IQS Report October2010.pdf
IQS Commentary for October 2010
Random Insights
• On the back of a historic September, October continued the run of strong positive returns.
• IQS models performed well across all factors.
• IQS model weights similar to the weights in November 2009, when IQS models outperformed in November and December 2009.
• Small Caps over Large Caps and Growth over Value. We forecast a reversal in the near-term: Large Caps and Value outperforming.
IQS
• The IQS model was up 2.09% for the 4 weeks ending October 30, while the sector-neutral model was up 1.90%. Year-to-Date, the IQS model is up 3.77%. IQS top decile of stocks has returned +13.5% YTD, while (according to the WSJ) the DJIA has returned +6.6% YTD, S&P 500 has returned 6.1% YTD, S&P 600 has returned 12.3% and The Total Stock Market has returned 8.0% YTD.
• All factor categories added to performance in October!
IQS 1000
• The IQS 1000 model was up 1.21% for the 4 weeks ending October 30, and up .64% YTD. IQS 1000 top decile of stocks has returned 11.4% YTD.
IQS Financial Sustainability Model
• The IQS Financial Sustainability (FS) model was up 1.40% for the 4 weeks ending October 30, and up 5.91% YTD. IQS FS top decile of stocks has returned 13.3% YTD.
Factor Weights
The IQS Weighting Scheme:
• We see only small changes in the allocation of weights this month.
Notes:
• IQS model includes the IQS top 3000 stocks by capitalization
• IQS 1000 includes the IQS top 1000 stocks by capitalization
• IQS Financial Sustainability model includes IQS Value and Financial Statement models only – no earnings or price momentum is included. The results for this model are based on the IQS 3000 stock universe.
Note: Results are specific to the IQS analysis. Real time results will vary depending on universe, frequency of trading, and other manager specific strategies.
Tuesday, November 2, 2010
Monday, October 4, 2010
IQS Report for September 2010
IQS Report September2010.pdf
IQS Commentary for September 2010
Random Insights
• September was a fantastic month, with a monthly return around 9% for the large cap S&P 500, and over 11% for the small cap S&P 600!
• Volatility continues to hang around the 20-25 range with no recent spikes.
• Despite last month Small Caps outperforming Large Caps, we forecast Small Caps outperforming in the near future. We also lean towards Growth over Value, but not a large bias.
IQS
• The IQS model was up 1.52% for the 4 weeks ending October 2, while the sector-neutral model was down 1.40%. Year-to-Date, the IQS model is up 1.46%. IQS top decile of stocks has returned +9.2% YTD, while (according to the WSJ) the DJIA has returned +3.9% YTD, S&P 500 has returned 2.8% YTD, S&P 600 has returned 8.3% and The Total Stock Market has returned 4.4% YTD.
• Factor categories that added to performance were led by Balance Sheet Strength, Improving Financials and Sentiment. Momentum and Value detracted from performance.
IQS 1000
• The IQS 1000 model was up 1.25% for the 4 weeks ending October 2, and down .63% YTD. IQS 1000 top decile of stocks has returned 6.8% YTD.
IQS Financial Sustainability Model
• The IQS Financial Sustainability (FS) model was up 1.43% for the 4 weeks ending October 2, and up 4.80% YTD. IQS FS top decile of stocks has returned 7.7% YTD.
Factor Weights
The IQS Weighting Scheme:
• We see a change in the allocation of weights this month. Weight in Momentum has declined, as has Sentiment, with Improving Financials gaining the most.
Notes:
• IQS model includes the IQS top 3000 stocks by capitalization
• IQS 1000 includes the IQS top 1000 stocks by capitalization
• IQS Financial Sustainability model includes IQS Value and Financial Statement models only – no earnings or price momentum is included. The results for this model are based on the IQS 3000 stock universe.
Note: Results are specific to the IQS analysis. Real time results will vary depending on universe, frequency of trading, and other manager specific strategies.
IQS Commentary for September 2010
Random Insights
• September was a fantastic month, with a monthly return around 9% for the large cap S&P 500, and over 11% for the small cap S&P 600!
• Volatility continues to hang around the 20-25 range with no recent spikes.
