IQS Quant

IQS Report for October 2010

2010-11-02T11:28:00.000-07:00

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.

IQS Report for September 2010

2010-10-04T09:19:00.000-07:00

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.

IQS Research Brief - The Long Slow Dow!

2010-09-30T05:44:00.001-07:00

Our latest IQS Research Brief looks at the DJIA and tries to answer the following 2 questions:

When the DJIA crosses an index level (e.g. 10000), how many times does the DJIA close above that level (when the day before it closed below that level)? Furthermore, how many months or years (what we call duration) is the time from the first crossing to the last crossing (it’s probably a lot longer than you think)? For instance, the DJIA first closed above 10000 on March 29, 1999, and closed just above 10,000 (while closing below the previous day) 34 times so far, with the last one being on August 27, 2010. This represents over 11 years back to the 10000 level from when it first closed above 10000!

Another topic we analyze in this IQS Research Brief is the notion that the US Equity Market (DJIA as the proxy) is a good investment at almost any price level. It is generally considered that long-term the market rises roughly 8% per year. In fact, many pension funds incorporate a long-term asset return assumption of 8-10% or more. We will look at returns over various historical periods for DJIA and test this tenet.

The Long Slow Dow.pdf

As always, we welcome your comments, or suggestions for future topics.

IQS Report for August 2010

2010-09-13T07:13:00.000-07:00

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.

IQS Report for July 2010

2010-08-03T07:33:00.000-07:00

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.

IQS Report for June 2010

2010-07-06T16:27:00.001-07:00

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.

IQS Report for May 2010

2010-06-01T11:50:00.001-07:00

IQS Report May2010.pdf

Commentary from our May 2010 Report

• The IQS model was up 2.39% for the 5 weeks ending May 29, while the sector-neutral model was up 2.12%. Year-to-Date, the IQS model is down 3.38%. IQS top decile of stocks has returned 4.2% YTD, while (according to the WSJ) the DJIA has returned -2.8% YTD, S&P 500 has returned -2.3% YTD, and The Total Stock Market has returned -.8% YTD.
• Factor categories that added to performance were led by Improving Financials, then Sentiment and Value. Balance Sheet slightly underperformed along with Momentum.
• All categories had positive Decile 1-10 spreads in at least 3 of the 5 weeks of May.

IQS 1000
• The IQS 1000 model was up 2.31% for the 5 weeks ending May 27, and up .73% YTD. IQS top decile of stocks has returned .54% YTD.

Random Insights
• YTD, the IQS models are performing well in the top decile, but underperforming in the bottom decile. In fact, the top decile has outperformed deciles 2 through 9.
• Since the 4th quarter in 2008 when the VIX peaked above 80, the VIX has been trending downwards breaking through the 20 barrier to below 16 for a short while. Recently, the VIX has climbed back to above 40 and is currently trending down towards 30 at the time of this writing. We expect the VIX to keep experiencing this “jumpiness” where it responds to financial/political uncertainty with a short-time spike in the VIX. Don’t expect the VIX to stay below 20 for a sustained period anytime soon.
• Small caps performance continues to dominate large caps. This will end, and large caps will have their turn.

Factor Weights
The IQS Weighting Scheme:
• Momentum weight has been increasing, after dropping to 0% in 2009, and is now in the moderate range.
• The MEI’s that have affected the factor weights this month include the movements in the VIX and the run up in the market (until the recent sell-off).

IQS Report for February 2010

2010-03-05T10:08:00.001-08:00

Below is our report for February 2010.

Highlights:

• YTD, the IQS models are performing well.
• A situation we have seen more and more over the past few years – the categories that outperform one month underperform the next. Factor volatility remains large.
• Over the past year, the VIX is trending downwards, but the shorter term interim moves have become more volatile.
• After hitting its’ low around the second week of February, the market has been clawing back and is around the values at the start of the year.
• Small caps continue to outperform large caps. After runs like these, large caps typically outperform over the next couple of months.
• Is the run in small caps a sign that investors believe an economic recovery is underway?
• Don’t be fooled by unemployment numbers (or for that matter, most macroeconomic numbers released) – the job situation is still dismal.

