FYI: If someone had asked the author to name the driving factors influencing US stock market performance return over the past year, he might have guessed the cut in the tax rate, but he would then be at loss to further explain what has been moving stocks.
Lucky for the author, Bloomberg has this great function that allows us to examine how various portfolio factors have performed over different time frames. It works by taking the stock market universe, then ranking the companies by the requested factor (whether it be P/E, cash flow, etc…) into five quintiles. Using the average return of the top quintile during the requested period, minus the average return of the bottom quintile, gives a great sense of the sensitivity of that factor in individual stock market performance.
Let’s have a look at the best and worst factors during the last year:
Regards,
Ted
https://www.themacrotourist.com/posts/2018/10/16/factors/
