Good week goes flat as CGG and Fugro continue to fall
Our short-term quant strategy on European equities got off to a good start in its second week before this was curtailed at the end of it. This week, the strategy was up by more than 5 percent before losing most of this momentum again within the last two trading sessions. The strategy is up 0.3 percent this week having been driven by strong gains in Banco Espirito Santo but offset by continuing declines in CGG and Fugro.
This week's changes are shown in the table below. Software AG is still in the portfolio and has still the largest divergence from its mean oscillation.
-- Edited by Kevin McIndoe