Momentum
Oil Impacting Factor Performance
Value and Profitability performed well during August. Market Cap was a surprise underperformer given the stock volatility.
Momentum Continues To Shine
Energy And Materials Driving Momentum Volatility
On High Alert
August is “National Eye Exam Month,” but this is the rare year we can confidently recommend that you skip it.
Stock Market Observations
The U.S. stock market has largely shrugged off the latest round of worries related to China’s stock market collapse, the new down-leg in crude oil, a more hawkish tone in Fed-speak, and sizable second-quarter declines in S&P 500 sales and earnings.
Value, Momentum, And The Stock Market Cycle
Conventional measures of market action, like breadth and industry leadership, point to the formation of a bull market top. Divergences abound.
Stocks Vs. The Dollar—More Complicated Than You Think
The recent strength in the dollar coincided with a spike in volatility and weakness in risky assets, but the relationship over the last couple years has been tenuous at best.
Choppy Factor Performance Is Cousin To Volatility And Suggests Caution.
We additionally compare factor results YTD to that of 2013 YTD; shift to Large Caps should have staying power.
“Overbought” Can Be Good Or Bad
The notion of “overbought” and “oversold” markets might be the costliest concepts ever developed by stock market technicians. The very words imply some sort of excessive condition that’s prone to naturally self-correct.
Momentum & Growth Factors Regain Footing
But Momentum turnover of constituents has altered its characteristics – names are now slightly more defensive, cheaper, and larger.
Factor Rotation Continues
While Momentum continued to struggle and Value surged, the Size factor played a much larger role as Small Caps were hit hard in April.
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?
A Forgettable “Bounce” Season
The last few innings of a cyclical bull market generally favor trend or momentum-oriented strategies, rather than mean-reverting ones like “Playing The Bounce."
Stick With Strength
The industry price momentum effect - observable in data from the last several decades - has strongly reasserted itself in the last 18-24 months.
2013 Factor Performance Review
2013 ended up being a good year for quantitative strategies, particularly those that focus on using Momentum
Earning Momentum
While the current ratio of 1.37 is relatively weak historically, it is still an improvement from the second months’ readings of Q2 (1.27) and Q1 (1.16).
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.
Introducing A New Regional Equity Model…
That leads us to think more about price momentum as an alpha-generating factor.
Earnings Momentum - Q2 Reports Below Average But Ahead Of Q1
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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March 2026 Issue
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