Factors
Year In Review: Inconsistency Among Traditional Factors
Factor performance during 2010: A review of traditional quantitative factors and their performance for the year.
The Impact Of Quantitative Easing On Style Factors
Chun Wang examines QE I & II in Japan, along with the initial QE in the U.S., to see how various quantitative factors have reacted in the past. While some factors may prove effective, the main difference between these past QE experience and the latest round is the macro conditions of the market.
Market Action Signals Further Room To The Upside
Factor analysis shows that Momentum continued to be effective in November. Also, aggressive equity sectors have been outperforming the defensive ones. Both of these factors bode well for a continuation of the bull market.
Commodities vs. Style Factors: A Risk Perspective
Chun Wang uses the CRB Index as a risk proxy to test the effectiveness of a range of quantitative factors in various environments. Commodity prices have become an increasingly important measure of risk, since higher commodity prices indicate a greater risk appetite and vice versa.
Year To Date Update: Momentum Makes A Comeback
YTD the winner is momentum! This is slowly developing to the angst of many model-tweekers. Note though that how one defines momentum can make a difference in what you see.
Go Back To Basics During An Economic Slowdown: Value & Quality
Given the discussion during August of a weakening economy and a potential double dip, Chun Wang looks at which of our quantitative factors do best during a slowdown.
Month In Review: The Quality Trade Returns
Quantitative factor performance throws yet another curve ball. Momentum works with Growth and Profitability for first time this year.
Irrelevant Factor Performance
During July, there were no factors that added value at a statistically significant level.
Factor Performance Shows Flight To Quality
Momentum cannot sustain itself, as multiple trends reversed over last two months. Profitability focus has returned to the marketplace as risk aversion grows.
Quant Review 2009…. Value Reigns
Review of quant strategies shows momentum out of favor in 2009, with value factors working best.
What's Working In 2007?
Factors driving the stock market obviously vary considerably over time. We isolated 10 factors to show what has been working so far in 2007. Best indicator in 2007 is low short interest, while the worst factors have been Low Price/Book Value and Low Beta.
What Has Changed Since February 2, 1996?
Comparison between February 2, 1996 Major Trend (when we last went positive) and today’s calculation shows the shift primarily driven by Economic/Monetary/Inflation (higher interest rates), and by the Supply/Demand category.
Major Trend Index Fades to Negative Status
Factors affecting shift in Major Trend: fade in market momentum...decline of cash flow into U.S. focus equity funds...vast new supply of equities. Despite modifications to help adjust for this “new era” environment, it wasn’t enough to offset current negatives.
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