Summary

  • The week ended July 17, 2020 saw the S&P rise 2.1% in a broad-based rally. For example, every stock in the S&P 500 Health Care, Materials and Utility sectors rose, and only one stock in the Industrial sector fell during the week. Overall, 90% (448 of 500) of stocks in the S&P 500 rose.
  • The market is excited about potential vaccine solutions to Covid-19, and the FlowPoint Reopening Index of stocks levered to a “reopening” of the economy rose 4% last week, besting its mirror image the FlowPoint Stay-at-Home Index which rose 3%. Interestingly both indexes outperformed the broader market.
  • Bank stocks experienced a brief bounce and fittingly, Leverage, Value, and Share Buybacks were the best-performing quant factors across the entire U.S market. We view this as a “dead-cat bounce”, and not the beginning of a new trend. Especially with regard to the Buyback factor, which is underappreciated by most. Those companies reliant Share Buybacks are seeing the tide go out.
  • YTD leading factors for security performance continue to be Growth, Sentiment, Volatility and Estimate Dispersion.

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