Growth

Value strong again in Q2.

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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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Growth outperformed Value in all market cap subsets: Large Cap, Mid Cap, and Small Cap. It also snapped a five month losing streak with Cyclicals. Despite the reversal, Growth is still lagging YTD, and is extremely undervalued compared to Value.

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In April, Large Cap Value widened its YTD outperformance over Large Growth to 730 bps.

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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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Growth Takes It On The Chin In March.

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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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Growth Outperforms Value In February.

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Small Cap Growth Outperforms (On Relative Basis) In Down Month

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Growth Stocks Best In All Three Cap Categories.

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All five factor categories did well, and the best performing Attractive industries came from six different sectors and ranged from traditionally defensive to more cyclical groups.

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Sector weight changes during November were minimal. 

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Growth Stocks Lead YTD In All Three Cap Categories.

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Growth stocks are now all above their historical average valuation levels. Value stocks are all solidly overvalued compared to their recorded averages.

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All three cap tiers of Growth also now ahead for the YTD. Growth stocks are moving towards their his- torical average valuation levels, with Mid Cap Growth now being overvalued. All Value stock segments continue to be solidly overvalued.

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With all three months of Q2 earnings reports in, the 1.28 ratio is much stronger than Q1, but remains below the 1.51 historical average ratio.

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Growth’s leadership over Value has only been apparent in Large Caps, but this segment had a big short-term reversal in recent months. Large Cap Cyclicals (+7%) significantly lag Large Cap Growth (+17%) YTD.

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We measure the sensitivity of common stocks to changes in interest rates using Implied Equity Duration. Growth-oriented sectors tend to have higher duration than Value-oriented sectors, while regional differences are largely explained by interest rate and risk premium differentials.

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Consumer Discretionary’s weight increased the most in the S&P 500, rising 0.5%. Health Care rose the most in Mid Caps (+0.3%), while Information Technology rose the most in Small Caps (+0.7%).

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Growth’s longer term trend of leadership over Value has only been apparent in Large Caps, but this segment had a big short-term reversal in Q2 and July.

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