VP Weekly Wrap - 21 August 2026

The VP Bank Quality Score - A Specialized Approach

Standard factor models don’t work well with financial institutions.

Banks are a spread businesses built on levered balance sheets, so assessing quality needs to account for capital adequacy, liability management, and tail-risk avoidance.

With that, we are pleased to present our new Bank Quality Score - a quality framework specialized for global banks.

We score Bank Quality across three pillars

• Balance-sheet management
• Consistency
• Margin of safety

Our backtest show across North America, EAFE, and EM markets that the lowest-quality banks:

• Structurally underperform
• Show higher downside volatility  

The framework outperforms during market crisis, when low-quality banks collapse. And it can underperform in the immediate aftermath of crisis, when market rallies can lead to a “dash-for-trash” frenzy.

Over the full cycle, however, high-quality banks tend to come out and compound steadily.

Find out how to use it Here.

Crowding Score: Popular Stocks Are Bad, Actually

"Nobody goes there anymore. It's too crowded."

Yogi Berra was probably talking about a restaurant when he said that, but he could have been describing many of the stocks in the S&P 500. The price goes up, the story gets better, and investors pile in on the comforting idea that a crowd is a hedge.

If only it was so simple.

With two decades of data, we tested what actually happens when real news hits a crowded stock. What we found was that popular stocks gained less on good news and lost more on bad news, than their less-loved peers.

In other words, crowded stocks capture less of the upside even when the news is good.

Popular stocks, it turns out, are inherently fragile.

Read more here.

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