Quantitative Strategies
QE Beneficiaries: Highly Levered Firms Outperform
Firms with high debt to equity ratios have been outperforming both the market and firms that rarely utilize debt. When we control for both sector and market cap, the trend is still taking place.
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.
Factor In Focus: Asset Growth Identifies Lack Of Capital Discipline
Asset growth is a factor that gets some attention, but not nearly as much as other more mainstream factors like price to earnings, earnings growth, etc.
Correlations: Digging Deeper At The Sector & Group Levels
Correlations have been extremely elevated over the past few years when compared to historical levels. The question is, which parts of the market has this impacted the most?
Market Dynamics: 2012 Sector Performance; Leverage Pays
In our framework, Health Care is the number one performer year-to-date by almost five percentage points.
Impressive Factor Performance In July
On a performance spread basis, most of the factor categories we monitor worked as intended during July.
Quant Factors Ineffective During June
Insider buying and selling is the only factor that worked during June.
Momentum Drive Returns; Correlations Increase
The worst performers are the first sell candidates for investors looking to shed assets.
New Dividend Growth Screen
A new dividend growth screen and another that additionally incorporates dividend growth at a reasonable price are explored.
Correlations Steady After Sharp Drop
Correlations stabilized during March and remain below the record levels of last fall.
Valuations At The Quintile Level
Valuations are sliced and explored from a different angle.
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.
Global Groups 3.0
Some steps are being taken to enhance our Global Group framework. This process, which was formally launched in late 2006, is the basis for our Leuthold Global Industries Fund.
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.
Perception for the Professional
March 2026 Issue
Featured Articles
Sector Navigator
March 2026 Issue
