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 October 2, 2020 saw the S&P 500 rise by +1.55%; the index is now up +3.72% YTD.
- Energy – Democratic Presidential candidate Joe Biden’s least favorite sector – continued its horrific decline; oil & gas stocks closed lower by nearly 5% for the week and the sector is now down -56% YTD.
- Real estate and homebuilders were the best-performers, up 3%, as were insurance stocks and banks. Chinese tech and consumer, silver miners and the U.S. IPO Index also rose 2-3%; U.S. tech and transportation lost a percent each. Volatility dropped, with the annualized vol on the S&P 500 now 21.7%, a level that, in the short-term, we consider “risk-on”.
- Volatility and Revenue and Price Target Revisions were the best-performing quant factors for the week in the U.S. We re-emphasize how poorly-performing the shares of companies with large Share Buybacks are this year. Share Buybacks were again the worst-performing weekly quant factor, and the “Buyback Kings” — the 50 members of the S&P 500 members with the largest buybacks — are now down -37% YTD on average.
- Our FlowPoint Work From Home Index (WFH) rose +0.61% on the White House’s virus news, though we note the pro-cyclical market message of the FlowPoint Reopening Index +4.30% increase. Notably, the Leisure & Hospitality sectors added 318,000 jobs in a key area of strength for the September jobs report released Friday, October 2.