IQS Report February2010.pdf

IQS Weekly Quant: Feb 12-19

2010-02-22T05:22:00.000-08:00

Weekly IQS Quant Analysis

For the week ending Feb 19, 2010, the IQS composite model achieved a top/bottom decile spread of +1.2%.

Price Momentum, Value and Balance Sheet Strength led the way; Earnings Changes/Momentum and Improving Financials (company based financial trends) underperformed.

Momentum: +1.6%
Value: +1.1%
Balance Sheet: +0.6%
Improving Financials: -0.4%
Sentiment: -0.8%

Market PerformanceTrend

2010-02-03T05:36:00.000-08:00

We follow mega-cap, large cap, all cap and small cap universes (equal-weighted and cap-weighted). It has not been a large vs. small debate so far this year. Year to date, the mega-caps have underperformed the most.

For the past 5 days, the order of returns:
SP500 equal-wt 1.3%
SP500 cap-wt 1.0%
TOP3000 cap-wt .8%
TOP100 equal-wt .6%
TOP3000 equal-wt .6%
SMALL cap-wt .3%
SMALL equal-wt .3%

For the past 20 days, the order of returns:
SP500 equal-wt -1.6%
SP500 cap-wt -2.7%
TOP3000 equal-wt -3.0%
SMALL cap-wt -3.6%
SMALL equal-wt -3.7%
TOP3000 cap-wt -3.9%
TOP100 equal-wt -5.4%

IQS Report for January 2010

2010-02-02T11:08:00.000-08:00

Below is our report for January 2010.

Highlights:
Model with full universe underperformed.
Model without Financials outperformed.
Model for top 1000 stocks performed better than for full universe.

Recommended weights currently more balanced across Momentum, Value, Balance Sheet and Improving Financials, with lower weight for Sentiment. Haven't seen balanced weights like this since October 2008, when the model outperformed by double digits.

IQS Report January2010.pdf

The New January Effect?

2010-01-26T11:58:00.000-08:00

We published a new IQS Brief looking at the New January Effect.

January 2010 is almost over and the return is negative. Does this tell us anything about what to expect for 2010?

New January Effect.pdf

January Market Performance

2010-01-25T05:08:00.000-08:00

With one week remaining in January, let's look at the market from the "size" perspective.

Past 5 Days ...

Top 100. Over the past week, the top 100 stocks were the weakest performers at -6.3%.

Small Cap. The small cap universe returned -4.5%, still weak, but nearly 2% better than the largest capitalization stocks.

S&P 500. The S&P 500 was down about -4.9%, and -4.8% on an equal-weighted basis, virtually no difference.

3000 Stocks. The broad 3000 stocks univerese underperformed as well, with a cap-weighted return of -5.6% and -4.7% for equal-weighted.

Past 20 Days

Top 100. The top 100 stocks were the weakest performers at -5.1%.

Small Cap. The small cap universe was the best space for size during January so far, with a return of -.5% cap-weighted, and -.3% equal-weighted.

S&P 500. The S&P 500 was down about -3.2%, and -2.3% on an equal-weighted basis.

3000 Stocks. The broad 3000 stocks univerese underperformed as well, with a cap-weighted return of -3.9% and -1.5% for equal-weighted.

IQS Weekly Quant - 1/16/2010

2010-01-20T06:08:00.000-08:00

Weekly IQS Quant Analysis

For the week ending January 16, 2010, the IQS composite model achieved a top/bottom decile spread of -.1%.

Improving Financials and Value led the way (reverse from prior week), while Balance Sheet and Sentiment under-performed.

