Our factor scoring work reveals that stock price correlation to oil was the most significant factor in determining performance over the last week, with an R-squared of .95. The correlation to treasury bonds was the next most important variable followed by ROE....
Last week, the two factors with the highest R-squared to the market were correlation with the Yen and beta. Interestingly, there has been a very clear relationship when looking at stocks with high or low correlation with the Yen over the past year....
Our factor scoring work is showing macroeconomic factors to be the main driver of stock price returns again this week as they hold seven of the top ten spots. This is unsurprising given the knock on effects from the Fed’s tapering decision on Wednesday....
After a short reprieve in which fundamental factors drove market returns, the last week has been all about the macro. Macro factors (and specifically stocks’ correlation with the euro) filled 4 out of the top 5 spots in our factor scoring work....
The yen was the most significant factor driving global stock prices last week while countries in Europe topped the list for performance on an equal weighted basis. Health Care was the sector standout as the only sector to finish in the green for the week....
In our factor scoring work we noticed that fundamental factors had a good week last week as they occupied 8 of the top 10 most significant factors in determining one week performance. Macro factors (bonds, to be specific) still held onto the 2 and 3...
The USD index, and specifically the Euro portion of it, was the most significant factor in driving world equity prices last week. Interest rates also played a significant role as TIPS yields explained 73% of 1 week price changes....
Last week with most of the attention being on whether or not the US Government would be able to get a deal done to raise the debt ceiling and fund the government, the factor with the highest R-square performance was Beta....
We’ve noted before how we group all 1607 companies in the MSCI World Index into deciles based on various fundamental and market factors, and then observe which factors were significant in explaining performance over various time periods....
Over the last three months, the ”beta trade” has been on. We slice all 1,600 companies in the MSCI World index into deciles from lowest beta to highest, and then we measure the performance of each decile....
