- 31 DecVector 2019 Annual Review
- 17 DecFama/French going through its second biggest drawdown since 1963
- 15 NovThe Alpha Lifecycle
- 16 OctVector 2019 Q3 Review
- 10 SepA new prospectus
- 14 AugMarket Review: July
- 10 JulVector 2019 Semi-annual Review
- 14 JunAre factor premia disappearing?
- 21 MayHow persistent is regional outperformance?
- 12 AprMarket recovery: sense or sentiment?
- 12 MarMarkets solidify recovery
- 12 FebStock Markets Rebound
- 31 DecVector 2018 Annual Review
- 14 Dec2019 (outrageous) predictions!
- 20 AugTemperatures and stock markets heat up
- 18 JulVector 2018 Semi-annual Review
- 14 JunDo exporters suffer during trade wars?
- 15 MayStrong earnings put markets on the road to recovery
- 17 AprQ1 Overview
- 13 MarStock Markets: Episode VI: The return of volatility
- 02 MarVector wins Morningstar Germany and Belgium Awards!
- 22 FebVector Flexible wins De Tijd/L'Echo Awards for the third year in a row!
- 16 FebNavigator wins Morningstar France Award!
Vector 2019 Semi-annual Review
10 Jul 2019
After a wave of optimism had flushed the markets during the first quarter, sentiment got more mixed in the second quarter. In general markets were helped by a dovish tilt from central bankers around the globe as, despite facing macro-economic backdrop, investors believe that monetary stimulus can keep the economic expansion going.
In Euro-terms the MSCI All Countries NR Index ended the first half of the year 16.7% higher. Yet, there were some distinct regional differences. While US equities (+18.9%) continued to perform well, the speed of their increasing dominance over European companies (+16.2%) has somewhat diminished. Emerging markets (+11.0%) clearly bore the brunt of the blow in the US-China trade conflict. After a very good 2017, developing Asia has continued to underperform the developed world like they did during the lion’s share of the decade. The worst region to be invested in this year however was Japan (+8.2%), where monetary stimulus is all but exhausted and companies generally missed their earnings per share estimates.
Within investment styles the divide was equally spectacular with growth (+20.5%) outperforming value (+12.8%) by 7.7%. Misery loves company and this year value found a friend in low volatility stocks (+14.5%). The excellent performance these companies boasted during the month of May could not save them from underperforming the broad market. Momentum stocks (+19.7%) on the other hand continued to soar in 2019. Over the past decade momentum has been one of the most profitable strategies to invest in, returning a spectacular 16.2% per annum and leaving the other factor families far behind.
Vector Navigator recorded a return of 13.8% so far. Vector Flexible only gained 4.3%, as a significant part of the market risk was hedged. While 2019 started off strong most of our quant factors suffered significantly from mid-February till the end of April. The model has known a rebound in May, but there is still some alpha to be generated before we exceed the benchmark index’s performance this year.
Thierry, Werner & Nils