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Factor Friday: Factor Performance Driving the US Banking Sector

Oct 26, 2018

The Data Daily: Where the charts tell the story

This week's Factor Friday focuses on factor performance across the US Banking Sector

 

From the graphs below we observe:

  • Over the past 5 years, buying the banking sector (see US bank below) has been the most effective investment methodology as opposed to discriminating based on factor -- whether we are talking about an equally weighted strategy or market-weighted strategy
    • There doesn't appear to have been much payoff for individual stocking picking during period
  • Value factor and Price Momentum factor are the two most predictive factors for bank stocks with price momentum factor winning out if we ONLY apply market-weighted strategies

 

US Banking Sector - Equal Weighted - Factor Performance - 5 Years

US Banking Sector - Market Capitalization Weighted - Factor Performance - 5 Years

 

Source: S&P CapIQ all graphs