• Despite last month Small Caps outperforming Large Caps, we forecast Small Caps outperforming in the near future. We also lean towards Growth over Value, but not a large bias.
IQS
• The IQS model was up 1.52% for the 4 weeks ending October 2, while the sector-neutral model was down 1.40%. Year-to-Date, the IQS model is up 1.46%. IQS top decile of stocks has returned +9.2% YTD, while (according to the WSJ) the DJIA has returned +3.9% YTD, S&P 500 has returned 2.8% YTD, S&P 600 has returned 8.3% and The Total Stock Market has returned 4.4% YTD.
• Factor categories that added to performance were led by Balance Sheet Strength, Improving Financials and Sentiment. Momentum and Value detracted from performance.
IQS 1000
• The IQS 1000 model was up 1.25% for the 4 weeks ending October 2, and down .63% YTD. IQS 1000 top decile of stocks has returned 6.8% YTD.
IQS Financial Sustainability Model
• The IQS Financial Sustainability (FS) model was up 1.43% for the 4 weeks ending October 2, and up 4.80% YTD. IQS FS top decile of stocks has returned 7.7% YTD.
Factor Weights
The IQS Weighting Scheme:
• We see a change in the allocation of weights this month. Weight in Momentum has declined, as has Sentiment, with Improving Financials gaining the most.
Notes:
• IQS model includes the IQS top 3000 stocks by capitalization
• IQS 1000 includes the IQS top 1000 stocks by capitalization
• IQS Financial Sustainability model includes IQS Value and Financial Statement models only – no earnings or price momentum is included. The results for this model are based on the IQS 3000 stock universe.
Note: Results are specific to the IQS analysis. Real time results will vary depending on universe, frequency of trading, and other manager specific strategies.
Thursday, September 30, 2010
IQS Research Brief - The Long Slow Dow!
Our latest IQS Research Brief looks at the DJIA and tries to answer the following 2 questions:
When the DJIA crosses an index level (e.g. 10000), how many times does the DJIA close above that level (when the day before it closed below that level)? Furthermore, how many months or years (what we call duration) is the time from the first crossing to the last crossing (it’s probably a lot longer than you think)? For instance, the DJIA first closed above 10000 on March 29, 1999, and closed just above 10,000 (while closing below the previous day) 34 times so far, with the last one being on August 27, 2010. This represents over 11 years back to the 10000 level from when it first closed above 10000!
Another topic we analyze in this IQS Research Brief is the notion that the US Equity Market (DJIA as the proxy) is a good investment at almost any price level. It is generally considered that long-term the market rises roughly 8% per year. In fact, many pension funds incorporate a long-term asset return assumption of 8-10% or more. We will look at returns over various historical periods for DJIA and test this tenet.
The Long Slow Dow.pdf
As always, we welcome your comments, or suggestions for future topics.
When the DJIA crosses an index level (e.g. 10000), how many times does the DJIA close above that level (when the day before it closed below that level)? Furthermore, how many months or years (what we call duration) is the time from the first crossing to the last crossing (it’s probably a lot longer than you think)? For instance, the DJIA first closed above 10000 on March 29, 1999, and closed just above 10,000 (while closing below the previous day) 34 times so far, with the last one being on August 27, 2010. This represents over 11 years back to the 10000 level from when it first closed above 10000!
Another topic we analyze in this IQS Research Brief is the notion that the US Equity Market (DJIA as the proxy) is a good investment at almost any price level. It is generally considered that long-term the market rises roughly 8% per year. In fact, many pension funds incorporate a long-term asset return assumption of 8-10% or more. We will look at returns over various historical periods for DJIA and test this tenet.
The Long Slow Dow.pdf
As always, we welcome your comments, or suggestions for future topics.
Monday, September 13, 2010
IQS Report for August 2010
IQS Report August2010.pdf
Commentary from our August 2010 Report
IQS
• The IQS model was up 2.46% for the 5 weeks ending September 4, while the sector-neutral model was up 1.31%. Year-to-Date, the IQS model is down .11%. IQS top decile of stocks has returned +3.1% YTD, while (according to the WSJ) the DJIA has returned +0.2% YTD, S&P 500 has returned -.9% YTD, and The Total Stock Market has returned .2% YTD.
