Our review of the quantitative “factors” upon which many investment models are built. We dive into which factors are performing and which are not. We track the most relevant: Dispersion, Dividends, Estimate Revisions, Growth, Leverage, Momentum, Quality, Sentiment, Share Buybacks, Short Interest, Size, Technicals, Value, and Volatility.
- The week ended September 11, 2020 saw the S&P 500 decline -2.48%; the index is now down -0.83% month-to-date, and up 3.79% YTD. Last week saw the first consecutive week of back-to-back weekly declines since April.
- U.S. Homebuilders (ITB) led all global sectors, rising 3.84% on the week and is now +23.57% YTD. Notable gains also included the IPO Index (+0.81% and now +52.81% YTD) and Gold Miners (GDX now up 40.57% YTD).
- For the week factor-wise, the best-performing factors in the U.S. were once again Momentum (+2.68%), EPS Growth (+1.78%) and Price Target Revisions (+1.26%).
- Share Buybacks reclaimed their crown as worst-performing factor, down 1.53%. The “Buyback Kings”-the 50 members of the S&P 500 members with the largest buybacks-is now down 36.7% YTD.
- Our FlowPoint Work From Home Index declined in-line with the market, -2.77%.
- The FlowPoint Reopening Index declined -4.01% during the week. Hope for a potential vaccine continued to build over the weekend. The Pfizer CEO appeared on “Face the Nation” stating they should know if their COVID-19 is effective by the end of October.