The Factor Report

Week Ended February 21, 2020

Market Wrap-Up

Stocks sank during the week ended February 21, 2020. It was a week of indecisiveness, but focused on the coronavirus (again). With earnings season largely over, investors did not have much else to evaluate. At times, traders were optimistic that the virus would be contained and impact would be limited. However, Apple warned that the virus would have a negative effect on results, leading some to worry that must surely be the case for other companies as well. China reporting a massive slide in auto sales didn’t help matters. Proceeds from stock sales found their way to bonds, sending prices higher and interest rates lower. According to marketwatch.com, the US 10-year treasury yield fell by almost 0.1%.


Performance Summary

From a geographic perspective, Developed Markets held up best, with the US having a slight edge over non-US. Emerging Markets bore the brunt of the selling, down almost 2% for the week. In the factor world, Momentum, Size, and Low Volatility were the week’s winners as all three beat the All Country World Index. The long-term results continue to demonstrate all factor efficacy, as shown in the table to the right. As can be seen, for the YTD, 3-Year, 5-Year, and 10-Year periods, 3 of 5 factors do better than the market. Over 15 years, 4 out of 5 win.


In The News

Please click here for an article looks at how investors could get hurt waiting for the next recession.

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Please click here to see a report on near-record outflows from active equity mutual funds and where that money is going.




Disclosures

Past performance may not be indicative of future results. Different types of investments involve varying degrees of risk. Therefore, it should not be assumed that future performance of any specific investment or investment strategy will be profitable or equal the corresponding indicated performance level(s). Moreover, you should not assume that any of the above content serves as the receipt of, or as a substitute for, personalized investment advice from Metric Financial.


USA is the MSCI USA index, Non-US Developed is the MSCI EAFE index, Emerging Markets is the MSCI Emerging Markets index, and All Country World is the MSCI ACWI index. One cannot invest in an index. Because the factor indexes have varying inception dates, some of the returns provided are back-tested and do not represent actual performance. Inception dates are as follows:


Momentum = MSCI ACWI Momentum NR USD Index (Inception: 11/30/95)

Value = MSCI ACWI Enhanced Value NR USD Index (Inception: 5/29/15)

Quality = MSCI ACWI Quality NR USD Index (Inception: 5/29/92)

Low Volatility = MSCI ACWI Minimum Volatility (USD) NR USD Index (Inception: 5/28/93)

Size = MSCI ACWI Risk Weighted NR USD Index (Inception: 4/6/11)


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All written content is for information purposes only. Opinions expressed herein are solely those of Metric, unless otherwise specifically cited. Material presented is believed to be from reliable sources and no representations are made by our firm as to another parties’ informational accuracy or completeness. All information or ideas provided should be discussed in detail with an advisor, accountant or legal counsel prior to implementation.

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Returns for global market and factor indexes. As of 2/21/20.