• Factor categories that added to performance were led by Momentum, Improving Financials, Balance Sheet and Value. Only Sentiment detracted from performance.
IQS 1000
• The IQS 1000 model was up 4.19% for the 5 weeks ending September 4, and down 1.84% YTD. IQS 1000 top decile of stocks has returned 2.0% YTD.
IQS Financial Sustainability Model
• The IQS Financial Sustainability (FS) model was up 2.33% for the 5 weeks ending September 4, and up 3.22% YTD. IQS FS top decile of stocks has returned 2.4% YTD.
Random Insights
• Volatility has declined a bit since the May highs in the 40’s, but is essentially oscillating around the 20-25 range.
• Stock Market is trading around the end of year levels, with small gains and losses periodically. We still expect it end the year more or less flat.
• We continue to see Large Caps over Small Caps. For Value or Growth, we don’t ascertain a trend.
Factor Weights
The IQS Weighting Scheme:
• Overall momentum/value weight for September remains about the same.
Notes:
• IQS model includes the IQS top 3000 stocks by capitalization
• IQS 1000 includes the IQS top 1000 stocks by capitalization
• IQS Financial Sustainability model includes IQS Value and Financial Statement models only – no earnings or price momentum is included. The results for this model is based on the IQS 3000 stock universe.
Commentary from our August 2010 Report
IQS
• The IQS model was up 2.46% for the 5 weeks ending September 4, while the sector-neutral model was up 1.31%. Year-to-Date, the IQS model is down .11%. IQS top decile of stocks has returned +3.1% YTD, while (according to the WSJ) the DJIA has returned +0.2% YTD, S&P 500 has returned -.9% YTD, and The Total Stock Market has returned .2% YTD.
• Factor categories that added to performance were led by Momentum, Improving Financials, Balance Sheet and Value. Only Sentiment detracted from performance.
IQS 1000
• The IQS 1000 model was up 4.19% for the 5 weeks ending September 4, and down 1.84% YTD. IQS 1000 top decile of stocks has returned 2.0% YTD.
IQS Financial Sustainability Model
• The IQS Financial Sustainability (FS) model was up 2.33% for the 5 weeks ending September 4, and up 3.22% YTD. IQS FS top decile of stocks has returned 2.4% YTD.
Random Insights
• Volatility has declined a bit since the May highs in the 40’s, but is essentially oscillating around the 20-25 range.
• Stock Market is trading around the end of year levels, with small gains and losses periodically. We still expect it end the year more or less flat.
• We continue to see Large Caps over Small Caps. For Value or Growth, we don’t ascertain a trend.
Factor Weights
The IQS Weighting Scheme:
• Overall momentum/value weight for September remains about the same.
Notes:
• IQS model includes the IQS top 3000 stocks by capitalization
• IQS 1000 includes the IQS top 1000 stocks by capitalization
• IQS Financial Sustainability model includes IQS Value and Financial Statement models only – no earnings or price momentum is included. The results for this model is based on the IQS 3000 stock universe.
Tuesday, August 3, 2010
IQS Report for July 2010
IQS Report July2010.pdf
Commentary from our July 2010 Report
IQS
• The IQS model was down 1.57% for the 4 weeks ending July 31, while the sector-neutral model was down 1.01%. Year-to-Date, the IQS model is down 2.74%. IQS top decile of stocks has returned +3.6% YTD, while (according to the WSJ) the DJIA has returned +0.4% YTD, S&P 500 has returned -1.2% YTD, and The Total Stock Market has returned -.04% YTD.
• Factor categories that added to performance were led by Value and Sentiment. Momentum and Improving Financials underperformed.
• Weekly returns were volatile – up one week, down the next.
IQS 1000
• The IQS 1000 model was down 6.03% for the 4 weeks ending July 31, and down 6.09% YTD. IQS 1000 top decile of stocks has returned -.8% YTD.
Random Insights
• Volatility has come down, but it is summer time so this is no surprise (usually the market takes a holiday as the temperature heats up).
