Pratik Bhanuse
Quant Analyst
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US High-Quality Strategy: A Standout Q3
The BCA Score L/S pure factor was marginally up on the month, returning 0.80%. More positively, the factor spectrum was led by Technical (6.1%) and Quality (2.5%). The USHQ portfolio marginally underperformed its benchmark in September. Specifically, the SPY benchmark returned 3.3% and the USHQ portfolio returned 3.1%. Positively, the USHQ portfolio showed strong outperformance through Q3, posting a return of 8.4% vs. the SPY at 3.9% The USHQ portfolio is still well positioned to recapture alpha over its benchmark through the remainder of 2024.
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US High-Quality Strategy: USHQ Powers Through August Sell-Off Scare
Technicals and Safety lead the way in August. USHQ outperformed its benchmark, despite early month market sell-off.
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US Equities: What To Select For The President Elect
Favor Health Care and Utilities for defensive positioning amid economic slowdown and volatility as the presidential election approaches. A Republican Sweep favors Real Estate and Materials, while the second most likely outcome, Democrat gridlock, favors Health Care, and Information Technology.
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US High-Quality Strategy: Size Outperforms, While Safety And Technicals Were Lackluster
Size outperforms, however Safety and Technicals sour. From a sector perspective, Consumer Discretionary and Financials showed a positive move, while IT and Communication Services were the worst performing.
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Macro Score Update: Global Equity Score Turns Bearish
Global Equity Score turns bearish, while Global Bond Score remains neutral. Sector Model upgrades Health Care and downgrades Technology and Consumer Discretionary.
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Macro Score Update: Global Equity Score Turns Neutral
Global Equity Score drops to neutral. Sector model upgrades Tech and Real Estate, while downgrading Industrials and Base Materials.
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GAA Quant Model Updates
At the asset class level, the GAA Quant model is overweight equities, underweight bonds, and neutral cash.
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Macro Score Update: Sector Model Upgrades Industrials And Consumer Discretionary To Overweight
Global Equity Score remains bullish. Major upgrades were made to Industrials, Consumer Discretionary, and Communication Services in the Sector Model. The Style Indicator continues to favor Large-Cap Value.
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GAA Quant Model Updates
At the asset class level, the GAA Quant model is overweight equities, underweight bonds, and neutral cash.
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Macro Score Update: Model Favors Large Cap Value And Upgrades Financials To Neutral
The Sector model continues to favor Energy and IT but upgraded Financials and Materials at the expense of Health Care and Consumer Discretionary. The Style indicator remains inclined towards Value-Large cap.