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Factor Friday: Factor Performance Driving US Smart Beta

Jan 25, 2019

We Crunch the Numbers, You Make the Trade.We Crunch the Numbers, You Make the Trade.
We Crunch the Numbers, You Make the Trade.We Crunch the Numbers, You Make the Trade.

 

The Data Daily: Where the charts tell the story

This week's Factor Friday focuses on factor performance of US Smart Beta Strategies.

 

US Large-Cap    S&P 500 AVERAGE Q1-Q5 SPREAD BY SECTOR %

FACTOR CROSS-SECTIONAL ENERGY MATERIALS INDUSTRIALS CONSUMER DSCR CONSUMER STAPLES HEALTHCARE FINANCIALS INFO TECH COMMS UTILITIES REAL ES
Price Momentum 0.59 -0.11 0.62 0.61 0.73 0.34 0.68 0.60 0.48 0.39 0.40 0.09
Historical Growth 0.07 0.04 0.05 -0.07 0.01 0.29 0.07 0.06 0.27 0.95 -0.27 -0.42
Capital Efficiency 0.21 0.20 0.24 0.31 -0.04 0.55 0.43 0.01 0.59 0.21 -0.17 0.34
Valuation 0.43 0.47 0.41 1.02 0.32 0.34 0.36 0.34 0.41 -0.48 -0.04 -0.12
Earnings Quality 0.21 0.07 0.03 0.02 0.34 0.11 0.24 0.11 0.66 0.34 0.00 -0.24
Size 0.17 -0.20 0.40 -0.19 -0.11 0.31 0.34 0.17 0.62 0.37 0.46 -0.63
Volatility 0.13 -0.06 0.21 -0.28 0.26 -0.04 -0.06 0.32 0.21 0.03 0.06 0.62
Analyst Expectations -0.04 -0.21 -0.13 -0.36 0.45 -0.05 0.05 0.09 0.24 -0.29 -0.10 0.23

Source: S&P CapIQ

US Mid-Cap    S&P 400 AVERAGE Q1-Q5 SPREAD BY SECTOR %

FACTOR CROSS-SECTIONAL ENERGY MATERIALS INDUSTRIALS CONSUMER DSCR CONSUMER STAPLES HEALTHCARE FINANCIALS INFO TECH COMMS UTILITIES REAL ES
Price Momentum 0.72 0.48 0.61 1.40 1.03 0.26 0.71 0.45 0.66 -0.11 0.24 -1.09
Historical Growth 0.29 0.30 -0.02 0.21 0.61 0.50 0.54 0.23 0.38 0.99 0.18 -0.54
Capital Efficiency 0.38 0.50 -0.20 0.54 0.67 0.11 0.97 0.25 0.70 0.29 0.04 0.45
Valuation 0.40 0.82 0.97 0.31 0.06 0.39 0.57 0.59 0.30 0.91 0.39 0.72
Earnings Quality 0.23 -0.47 0.14 0.24 0.55 0.63 0.29 -0.14 0.32 1.48 -0.21 0.16
Size 0.07 -0.30 0.15 0.21 -0.28 0.22 0.35 -0.05 0.17 -0.49 0.15 -0.44
Volatility 0.17 -0.08 0.58 0.06 -0.15 0.09 -0.08 0.39 0.52 -0.62 -0.04 0.19
Analyst Expectations 0.18 0.18 -0.26 0.03 0.99 -0.44 0.38 0.35 0.10 1.30 -0.15 -0.05

Source: S&P CapIQ

 

Better Data for Better Investment DecisionsBetter Data for Better Investment Decisions
Better Data for Better Investment DecisionsBetter Data for Better Investment Decisions

US Small-Cap    S&P 600 AVERAGE Q1-Q5 SPREAD BY SECTOR

FACTOR CROSS-SECTIONAL ENERGY MATERIALS INDUSTRIALS CONS DSCR CONS STAPLES HEALTHCARE FINANCIALS INFO TECH COMMS UTILITIES REAL EST
Price Momentum 0.96 0.96 2.23 1.01 1.13 0.50 1.34 0.61 0.84 2.14 0.63 -1.79
Historical Growth 0.07 -0.09 -0.18 -0.13 0.79 -0.49 -0.23 0.34 -0.45 -0.02 0.27 1.82
Capital Efficiency 0.56 0.40 1.07 0.25 0.92 0.68 -0.14 0.65 0.16 2.86 0.49 1.82
Valuation 0.65 0.77 1.17 0.77 0.71 0.29 0.28 0.24 0.76 -0.28 0.43 0.29
Earnings Quality 0.48 -0.48 0.24 0.06 0.94 0.13 0.40 0.54 0.42 -0.16 0.29 1.01
Size 0.07 -0.51 -0.16 0.31 -0.30 0.50 0.51 0.07 0.65 0.12 0.51 -0.09
Volatility -0.18 -0.08 -0.36 0.36 -0.37 -0.29 0.00 0.02 -0.57 -1.27 -0.18 -0.73
Analyst Expectations 0.04 0.52 0.29 -0.45 0.34 0.31 -0.21 0.74 -0.66 1.11 -0.02 1.47

Source: S&P CapIQ