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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 Fannie Mae & Freddie Mac, while Opioid Crisis was the worst.
  • Currently, the most overbought policy theme is Capital Markets, while the most oversold policy theme is Opioid Crisis.

Market Fund Flows

  • Fixed Income outpaced Equity flows this week (+$2B vs. -$3.4B).
  • Broad Market bonds (+$1.4B) were favored over gov't bonds (+$0.6B).
  • Consumer Staples, Semiconductors, and Utilities led equity inflows, while Telecom, Financials, Energy led outflows. 

Sector Views

  • This week, defensive sectors (-0.9%) outpaced cyclical (-2.4%) & sensitive (-1.6%).
  • Real Estate and Utilities led the week, while Industrials & Financials were the worst sectors.
  • Over the last 3 months, Technology's NTM P/E had the best multiple expansion (+1.1x) while Energy had the worst (-2.3x).

Macro Snapshot

  • The US 10-2Y spread (18bps) narrowed -3bps, while the HY-IG spread (319bps) also narrowed -9bps.
  • The US Dollar Index decreased -0.5%.
  • Internationally, Spain (+2.1%) and France (+2.0%) performed the best, while China (-2.5%) and Brazil (-4.4%) lagged.
  • The top performing commodity, Corn was up (+8.2%), while natural gas was down (-3.0%).

Investment Factors

  • Low Volatility led the week (+0.5%) while Small Cap saw the worst performance (-3.1%) vs S&P 500 (-0.8%).
  • YTD, IPOs continue to lead the qualitative factors (+18.2% vs S&P 500) while Growth leads style factors (+3.1% vs S&P 500).

 


 

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