We’ve recently noted that this month’s market turmoil created a radical reversal of factor returns, poking holes in this year’s momentum bubble. A similar trend has occurred within sectors. During the first nine months of 2018, Consumer Discretionary and Info Tech dominated performance, as seen in Exhibit 1. For the first two weeks of October, Read more […]
In our previous blog, “The Hunt for Value With High Earnings Expectations in Asia,” we discussed how a simple sequential earnings revision screen historically delivered positive return alpha over the value screen in the majority of markets. The value screen was constructed based on the average of three underlying factors: book value-to-price ratio, earnings-to-price ratio, Read more […]
In July, the total return of the S&P SmallCap 600 Growth was 3.75%, which was 1.15% higher than the total return of 2.60% generated by the S&P SmallCap 600 Value. This is interesting since typically growth does not outperform value in small caps when value outperforms growth in large and mid caps. (In July, the total Read more […]
In prior blogs,[i] we discussed the return contribution of mega-cap securities in 2017, as well as the impact of style classifications that may give small-cap active managers more autonomy to invest in significantly different risk exposures. In this blog, we look at active factor risks taken by active managers across three market-cap ranges against the Read more […]
In April, the S&P 500 (TR) gained 0.4%, ending its first consecutive monthly loss in almost two years, but the index is still down 0.4% year-to-date (ending April 30, 2018.) Mid caps are also down for the year, -1.0%, after the S&P 400 (TR) lost 0.3% in April. However, Small caps pushed into positive territory, up now 1.6% Read more […]
Previously I discussed why preference for dividend-paying stocks may not have a strong theoretical footing, but could be grounded in behavioral and practical reasons. Furthermore, due to possible economic signaling generated by dividends, such strategies may be correlated with widely accepted factors like quality and value. This post demonstrates how specific dividend strategy indices may Read more […]
In our previous blog, we highlighted the contribution to domestic equity market returns by mega-cap stocks in 2017 and the implications for active management. In this blog, we focus our discussion on investment style classification. Specifically, we analyze the impact of the style classification scheme on managers’ performance analysis, such as in the SPIVA® U.S. Read more […]
Historically as interest rates have risen, equities have done well. As illustrated in this post, since 1971, the S&P 500 (TR) has gained about 20% on average in rising rate periods, has gained 8 of 9 times and has gained nearly 40% twice with less than a 4% loss for its worst rising rate period. Also shown Read more […]
In a prior post, we looked at the global exposure of the S&P 500. Given the large number of multi-national corporations based in the U.S., approximately 29% of S&P 500 revenues came from overseas in 2017. Beyond large-cap companies, do regional and country exposures change as investment style changes? In this blog, we add to Read more […]
Declining inventories and rising industrial production may create a strong backdrop for value and momentum strategies Falling business inventory ratios have often been a positive economic indicator. With business inventory levels on the decline, value and momentum strategies could be poised to outperform. A strategy that combines value and momentum could serve as a useful Read more […]
