Relationship of Momentum stocks and Value stocks has historically demonstrated that at market tops, Momentum does best while Value lags. That pattern is occurring now, but based on prior history the top would not come until Q1 2011.
Quantitative factor performance throws yet another curve ball. Momentum works with Growth and Profitability for first time this year.
New data series confirms unprecedented correlations in equity markets.
Given the discussion during August of a weakening economy and a potential double dip, Chun Wang looks at which of our quantitative factors do best during a slowdown.
During July, there were no factors that added value at a statistically significant level.
Our Group Selection work continues to struggle, but there seems to be a light at the end of the tunnel.
Momentum cannot sustain itself, as multiple trends reversed over last two months. Profitability focus has returned to the marketplace as risk aversion grows.
We expect risk appetites to remain low and investors to continue to reward conservative stock characteristics over the next 3-6 months.
The November leg down in stocks was brutal. However, from a technical perspective, the decline was accompanied by the kind of “positive divergences” that typically appear at major lows.