Looking Back – Beta Drove Returns Last Week

July 07, 2014

By Knowledge Leaders Team in Uncategorized

As we tend to do at the beginning of a new week, we are going to look back briefly at the previous week to see what of our 30 factors had the highest explanatory value to the market. The “winner” last week was Beta which had a 0.90 r-square value to the market. TIPS yield had the second highest r-square at 0.87. Over the past year, the 3-month change in EPS estimates continues to have the greatest r-square value followed by P/E and P/B.

Tags > Factor Score, MSCI World

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