As 2017 comes near to a close, and the stock market by many accounts outperformed analyst projections, a Bank of America Merrill Lynch report on factors notes an interesting change that occurred relative to factors it watches. With 2018 forecast to be another reasonably strong year for US stocks, factor performance is a moving target and is likely to play into market gyrations? [klarman] Factor performance: Switch in value and momentum factors towards the end of the year Looking at the small capitalization universe of stocks, BAML’s Equity Quant Strategists Dan Suzuki and Jimmy Bonilla see a shift in factors….
Valuation-based Factor Stocks Get Smoked, But The Times They Are A-Changin: BAML
Mark Melin
Mark Melin is an alternative investment practitioner whose specialty is recognizing the impact of beta market environment on a technical trading strategy. A portfolio and industry consultant, wrote or edited three books including High Performance Managed Futures (Wiley 2010) and The Chicago Board of Trade’s Handbook of Futures and Options (McGraw-Hill 2008) and taught a course at Northwestern University's executive education program.