Editor's Note: This is a brief excerpt and chart from today's Early Look written by Hedgeye CEO Keith McCullough. You should subscribe. We're pretty sure you'll thank us later.
...When money managers are forced to chase performance, stocks (and their style factors) accumulate a lot of consensus beta risk. Bearish market beta then starts to eat that alpha, alive.
If you look at the US Equity Style Factors that did the worst last week, they continue to look a lot like what we’ve been trying to keep you away from for the last 3 months:
- High Beta Stocks were down another -3.0% week-over-week (-15.5% in the last 3 months)
- Small Cap Stocks were down another -2.9% week-over-week (-13.9% in the last 3 months)
*Mean performance of the Top Quartile of SP500 performance vs. Bottom Quartile for the given style factor