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Quant Corner: April 29th

04.29.2019 | Ben Phillips, CFA

Quant Corner update v2

Our research team regularly analyzes trends and signals in the economy and financial markets. To receive all of these reports in your inbox each week, subscribe below and visit www.EventSharesFunds.com for our investment solutions. 

 

 

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Policy & Markets Recap

  • Last week the best performing policy theme was Deregulation (Lenders), while E-Cigarette Ban was the worst.
  • Currently, the most overbought policy theme is Deregulation (Lenders), while the most oversold policy theme is White House Drug Plan.

 

 

Market Fund Flows

  • Fixed income outpaced equity flows this week.
  • Equity outflows were led by the U.S. (-$3.9B) while emerging markets showed strength (+$418M).
  • Gov't bonds (+$1.9B) were favored over corporates (-$686M).
  • Technology, Utilities, and Biotech led equity inflows, while Banks, Real Estate & Industrials led outflows.

 

 

Sector Views

  • Last week, defensive sectors (+2.3%) outpaced Cyclical (+0.5%) & Sensitive (+0.4%).
  • Health Care and Communication Services led the week, while Materials & Energy were the worst sectors.
  • Over the last 3 months, Technology's NTM P/E had the best multiple expansion (+2.9x) while energy had the worst (-0.4x).

 

 

Macro Snapshot

  • Last week, the US 10-2Y spread widened 5bps, while the HY-IG spread also widened 5bps.
  • The US Dollar Index increase +0.5%.
  • Internationally, Germany (+1.9%) and Mexico (+1.8%) performed the best, while Australia (+0.2%) and UK (+0.3%) lagged the most.
  • Natural gas was down -8.5%, while WTI was up +0.5%.

 

 

Investment Factors

  • Small-cap Growth led the week +2.5% while Large-cap Value saw the worst performance (+0.4%) vs S&P 500 +1.2%.
  • Momentum & Growth were the best performing factors while Value & High Dividend Yield were the worst.
  • YTD, IPOs continue to lead the qualitative factors (+16.1% vs S&P 500) while Growth leads style factors (+3.7% vs S&P 500).

 

  

 

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EventShares is an investment management firm dedicated to translating legislation and regulation coming out of Washington D.C. into real world investment solutions. The firm's goal is to provide its clients with attractive, long-term results by following a disciplined and differentiated approach to investing.

Headquartered in Newport Beach, CA EventShares serves individuals, financial advisors, as well as institutions and offers its sophisticated investment strategies through active ETFs and separately managed accounts (SMAs).

 

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