Summary

  • The week ended September 4, 2020 saw the S&P 500 decline -1.93%; the index is now up 2.39% for the month and 6.43% YTD.
  • Factor-wise, the best-performing factors YTD were also the best for the week, including Revenue Estimate Dispersion (+4.81% for the week and +14.62% YTD), High Volatility (+2.84% and 15.69%) and High Short Interest. Buyer beware-these factors are also among the worst performing long-term.
  • The FlowPoint Reopening Index declined -2.19% during the week, though more than half the components rose, including AMC Theatres (+19.39% on the week), Carnival Cruises (+12.44%), Chef’s Warehouse (+10.40%) and NJ’s Restaurants (+9.77%).
  • Our FlowPoint Work From Home Index of stocks levered to trends within the “closing” of the economy and the work-from-home phenomenon declined -5.91%, despite its two most popular stocks – Zoom and Peloton – rising +13.78% and +5.16% on the week, respectively. The dispersion between the Reopening and Stay at Home Indexes is a meaningful development that began two weeks ago, and we own more “Reopening” stocks than Work-From-Home stocks, including GM, PENN, DIS, ISRG and SHAK. (Wal-Mart is the only WFH long position in our fund).

For the second consecutive week, Leverage was a leading factor in equity returns, up 4.28% for the week and now +4.45% YTD. We noted last week that, long-term, Leverage is a long-term losing factor – looking back a year, 7 years and 15 years, it’s been a detractor to equity performance (see table above).

Similarly, High Volatility stocks worked last week, last month and YTD.  Like stocks with High Short Interest, volatile stocks have giveth in the short-run, though they taketh in the long-term.

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