consistency… Except For Momentum
Momentum once again has the best performance. This out-of-favor factor has continued to outperform the rest of the factors.
February Performance: Month Ends On A Whimper
During February, the only quantitative factor producing positive performance was Momentum. All other factors produced negative returns.
January Performance: Quality and Size Take The Lead...Finally
Quantitative Factor review for January shows Large Caps, Quality, and Profitability factors finally performing well. It’s been over a year since stocks with better Profitability outperformed in an up S&P month.
Perception for the Professional
March 2026 Issue
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March 2026 Issue
