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Quant Corner: May 3rd

05.04.2019 | 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 E-Cigarette Ban, while Energy Infrastructure was the worst.
  • Currently, the most overbought policy theme is Deregulation (SIFIs), while the most oversold policy theme is E-Cigarette Ban.

 

 

Market Fund Flows

  • Equity outpaced fixed Income flows this week (+$1.6B vs. +$0.4B).
  • Equity inflows were led by developed markets (+$1.6B) while emerging markets showed some weakness (-$0.1B).
  • Corporate bonds (+$0.3B) were favored over gov't bonds (+$0.2B).
  • Utilities, Telecom, and Internet led equity inflows, while Real Estate, Technology, and Health Care led outflows.

 

 

Sector Views

  • Last week, defensive sectors (+1.2%) outpaced cyclical (+1.0%) & sensitive (-0.9%).
  • Financials and health care led the week, while communication services & energy were the worst sectors.
  • Over the last 3 months, Technology's NTM P/E had the best multiple expansion (+2.7x) while Energy had the worst (-1.6x).

 

 

Macro Snapshot

  • Last week, the US 10-2Y spread (20bps) narrowed -4bps, while the HY-IG spread (305bps) also narrowed -8bps.
  • The US Dollar Index decreased -0.5%.
  • Internationally, Singapore (+0.7%) and UK (-0.7%) performed the best, while Mexico (-1.5%) and Spain (-1.0%) lagged.
  • The top performing commodity, Corn was up (+3.1%), while wti was down (-2.2%).

 

 

Investment Factors

  • Small-Cap Value led the week (+1.6%) while Large-Cap Growth saw the worst performance (-0.1%) vs S&P 500 (+0.2%).
  • Small Cap & Value were the best performing factors while Low Volatiliy & Growth were the worst.
  • YTD, IPOs continue to lead the qualitative factors (+18.5% vs S&P 500) while Growth leads style factors (+3.4% 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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