The decrease in correlations has been helpful for investors, but the lack of volatility in the measure has arguably been more important.
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…
We take a detailed look at the decline in trading volume and conclude the trend might be a positive going forward.
There are some substantial deviations in sector performance depending on your constituents and weighting scheme while, simultaneously, betas are converging toward one another.
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.
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 and factor performance. Plus, weighting matters in sector performance as we compare the S&P 500 to our Leuthold 3000 universe.
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 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?