On a month-to-date basis, all strategies have rebounded out of negative territory as regained optimism of trade between the U.S. and China bolstered equity returns. The S&P 500 Equal Weighted index and High-Dividend equities have been trailing the rest of the group, in that time frame, as their relatively greater weighting to defensive sectors dragged on their performance.
Comments on this week’s report:
- More recently, the S&P 500 Equal Weighted index and Quality equities (which are measured on ROE, accrual ratio, and financial leverage ratio) have outperformed the majority of the listed strategies, and raised their trailing 3-year returns to the top of the heap. However, Sector Rotation, which has had the best more recent performance is still trailing on a trailing 3-year return basis as it suffered significant losses in late 2018 (as reflected in the trailing 1-year performance).
- Contrary to Sector Rotation, Low-volatility is outperforming all other listed strategies by a large margin on a 1-year basis as it benefited from its relatively lower drawdown during the stock market correction at the end of 2018, while still participating in the more recent stock market rally.
- Despite the relatively poor performance from Momentum based equities over the trailing 1-year, over the trailing 3-year and 5-year periods they have largely outperformed as in those time frames the market has primarily experienced upward momentum.