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.