After a recent rough patch due to a multitude of factors (macro driven markets, high correlations, etc.), our domestic Group Selection (GS) Scores started seeing more consistent performance during the fall of 2012. This continued through the first quarter of this year, with the Attractive to Unattractive return spread at +3.0% year-to-date.
Quantitative Factor review for January shows Large Caps, Quality, and Profitability factors finally performing well. It’s been over a year since stocks with better Profitability outperformed in an up S&P month.