• Stock market has quietly climbed back up since falling in July. Market is still relatively flat for the year, and we expect it end the year more or less around this level.
• We continue to see Value over Growth and Large over Small.
Factor Weights
The IQS Weighting Scheme:
• Overall momentum/value weight for August remained about the same. More weight on Balance Sheet with less reliance on true value (P/E).
Note: Results are specific to the IQS analysis. Real time results will vary depending on universe, frequency of trading, and other manager specific strategies.
Commentary from our July 2010 Report
IQS
• The IQS model was down 1.57% for the 4 weeks ending July 31, while the sector-neutral model was down 1.01%. Year-to-Date, the IQS model is down 2.74%. IQS top decile of stocks has returned +3.6% YTD, while (according to the WSJ) the DJIA has returned +0.4% YTD, S&P 500 has returned -1.2% YTD, and The Total Stock Market has returned -.04% YTD.
• Factor categories that added to performance were led by Value and Sentiment. Momentum and Improving Financials underperformed.
• Weekly returns were volatile – up one week, down the next.
IQS 1000
• The IQS 1000 model was down 6.03% for the 4 weeks ending July 31, and down 6.09% YTD. IQS 1000 top decile of stocks has returned -.8% YTD.
Random Insights
• Volatility has come down, but it is summer time so this is no surprise (usually the market takes a holiday as the temperature heats up).
• Stock market has quietly climbed back up since falling in July. Market is still relatively flat for the year, and we expect it end the year more or less around this level.
• We continue to see Value over Growth and Large over Small.
Factor Weights
The IQS Weighting Scheme:
• Overall momentum/value weight for August remained about the same. More weight on Balance Sheet with less reliance on true value (P/E).
Note: Results are specific to the IQS analysis. Real time results will vary depending on universe, frequency of trading, and other manager specific strategies.
Tuesday, July 6, 2010
IQS Report for June 2010
IQS Report June2010.pdf
Commentary from our June 2010 Report
IQS
• The IQS model was up 1.87% for the 5 weeks ending July 3, while the sector-neutral model was up 2.47%. Year-to-Date, the IQS model is down 1.12%. IQS top decile of stocks has returned -3.5% YTD, while (according to the WSJ) the DJIA has returned -7.1% YTD, S&P 500 has returned -8.3% YTD, and The Total Stock Market has returned -7.3% YTD.
• Factor categories that added to performance were led by Improving Financials, Value and Balance Sheet. Momentum and Sentiment underperformed.
• Value and Improving Financials had positive (or zero) Decile 1-10 spreads in all 5 weeks of June. Momentum had a positive spread in only one week in June.
IQS 1000
• The IQS 1000 model was down 1.07% for the 5 weeks ending July, and down .38% YTD. IQS 1000 top decile of stocks has returned -6.3% YTD.
Random Insights
• The 10th decile (best shorts) continues to outperform the universe.
• Large caps outperformed small caps. We would not be surprised to see this continue over the rest of the year.
• Cross-sectional volatility of monthly returns across the “growth” stocks has declined over the year. For all stocks, the cross-sectional volatility has been relatively consistent during 2010 but much lower than in 2009.
Factor Weights
The IQS Weighting Scheme:
• Small changes in the weights for July compared with June. Value and Improving Financials make up around 50% of the weight.
Commentary from our June 2010 Report
IQS
• The IQS model was up 1.87% for the 5 weeks ending July 3, while the sector-neutral model was up 2.47%. Year-to-Date, the IQS model is down 1.12%. IQS top decile of stocks has returned -3.5% YTD, while (according to the WSJ) the DJIA has returned -7.1% YTD, S&P 500 has returned -8.3% YTD, and The Total Stock Market has returned -7.3% YTD.
• Factor categories that added to performance were led by Improving Financials, Value and Balance Sheet. Momentum and Sentiment underperformed.
• Value and Improving Financials had positive (or zero) Decile 1-10 spreads in all 5 weeks of June. Momentum had a positive spread in only one week in June.
IQS 1000
• The IQS 1000 model was down 1.07% for the 5 weeks ending July, and down .38% YTD. IQS 1000 top decile of stocks has returned -6.3% YTD.
