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>>>Style rotation reached pre-crisis levels

16 February 2017

Style rotation reached pre-crisis levels

Interesting statistic on factor investing produced by the research department when looking at factor/sector rotation.

The sector rotation has pushed up valuation of value against low volatility stocks.


In the graph above we look at the z-score of relative 1Y values of value stocks divided by low volatility. In December, we notice peak levels of 3 standard deviations from its mean. An occurrence, that shouldn’t happen more than 0.15% of the time in a normal distribution.

Does this mean we could see low-vol investing return into favour? These levels were last seen in 2000 and 2007, 6 months before the crises.