What Factor Drove The Market In May?June 02, 2014
By Uncategorized in
Of the 30 factors that we track, Price to Earnings ratio had the highest correlation to the market in May followed closely correlation to the Euro and 1-month change in sales estimate. For the past year, Price to Book ratio has the highest correlation (0.94).
In May, Tech and Health Care carried the market higher while Energy, which has had a wonderful start to the year, underperformed.
While Tech stocks had a solid May, they remain the furthest away from their 3-month high of any sector. 8% of all Tech stocks are at least 30% off their 1-year high (second only to Materials) with an additional 9% of stocks at least 20% off their 1-year high.
Tags > Factor Score, MSCI World, Performance