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.