Last Week This Week
Momentum: +1.8% -0.1%
Sentiment: +0.8% -0.7%
Balance Sheet: +0.3% -1.1%
Value: -0.8% +0.9%
Improving Financials: -1.2% +1.0%

Will Price Momentum be a Success in January?

2010-01-11T19:55:00.000-08:00

After 2009 was such a bad year for price momentum as an investment factor, we wanted to see if there were any clues as to whether it will be a good factor in 2010. Before determining whether momentum will rebound in 2010, we decided to tackle momentum in January 2010.

Looking at the last twenty years, we were able to determine a pattern. When the VIX has increased relative to an 180 point moving average VIX, momentum is less likely to be effective as a factor. However, when the VIX has decreased relative to the moving average VIX, then momentum is more likely to be effective. The correlation between the change in the VIX and the subsequent one-month decile spread for momentum is nearly -.60. Too few data points to get overly excited and take it to the bank. However, the change in the VIX this year is the largest it's been in our sample which goes back 20+ years, down about 18%.

Therefore, we're expecting momentum to be a strong investment factor this January.

January_Momentum.pdf

IQS Weekly Quant - 1/9/2010

2010-01-11T08:19:00.001-08:00

Weekly IQS Quant Analysis

For the week ending January 9, 2010, the IQS composite model achieved a top/bottom decile spread of -.4%.

Momentum and Sentiment led the way, with price and fundamentals not valued. Never a good sign when investors buy stocks based on these criteria. Is it a short-term January effect? An IQS brief may be forthcoming soon to look at this issue.

Momentum: +1.8%
Sentiment: +0.8%
Balance Sheet: +0.3%

Value: -0.8%
Improving Financials: -1.2%

IQS Report for 2009/2010

2010-01-05T14:52:00.000-08:00

Happy New Year to all!!

Below is our report for December 2009, a review of 2009 and an outlook for 2010.

As for our prediction skill, we're probably about as skillful as the next investor or strategist. However, last year we did pretty well. Below are excerpts from our outlook report from last year.

1. “…the market may surprise us all and end 2009 in the 10000-11000 range”

2. “The story for 2009 will be jobs and housing (not to mention oil and other commodity prices). Will unemployment rate reach 10%? Not sure, but the rate will continue to rise…”

3. “Regardless of the turn-around in the economy, all of our 401k accounts are down, our savings have dwindled, our houses are worth less, our jobs are less secure, and we’re not going to forget 2008 any time soon. It will get worse before it gets better!”

IQS Report December2009.pdf

IQS Weekly Quant - 12/18/2009

2009-12-21T05:47:00.001-08:00

Weekly IQS Quant Analysis

For the week ending December 18, 2009, the IQS composite model achieved a top/bottom decile spread of -.4%. Few factors performed well this past week.

Improving Financials: +0.7%

Sentiment: -0.0%
Momentum: -0.2%
Balance Sheet: -0.6%
Value: -0.9%

IQS Weekly Quant - 12/11/2009

2009-12-14T06:24:00.001-08:00

Weekly IQS Quant Analysis

For the week ending December 11, 2009, the IQS composite model achieved a top/bottom decile spread of .7%.

Balance Sheet: +1.2%
Improving Financials: +1.2%
Value: +0.9%
Sentiment: +0.4%
Momentum: +0.1%

Chart of the Month

2009-12-07T07:06:00.000-08:00

Chart of the Month for November 2009
VIX is trending sideways and downward while the S&P 500 is rising!

This month we look at the trend in the VIX during 2009.

The VIX started the year at unsustainably high values due to the global financial crisis. During the second quarter, when investors around the world became more confident that the great depression II was not on the horizon, the VIX started its descent. By the fourth quarter, the VIX was back to historical average levels, which is where we find ourselves right now.

What about the S&P 500? When the VIX started to fall, the S&P 500 began to rise, and has continued to do so since then. While the VIX is moving sideways and slightly downward recently, the S&P 500 is also moving sideways but slightly upwards.

