Summary

  • During the week ended July 10, 2020 which saw the S&P move up by 1.76%, only 30% (154 of 500) of stocks in the S&P 500 rose; the average winner was up 2.1%, led by Netflix, Twitter and Wal-Mart which all rose more than 9%.  Clearly the S&P performance is showing a great deal of dispersion among its constituents.  The average of the 346 losers lost -3.0%.  Communication Services, Staples, Utilities and Technology led the upside.
  • Value again took a back seat last week.
  • The most effective quant factors in stock performance for U.S. stocks last week were EPS Estimate Revisions and Momentum. YTD, leading factors continue to include Growth, Sentiment, Volatility and Estimate Dispersion (see table below).
  • Volatility and Dividend Yield led the downside from a quant factor perspective last week. While Sentiment posted the lowest actual factor return last week, we should view that as an outlier given its historically strong performance. In fact, this one factor has been arguably the strongest factor of all over long periods of time. Sometimes the near-term data is just an anomaly.
  • The Buyback Kings (the 50 S&P 500 stocks with the highest buybacks in place relative to market cap) declined -3.4% on average for the week and are now down -38.8% YTD. Only six of the 50 Buyback Kings rose last week, a period that saw the S&P 500 rise +0.2% and the Nasdaq +2.2%. If your core holdings have been reliant on share buybacks in the past, take note of the market’s clear rejection of this factor, and consider alternatives.

YTD, the top quant factor for U.S. equities is Growth (5YR Actual Sales Growth).   This is actually a relatively recent phenomenon; YTD Sales Growth is the #1 factor to stock performance, and it’s been additive in the last one and seven-year periods, though looking back 15 years, it’s been a mild detractor. Something “new” underfoot?

Upside to sellside analyst price targets and EPS “surprises” have been more consistent factors in the U.S. than Growth.

Source: FlowPoint, Bloomberg data

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