IQS Report for October 2010

IQS Report October2010.pdf

IQS Commentary for October 2010

Random Insights
• On the back of a historic September, October continued the run of strong positive returns.
• IQS models performed well across all factors.
• IQS model weights similar to the weights in November 2009, when IQS models outperformed in November and December 2009.
• Small Caps over Large Caps and Growth over Value. We forecast a reversal in the near-term: Large Caps and Value outperforming.

IQS
• The IQS model was up 2.09% for the 4 weeks ending October 30, while the sector-neutral model was up 1.90%. Year-to-Date, the IQS model is up 3.77%. IQS top decile of stocks has returned +13.5% YTD, while (according to the WSJ) the DJIA has returned +6.6% YTD, S&P 500 has returned 6.1% YTD, S&P 600 has returned 12.3% and The Total Stock Market has returned 8.0% YTD.
• All factor categories added to performance in October!

IQS 1000
• The IQS 1000 model was up 1.21% for the 4 weeks ending October 30, and up .64% YTD. IQS 1000 top decile of stocks has returned 11.4% YTD.

IQS Financial Sustainability Model
• The IQS Financial Sustainability (FS) model was up 1.40% for the 4 weeks ending October 30, and up 5.91% YTD. IQS FS top decile of stocks has returned 13.3% YTD.

Factor Weights
The IQS Weighting Scheme:
• We see only small changes in the allocation of weights this month.

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.