Taking our prior post, what’s working and what’s not, a bit farther below we examine style attributes for performance trends. By style attributes we mean what styles are attributing to or detracting from stock and portfolio performance. In other words, is growth working? or value, small cap, high beta … etc. etc. For a long time the performance bias has tended to be smaller cap in nature. However, as we seen in the table below, the one and three month small cap returns are the worst style attribute currently a stock or portfolio can have. This is a decisive shift versus the prior twelve plus months. Additionally noticeable has been the big drop off of late by high beta. As seen below, high beta was the best 12 month performing attribute a stock or portfolio could have, however more recent trends have penalized this attribute.
So what is the sweet spot for style attributes right now? As illustrated the recent trends favour large cap, low beta and value. So in a nutshell large, low beta, value stocks. There is clearly a rotation to de-risking of late after a big rally, thus it is not surprising to see these attributes take the baton and jump out to the front of the pack. If you are holding long exposure these days LLV (large, low beta and value) are the attributes being rewarded.
Performance attributes over the last 1, 3 and 6 months (including dividends)