Momentum Inflecting
September 21, 2018For the past few weeks, we've been closely following Medium-Term Momentum as it sharply climbed into Overbought territory. While we've talked about this factor a lot recently, it's been a very active signal in both our US and Global models, and we're now observing that Momentum is currently at an inflection point.
As a reminder, we define Medium-Term Momentum as cumulative return over the...
Factor Spotlight: Profitability
September 14, 2018Happy Friday. This week we're going to discuss how Profitability (a component of Quality) is Oversold in both our US and Global models, and provide an update on Medium-Term Momentum (which we had flagged as Overbought last week).
Profitability If you recall our Factor Spotlight note on 4/26/18, we introduced Profitability as a key proxy for Quality. Profitability is a combination of...
Factor Spotlight: Momentum Update
September 07, 2018I hope you've been having a great summer. While factor movement has been relatively quiet this season, we're now seeing the emergence of signal for Medium-Term Momentum factor in both the US and Global models. Usually, when we see this type of movement in both models, it makes for a much stronger signal.
The last time we discussed Momentum on July 12th, we had flagged it as "Oversold" as it...
Dividend Yield & MTM Update
July 26, 2018Here are a couple of quick updates on some factors that we've discussed in recent weeks.Dividend Yield / Growth Update Last week, we highlighted the Dividend Yield factor in our US model.
- At the time, our Factor Profile tool had isolated it as being “Extremely Oversold” at -2.24 standard deviations below the historical mean on a normalized basis.
- Today, this factor sits at -2.31 SD below the...
Medium Term Momentum, Anew
July 12, 2018I hope you've been enjoying the summer so far.
In early March, we highlighted Medium-Term Momentum as a factor that was overbought in the market. In the intervening time, we've seen the factor sell off on both a cumulative and normalized basis, stage a brief rally, and then sell off some more. Today, we're now recognizing it as an Oversold factor.
As you can see, after rallying in the month...
Long Term factor trends
May 18, 2018We've received some great questions about our overbought/oversold indicators (please keep them coming!). One that I wanted to discuss this week is: "Why is it that when a factor is `Oversold`, we don't always see a major decrease in the return for that factor as it reverts?" In other words, sometimes we highlight a factor as Oversold when in reality its cumulative returns are not actually...
Profitability, Momentum, & Size
May 04, 2018Last week we highlighted Profitability (Quality) as a factor that was reaching an inflection point in both the US and Global markets. I wanted to provide a quick update there, as well as for the Momentum and Size factors that we've been tracking over the past couple of months.
Profitability (Global Market)
Momentum & Sector Correlation
April 20, 2018Over the past several weeks, we've watched normalized factor return for Medium-Term Momentum revert from a peak of +1.97 standard deviations above the mean to -0.81 SD below the mean on April 19th, with a curve that appears to be gradually flattening.