Random Insights
• The 10th decile (best shorts) continues to outperform the universe.
• Large caps outperformed small caps. We would not be surprised to see this continue over the rest of the year.
• Cross-sectional volatility of monthly returns across the “growth” stocks has declined over the year. For all stocks, the cross-sectional volatility has been relatively consistent during 2010 but much lower than in 2009.
Factor Weights
The IQS Weighting Scheme:
• Small changes in the weights for July compared with June. Value and Improving Financials make up around 50% of the weight.
Tuesday, June 1, 2010
IQS Report for May 2010
IQS Report May2010.pdf
Commentary from our May 2010 Report
• The IQS model was up 2.39% for the 5 weeks ending May 29, while the sector-neutral model was up 2.12%. Year-to-Date, the IQS model is down 3.38%. IQS top decile of stocks has returned 4.2% YTD, while (according to the WSJ) the DJIA has returned -2.8% YTD, S&P 500 has returned -2.3% YTD, and The Total Stock Market has returned -.8% YTD.
• Factor categories that added to performance were led by Improving Financials, then Sentiment and Value. Balance Sheet slightly underperformed along with Momentum.
• All categories had positive Decile 1-10 spreads in at least 3 of the 5 weeks of May.
IQS 1000
• The IQS 1000 model was up 2.31% for the 5 weeks ending May 27, and up .73% YTD. IQS top decile of stocks has returned .54% YTD.
Random Insights
• YTD, the IQS models are performing well in the top decile, but underperforming in the bottom decile. In fact, the top decile has outperformed deciles 2 through 9.
• Since the 4th quarter in 2008 when the VIX peaked above 80, the VIX has been trending downwards breaking through the 20 barrier to below 16 for a short while. Recently, the VIX has climbed back to above 40 and is currently trending down towards 30 at the time of this writing. We expect the VIX to keep experiencing this “jumpiness” where it responds to financial/political uncertainty with a short-time spike in the VIX. Don’t expect the VIX to stay below 20 for a sustained period anytime soon.
• Small caps performance continues to dominate large caps. This will end, and large caps will have their turn.
Factor Weights
The IQS Weighting Scheme:
• Momentum weight has been increasing, after dropping to 0% in 2009, and is now in the moderate range.
• The MEI’s that have affected the factor weights this month include the movements in the VIX and the run up in the market (until the recent sell-off).
Commentary from our May 2010 Report
• The IQS model was up 2.39% for the 5 weeks ending May 29, while the sector-neutral model was up 2.12%. Year-to-Date, the IQS model is down 3.38%. IQS top decile of stocks has returned 4.2% YTD, while (according to the WSJ) the DJIA has returned -2.8% YTD, S&P 500 has returned -2.3% YTD, and The Total Stock Market has returned -.8% YTD.
• Factor categories that added to performance were led by Improving Financials, then Sentiment and Value. Balance Sheet slightly underperformed along with Momentum.
• All categories had positive Decile 1-10 spreads in at least 3 of the 5 weeks of May.
IQS 1000
• The IQS 1000 model was up 2.31% for the 5 weeks ending May 27, and up .73% YTD. IQS top decile of stocks has returned .54% YTD.
Random Insights
• YTD, the IQS models are performing well in the top decile, but underperforming in the bottom decile. In fact, the top decile has outperformed deciles 2 through 9.
• Since the 4th quarter in 2008 when the VIX peaked above 80, the VIX has been trending downwards breaking through the 20 barrier to below 16 for a short while. Recently, the VIX has climbed back to above 40 and is currently trending down towards 30 at the time of this writing. We expect the VIX to keep experiencing this “jumpiness” where it responds to financial/political uncertainty with a short-time spike in the VIX. Don’t expect the VIX to stay below 20 for a sustained period anytime soon.
• Small caps performance continues to dominate large caps. This will end, and large caps will have their turn.
Factor Weights
The IQS Weighting Scheme:
• Momentum weight has been increasing, after dropping to 0% in 2009, and is now in the moderate range.
• The MEI’s that have affected the factor weights this month include the movements in the VIX and the run up in the market (until the recent sell-off).
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