Below is our report for February 2010.
Highlights:
• YTD, the IQS models are performing well.
• A situation we have seen more and more over the past few years – the categories that outperform one month underperform the next. Factor volatility remains large.
• Over the past year, the VIX is trending downwards, but the shorter term interim moves have become more volatile.
• After hitting its’ low around the second week of February, the market has been clawing back and is around the values at the start of the year.
• Small caps continue to outperform large caps. After runs like these, large caps typically outperform over the next couple of months.
• Is the run in small caps a sign that investors believe an economic recovery is underway?
• Don’t be fooled by unemployment numbers (or for that matter, most macroeconomic numbers released) – the job situation is still dismal.
IQS Report February2010.pdf
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