If you calculate the correlation between the 30 day moving average VIX and the level of the S&P 500 during 2009, the result is a correlation of
-.87!!!

IQS Report for November 2009

2009-12-07T07:05:00.001-08:00

IQS Report November2009.pdf

The Week That Was...

2009-12-07T05:28:00.000-08:00

For the week 11/30 - 12/4, we note the following:

Winner of the week: Small cap

All returns below are equal-weighted basis.

Small Cap: 4.1%
Top 3000: 3.3%
S&P 500: 2.2%
Top 100: 1.3%

S&P 500 equal-weighted: 2.2%
S&P 500 cap-weighted: 1.3%

Notes:
Top 100 - 100 largest stocks by capitalization
Small Cap - Stocks with cap between $200mm and $1b

Factor Models not Dead!

2009-12-02T17:50:00.001-08:00

A response to some comments from Robert Litterman at Goldman Sachs Asset Management about factor models not working any more...

While it’s true that factor models crashed in August 2007, many traditional managers had their problems as well. Why is this? Simplifying it for now, factor models predict stocks using either value or momentum, or a combination. Value factors pick out stocks that look cheap based on price, while momentum factors target stocks that have good trends. Traditional managers buy and hold under-valued stocks, but usually need some catalyst or story above and beyond price. Many of these stocks are the same as what the factor models target.

I do believe that the typical factor models and process may have run their course. These factors are known by every quantitative and fundamental manager. Backtesting factors can be done from a litany of financial websites. As for combining factors, there are two traditional ways this has been done. First, you simply equal-weight or arbitrarily assign a weight that feels right. Obviously this naive weighting scheme has many pitfalls. The second is a bit more mathematical in nature where you optimize the factor combination based on the history of the factor performance and covariance with the other factors. While this is a more sophisticated way out, it suffers from the assumption that the future will replicate the past. Since this never happens in real-time, this is a doomed solution as well.

So, how will factors models survive and thrive? I think the answer lies in two directions – factors and weights. There are many undiscovered and underutilized factors in the investment world. What didn’t work or exist five or ten years may be a good approach for the next year or two. Another group of underutilized investment ideas comes from nonlinear factors. Nonlinear factors are certainly less popular than traditional linear factors, partly due to the complexity in combining factors.

In terms of determining the weights going forward, a dynamic weighting scheme makes the most sense. Not only does the sophisticated investor (or machine) have all the information everyone else has, but they exploit it much faster than the factor model users. However, there is still plenty of information in the traditional factors in the short-term. While it is true that certain factors had a long history of success over the last century, those factors will not outperform in the future when looking at a long-term horizon of 1-3 years. For a month or two, many of these factors still show good returns, but then seem to stop working. The real skill and reward comes in knowing how to dynamically weight the factors.

Consequently, I am bullish on factor models that have unique factors, nonlinear information and are dynamically weighted.

Quant Market Observations

2009-11-30T07:01:00.000-08:00

For the week 11/23 - 11/27, we note the following:

Winner of the week: Large cap

Top 100 stocks by cap: -0.4%
S&P 500 equal-weighted: -0.6%
Top 3000 equal-weighted: -1.1%
Small Cap equal-weighted: -1.2%

S&P 500 equal-weighted: -.6%
S&P 500 cap-weighted: -.4%

IQS Weekly Quant - 11/28/2009

2009-11-30T05:31:00.001-08:00

Weekly IQS Quant Analysis

For the week ending November 28, 2009, the IQS composite model achieved a top/bottom decile spread of +0.5%. Low volatility across the factors, as most factors added to performance, but none had a blow-out week.

Value: +0.6%
Improving Financials: +0.6%
Sentiment: +0.2%
Balance Sheet: +0.0%
Momentum: -0.1%

IQS Weekly Quant - 11/21/2009

2009-11-23T05:17:00.000-08:00

Weekly IQS Quant Analysis

For the week ending November 21, 2009, the IQS composite model achieved a top/bottom decile spread of -.3%.

