On a performance spread basis, most of the factor categories we monitor worked as intended during July.
Insider buying and selling is the only factor that worked during June.
The worst performers are the first sell candidates for investors looking to shed assets.
A new dividend growth screen and another that additionally incorporates dividend growth at a reasonable price are explored.
Correlations stabilized during March and remain below the record levels of last fall.
Valuations are sliced and explored from a different angle.
January performance was nearly opposite that of 2011… Shifts in factor performance and volatility are discussed.
A detailed look at quantitative factor performance for 2011. What worked and what did not?
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.
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.