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.