Value: +1.2%
Sentiment: +1.1%
Improving Financials: +0.3%

Balance Sheet: -0.1%
Momentum: -0.8%

IQS Weekly Quant - 11/14/2009

2009-11-16T05:35:00.001-08:00

Weekly IQS Quant Analysis

For the week ending November 14, 2009, the IQS composite model achieved a top/bottom decile spread of 0.6%.

Momentum continues to rebound as a factor.

Momentum: +2.5%
Sentiment: +1.4%
Value: +0.2%

Improving Financials: -0.5%
Balance Sheet: -0.8%

IQS Weekly Quant - 11/7/2009

2009-11-09T05:21:00.000-08:00

Weekly IQS Quant Analysis

For the week ending November 7, 2009, the IQS composite model achieved a top/bottom decile spread of 1.8%.

4 of the 5 categories had positive spreads:
Momentum: +3.5%
Sentiment: +1.8%
Balance Sheet: +0.8%
Improving Financials: +0.1%
Value: -1.6%

Does the VIX Forecast the Direction of the S&P 500?

2009-11-05T07:51:00.000-08:00

In this IQS Brief, we examine whether the short-term trend in the VIX forecasts the subsequent short-term return in the S&P 500.

It is widely believed that downward trends in the VIX forecast an increasing S&P 500, and upward trends in the VIX forecast a declining S&P 500. Is this true in the short-term?

http://IQS Brief - When should the S&P 500 Rise?

Chart of the Month

2009-11-02T09:23:00.000-08:00

Each month we create a chart that hopefully gives you some information that is interesting and possibly useful as well.

This month we look at the sector returns (calculated equal-weighted) of the components of the S&P 500 during 2009.

Open link below for charts.

The 2 interesting things are:
1) enormous disparity in returns between pre-March 9 and post-March 9 periods
2) the sectors that under-performed the most in the first period, out-outperformed the most in the second, resulting in a correlation of returns by sector of nearly -.9

October2009 Chart of the Month.pdf

We welcome comments or suggestions on future topics of interest!

IQS Report for October 2009

2009-11-02T09:22:00.000-08:00

IQS Report October2009.pdf

IQS Weekly Quant - 10/24/2009

2009-10-26T06:09:00.000-07:00

On a weekly basis, we will include an analysis of the performance of the categories of the IQS composite models.

For the week ending October 24, 2009, the IQS composite model achieved a top/bottom decile spread of -.06%.

3of the 5 categories had positive spreads:
Value: +1.6%
Improving Financials: +.9%
Sentiment: +.2%
Balance Sheet: 0%
Momentum: -.7%

IQS Weekly Quant - 10/17/2009

2009-10-19T05:00:00.000-07:00

On a weekly basis, we will include an analysis of how various categories of factors performed.

For the week ending October 17, 2009, diversification continues to be the best weighting scheme!
The IQS composite model achieved a top/bottom decile spread of +1.1%.

4 of the 5 categories had positive spreads:
Momentum: +1.3%
Balance Sheet: +.7%
Improving Financials: +.5%
Value: +.1%
Sentiment: -.7%

September Quantitative Report

2009-10-15T12:47:00.000-07:00

IQS Report September2009.pdf

Factor Diversification

2009-10-15T12:40:00.000-07:00

A past research piece about the convergence of equity factors.

IQS Brief - Factor Diversification.pdf

VIX Too Low?

2009-10-15T12:35:00.000-07:00

A research piece this summer about the level of the VIX.

IQS Brief-VIX Too Low.pdf

IQS Quant Blog - First Post

2009-10-15T12:17:00.000-07:00

Welcome to IQS Quant Blog! Our posts will analyze various aspects of the equity markets from a quantitative perspective. For now, we will be posting 1-2 times per week, but that may change over time.

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