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.