If someone had asked me to name the driving factors influencing US stock market performance return over the past year, I might have guessed the cut in the tax rate, but I would then be at loss to further explain what has been moving stocks.

Lucky for me, 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:

At the top of the list are momentum-type factors and then volatilty. Who’d thunk it?

But what does that really mean?

The top-performing factor – by a rather large margin – was “3M Target Price Change %”. Bloomberg defines this as “Percent Change in the Best Target Price over past 3 months. When an analyst jumps out ahead of the pack and cranks his/her target, this puts that stock to the top of the list for this factor. This means that mindlessly following analyst 3-month target price changes was the smartest strategy over the past year from this list.

Really? That’s kind of mind-boggling. It implies analysts are actually adding value with their calls. When did that last happen? I am an old-school institutional trader who likes to rib my analyst pals of a famous line often recited on trading desks – “research analysts: in a bull market – who needs them? In a bear market – who can afford them?”

Well, the laugh is on me. Chasing these analysts’ boldest calls is a top-performing strategy.

And the next top-performing factor, “PORT US MOMENTUM”, is another one of those it-can’t-be-that-simple strategies. Bloomberg defines this little gem as the “arithmetic average of weekly return for trailing 52 weeks lagged by two weeks. So basically, you buy what’s been going up for the past year while shorting what’s been declining.