Articles by Phil Segner, CFA Co-Portfolio Manager & Sr. Analyst

The final month of 2015 earnings reports registered an Up/Down Ratio of 1.07. Once again, we have to go back to the dark days of 2009 to find a lower “three-month” ratio.

After spending two months in discount territory, in March the Ratio of Ratios headed closer to its historical median premium of 4%.

The second month of Q4 2015 earnings reports registered an Up/Down Ratio of 1.12—up from the post- financial crisis low of 1.11 last quarter. With 51% of the observations in February, the “Up” count edged out the “Down,” but barely.

The Ratio of Ratios bounced off last month’s multi-year low (4% Small Cap discount) but still sits firmly below its Small Cap median, which is a premium of 4%.

Small Cap Growth stocks have gotten off to a rotten start in 2016—down almost 12%. On a relative basis, the segment has also been lagging Small Cap Value—underperforming by 9% since last July.

February turned out to be a month of trend reversals.

Median YOY revenue growth figures for Q4 look awfully similar to the past few quarters—many market cap segments and sectors barely cling to positive readings. Market action is starting to take some of the fluff out of the LTM Price to Sales ratio.

Small Cap underperformance in January helped push our Ratio of Ratios into discount territory for the first time since the end of 2008.

Despite Growth lagging severely in the two smaller market cap segments, Large Cap Growth, the darling of 2015, was the best performer in the brutal month of January.

Although the volatility measures couldn’t match last August, the S&P 500 still managed to reach a new contemporary low of 1812 on January 20th. Our Equal Weighted Average has had just one monthly win since its relative strength peak in March of 2015.

The third month of Q3 2015 earnings reports registered an Up/Down Ratio of 1.12. With only 52% of firms reporting higher earnings, the lack of earnings growth isn’t confined to just the Energy and Materials sectors.

Our Ratio of Ratios crashed through its historical median of 4% in December and barely clings to its premium. This ends a period of almost seven years above the median.

In each of our three market cap breakdowns, Growth prevailed over Value, but Large Cap Growth was the only segment with a positive return, at a strong +9%. Growth stocks have experienced impressive outperformance since the middle of 2014.

It’s a scary thought but what does 2015 have in common with the infamous years of 2001, 2008, and 2009? An earnings recession for the S&P 500 — and the 2015 vintage certainly has some unique traits.

Our Equal Weighted Average for the index continued its streak of underperformance—losing to the Cap Weighted measure in nine of the last 10 months of 2015. The largest 25 firms were certainly the bright spot for the year—up 7.5% on average.

The second month of Q3 2015 earnings reports registered an Up/Down Ratio of 1.11. On its own, the month of November was particularly weak with a stand-alone Up/Down Ratio of 0.97.

Our Ratio of Ratios Small Cap premium bounced off its historical median as Large Caps underperformed in November.

Despite Large Cap Growth lagging in November, it has been a much better year for Growth stocks. All three Value segments remain in negative territory YTD.

After three dramatic months, the S&P 500 held in a narrower range in November. Big Tech names like Microsoft (+3%), Google (+4%), and Amazon (+6%) outperformed once again and our Cap Weighted measurement continued to roll—it has beat the Equal Weighted Average in eight of the last nine months.

Up/Down Earnings: Worst Start In Six Years