Quantitative Strategies

Looking at year-to-date factor performance, Sentiment is the best performing; Momentum and Growth have also performed well.

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

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

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 We additionally compare factor results YTD to that of 2013 YTD; shift to Large Caps should have staying power.

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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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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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We look at Short Interest Ratios within the S&P 1500 sectors for clues on future market prospects. The Materials sector is one where it has paid to monitor what short sellers are doing (or not doing).

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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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2013 ended up being a good year for quantitative strategies, particularly those that focus on using Momentum

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The decrease in correlations has been helpful for investors, but the lack of volatility in the measure has arguably been more important.

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Our Tech sector outpaced the S&P 500 Tech sector by  1400 bps and our Materials sector lagged the S&P 500 Materials by 2300 bps. Here’s why…

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We take a detailed look at the decline in trading volume and conclude the trend might be a positive going forward.

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There are some substantial deviations in sector performance depending on your constituents and weighting scheme while, simultaneously, betas are converging toward one another.

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