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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 Space Force, while Gun Stocks were the worst. Currently, the most overbought policy theme is Capital Markets, while the most oversold policy theme is Deregulation (SIFIs).

Market Fund Flows

  • Equity outflows outpaced fixed Income flows this week (-$11.9B vs. -$1.4B). Equity outflows were led by developed markets (-$11.8B) while emerging markets showed some strength (-$0.1B). Gov't bonds (+$1.4B) were favored over corporate bonds (+$1.2B). Technology, Consumer Non-cyclicals, and Oil & Gas led equity inflows, while Telecom, Energy, and Financials led outflows.

Sector Views

  • Last week, defensive sectors (+0.1%) outpaced cyclical (-1.0%) & sensitive (-2.4%). Real Estate and utilities led the week, while financials & energy were the worst sectors. Over the last 3 months, Materials 's NTM P/E had the best multiple expansion (+1.8x) while Energy had the worst (-0.7x).

Macro Snapshot

  • Last week, the US 10-2Y spread (11bps) narrowed -5bps, while the HY-IG spread (343bps) also narrowed -13bps. The US Dollar Index decreased -0.6%. Internationally, Brazil (+1.3%) and Mexico (+1.2%) performed the best, while Italy (-3.6%) and China (-3.5%) lagged. The top performing commodity, Natural Gas was up (+5.0%), while wti was down (-0.3%).

Investment Factors

  • Large-Cap Growth led the week (+0.1%) while Small-Cap Value saw the worst performance (-1.6%) vs S&P 500 (-0.3%). Low Volatility & Momentum were the best performing factors while Small Cap & Value were the worst. YTD, IPOs continue to lead the qualitative factors (+17.9% vs S&P 500) while Growth leads style factors (+4.8% vs S&P 500).

 


 

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