Articles by Greg Swenson, CFA Director of Equities

Major Trend Index Positive: Equity Exposure At 63%

We examine the factor category strength behind Auto Parts & Equipment, Household Durables, and Paper Packaging. Each of these groups has rated Attractive or High Neutral for two consecutive months.

Value, Growth, and Profitability were all negative, while Momentum turned around its recent negative performance streak.

We examine the factor category strength behind Apparel Retail, Life Sciences Tools & Services, and Technology Hardware Storage & Peripherals.

After performing well since the 2009 meltdown, Momentum is having its first noticeably poor year. The magnitude of the underperformance is in line with other past years of poor performance. Materials and Energy have been the main drivers.

We examine the factor category strength behind Food Retail & Distributors, Homebuilding, and Water Utilities.

Value was the only factor category that worked during July. Being the one factor that currently offers rising interest rate exposure, Value has performed inversely to every other category for most of 2016.

We examine the factor category strength behind Commodity Chemicals, Hypermarkets & Super Centers, and Semiconductor Equipment.

Factor performance was muted prior to the vote; it turned volatile in the remaining days of June following. Momentum was the only factor to work before and after June 23rd — the day of the Brexit vote.

In a reversal of factor performance, Value underperformed while everything else worked well. 

Materials leapt five spots to #3 in our broad sector rankings. Industrials remains the highest rated sector.

Air Freight & Logistics, Commercial Services, and Electronic Manufacturing Services caught our eye this month.

Similar to March, Value was the only factor to perform well in April. Profitability, Momentum, and Volatility all had spreads worse than –5%. 

With the exception of Value, March was a bad month for quantitative factor performance. Every other factor category we follow underperformed, with Momentum posting its second consecutive –5% spread.

Food Retail & Distributors, Leisure Products, and Trading Companies & Distributors caught our eye this month.

Momentum reversed in February, primarily due to rallying Materials stocks. Value and Profitability both performed well.

We use our Group Selection (GS) Scores to identify the potential for a catalyst, and to gauge the health and future performance potential of those groups out of favor by analysts.

Highlighting Automotive Retail, Education Services and Insurance Brokers.

The Attractive quintile of the GS Scores became more defensive in nature; the six groups that were downgraded all sported a cyclical business model. The SI portfolio’s Homebuilding group was deactivated after its GS Score strength deteriorated fairly quickly during its disappointingly short tenure.

What initially looked promising fell apart fairly quickly