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EventShares Quant Corner


Quant Corner:

Weekly data points

Our research team regularly analyzes trends and signals in the economy and financial markets.

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This Week's Reports


Policy & Markets Recap

  • Last week the best performing policy theme was Drug Rebates, while Uranium was the worst.
  • Currently, the most overbought policy theme is Drug Rebates, while the most oversold policy theme is Defense Spending.

Market Fund Flows

  • Equity outpaced fixed Income flows this week (+$8.7B vs. +$2.2B). Equity inflows were led by developed markets (+$8.7B). Gov't bonds (+$1.0B) were favored over corporate bonds (+$0.6B).
  • Basic Materials, Consumer Cyclicals, and Oil & Gas led equity inflows, while Technology, Consumer Non-cyclicals, and Financials led outflows.

Sector Views

  • Last week, cyclical sectors (+0.7%) outpaced sensitive (+0.6%) & defensive (flat).
  • Energy and consumer discretionary led the week, while materials & health care were the worst sectors.
  • Over the last 3 months, Consumer Staples's NTM P/E had the best multiple expansion (+0.8x) while Energy had the worst (-1.5x).

Macro Snapshot

  • Last week, the US 10-2Y spread (27bps) widened 9bps, while the HY-IG spread (307bps) also narrowed -2bps. The US Dollar Index increased +0.3%.
  • Internationally, Brazil (+2.1%) and Canada (-0.2%) performed the best, while India (-3.0%) and Germany (-2.1%) lagged.
  • The top performing commodity, WTI was up (+5.5%), while gasoline was down (-1.4%).

Investment Factors

  • Large-Cap Growth led the week (+0.3%) while Mid-Cap Value saw the worst performance (-1.6%) vs S&P 500 (+0.2%).
  • Growth & Low Volatility were the best performing factors while High Div. Yield & Small Cap were the worst.
  • YTD, IPOs continue to lead the qualitative factors (+20.7% vs S&P 500) while Growth leads style factors (+4.2% vs S&P 500).



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