Factor Score Tag

Subtle Shift in Factor Importance

23 Feb, by Knowledge Leaders Team in Markets

Over the last several weeks, there has been a subtle change in the factors that have contributed most to performance trends for the MSCI World universe....

USD The Dominate Factor Over The Past Year

10 Nov, by Knowledge Leaders Team in Uncategorized

According to our Gavekal Factor Scoring Model, the US dollar has been the most highly correlated factor (out of 30) with the MSCI World Index over the past year (which is why we have been focusing so much of our attention on it over the...

Greater Focus on ROE in October

31 Oct, by Knowledge Leaders Team in Uncategorized

Over the last month, ROE has moved to the top of the list of factors that influence returns in the MSCI World Index: While this was also the most important driver in Europe, it did not even make it into the top five for the...

The Most Expensive Stocks Have Surprisingly Outperformed

20 Oct, by Knowledge Leaders Team in Uncategorized

One of the ways we like to dissect equity performance is by taking a valuation factor, such as the price-to-book ratio, and analyzing how the performance of the lowest (i.e. cheapest) price-to-book stocks have performed relative to the performance of the highest (i.e. most expensive)...

Looking Back – Beta Drove Returns Last Week

07 Jul, 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...

What Factor Drove The Market In May?

02 Jun, by Knowledge Leaders Team in Uncategorized

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)....

Last Week The Focus Was On Liquid Balance Sheets

19 May, by Knowledge Leaders Team in Uncategorized

According to our Factor Scoring Model, net debt as percent of capital had the highest R-squared of any fundamental factor that we track. Long-term debt as a perecent of capital had the second highest correlation to the market as well at 0.61....