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Thread on a truly crazy week in factor land
Monday's enormous move lower for momentum and higher for value set the stage for the week ...
Monday's FTW<go> screen:
1Y Total Return move good lord...
Monday's enormous move lower for momentum and higher for value set the stage for the week ...
Monday's FTW<go> screen:
1Y Total Return move good lord...
How big was the move in momentum on Monday?
I will refrain from using X std dev statistics in an effort not to get mocked ... but it was very very large.
Our BI L/S momentum factor was down -13.85% percent on the day, the largest 1-day move since 2000:
5 largest declines:
I will refrain from using X std dev statistics in an effort not to get mocked ... but it was very very large.
Our BI L/S momentum factor was down -13.85% percent on the day, the largest 1-day move since 2000:
5 largest declines:
BI's L/S value factor was up 7.5% on Monday.
While not as big of an outlier as the momentum move, this is still the largest 1-day move higher over the last 20 years.
5 largest daily increases:
While not as big of an outlier as the momentum move, this is still the largest 1-day move higher over the last 20 years.
5 largest daily increases:
This week's factor moves continued the trends in place since August, though admittedly changing what was a very moderate trend (being kind) into a full-blown rotation.
Since August, I see L/S value now up 7.64% while L/S momentum is down -12.33%
Since August, I see L/S value now up 7.64% while L/S momentum is down -12.33%
Valuations, for what they are worth, argues for a continuation of this rotation
Momentum Factor Valuations remain expensive:
Q1 Momentum (high) median PX/Ebitda = 16.80
Q5 Momentum (low) median PX/Ebitda = 9.24
Momentum factor value spread = 7.56 (90th percentile since 2010)
Momentum Factor Valuations remain expensive:
Q1 Momentum (high) median PX/Ebitda = 16.80
Q5 Momentum (low) median PX/Ebitda = 9.24
Momentum factor value spread = 7.56 (90th percentile since 2010)
Value factor valuations are cheap (duh)
Value Factor Valuations:
Q1 Value (cheap) median PX/Ebitda = 6.52
Q5 Value (expensive) median PX/Ebitda = 26.62
Value factor value spread = -20.10 (1st percentile since 2010)
Value Factor Valuations:
Q1 Value (cheap) median PX/Ebitda = 6.52
Q5 Value (expensive) median PX/Ebitda = 26.62
Value factor value spread = -20.10 (1st percentile since 2010)
With positive trends (factor momentum) and cheap valuations spreads, the value factor should be set up for a run of outperformance...
Or it can break our heart per usual
Time will tell....
Or it can break our heart per usual
Time will tell....
