Summary

  • During the week ended July 2, 2020, 77% (385 of 500) of stocks in the S&P 500 rose with the average winner up 2.6%. The 115 losers lost an average of -1.6%.  Real Estate, Communication Services and Health Care led the upside.
  • The most effective quant factors in stock performance for U.S. stocks last week were EPS estimate Revisions, Value, EPS Surprises and Momentum. YTD leading factors continue to include Growth, Volatility, Dispersion and Surprises.
  • Stocks with Overbought Technicals, Revenue Estimate Dispersion, and high Revenue Growth led to the downside from a quant factor perspective.
  • The uptick in the Value factor was a welcome reprieve for the bow-tie crowd, as value has been the second-worst factor YTD (down -21.48%). Should the market take a “pause to refresh,” this factor could continue its bounce, but we aren’t yet buying into it.
  • The Buyback Kings (the 50 S&P 500 stocks with the highest buybacks in place relative to market cap) declined -0.1% on average for the week and are now down -38.7% YTD. We believe market participants continue to underestimate the negative implications of this phenomenon. If your core holdings have been reliant on share buybacks in the past, take note of the market’s clear rejection of this factor and consider alternatives.

Week Ending July 2, 2020 Factor Performance – Russell 3000 Index Quantiles (Sector Neutral)

Source: FlowPoint, Bloomberg

The Value factor was a boost to returns the week ended July 2, up 2.07%. This reprieve was welcomed by value investors, but Value has been a significant detractor to stock performance last month (-3.29%), this year (-21.48% YTD), the last twelve months (-17.55%), and the last seven years (-3.75%). The best stocks have not been the cheapest stocks going on a decade now.

Source: Flowpoint, Bloomberg

Source: FlowPoint, Bloomberg Data

Resize Font
Contrast Mode
flowpoint partners home

Get Our Premium Research Delivered Directly To Your Inbox - FREE

Join our mailing list to receive the latest research and updates from our team directly to your inbox every week.

You have Successfully Subscribed!