Factor Watch
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.
FACTOR WATCH FOR OCTOBER 4, 2020
Summary
- 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.
