blog

Latest from the Quantamize Blog

Factor Friday: Factor Performance Driving Canadian Stocks

Jun 07, 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 we are looking at the factor performance driving Canadian Stocks

 

Canadian Stocks Factor Performance - 5 Years

canadian-stock-factor-performance

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

 

Canadian Stocks Factor Style Summary - 5 Years

Factors Cross-Sectional Spread% Spread Neutratl Spread% #+ Sectors
Price Momentum 110.33% 108.11% 9
Historical Growth -3.03% 9.91% 4
Capital Efficiency 33.07% 44.77% 9
Valuation -11.61% -1.42% 5
Earnings Quality 41.33% 42.20% 6
Size -70.44% -50.41% 6
Volatility -114.55% -68.17% 4
Analyst Expectations 17.53% -7.71% 4

Source: S&P CapIQ

 

Global Top Stock IdeasTOP LONG & TOP SHORT STOCK IDEAS FOR GLOBAL MARKETSMONTHLY TOP IDEAS FROM OUR MULTI-FACTOR QUANTITATIVE MODELS
Global Top Stock IdeasTOP LONG & TOP SHORT STOCK IDEAS FOR GLOBAL MARKETSMONTHLY TOP IDEAS FROM OUR MULTI-FACTOR QUANTITATIVE MODELS