Green Book May 2013
Major Trend Moves Us To A Neutral Stance
What To Sell, If Selling In May. Those inclined to sell in May should sell Small Caps. If you don’t have Small Caps, sell Cyclicals, at least for the next six months. A monetary indicator that still works. Disentangling industry and country effects in a global equity portfolio. Industry price trend persistence is more predominant globally than domestically. The disappearing “large” effect and emerging market performance. QE beneficiaries: highly levered firms outperform. Group models disagree on Consumer Staples but agree on Energy and Industrials. Q1 earnings reports tracking significantly below average. Does a weaker currency = higher net exports?
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Featured Articles
Ruminations On The Major Trend Index
There are many reasons to think the MTI’s cautionary message should be taken seriously.
What To Sell, If Selling In May
Those inclined to sell in May should sell Small Caps. If you don’t have Small Caps, sell Cyclicals, at least for the next six months.
A Monetary Indicator That Still Works
The Dow Jones Corporate Bond Index has worked in eight of the last nine decades. The credit information in corporate bond prices provides valuable input for investors.
Disentangling Industry & Country Effects In A Global Equity Portfolio
Each of these effects has diminished in importance over time, but it’s still worth taking a look. Momentum is best at capturing the Industry effect, while Valuation works best at the Country level.
The Downside Of A Domestic Focus
We weren’t prepared to find industry price trend persistence so much more predominant at the global level than it was domestically.
The Disappearing "Large" Effect And Emerging Market Performance
While U.S. stocks have surged this year, Emerging Markets have languished. What is going on in Emerging Markets to cause this unusual situation?
QE Beneficiaries: Highly Levered Firms Outperform
Firms with high debt to equity ratios have been outperforming both the market and firms that rarely utilize debt. When we control for both sector and market cap, the trend is still taking place.
Domestic and Global Group Models: Strong Differences On Consumer Staples
Consumer Staples are top-ranked in the domestic model but appear particularly Unattractive in the global model, which continues to be dominated by the Financials.
Up/Down Earnings: Q1 Reports Tracking Significantly Below Average
Q1 earnings reports look weak at a reading of 1.38, the lowest one-month reading since Q4 2009.
Weaker Currency = Higher Net Exports? It’s A Myth
In the medium term (1-2 years), weaker currency actually leads to lower net exports because export prices go up, instead of down, when currency depreciates.
Table of Contents
Stock Market
- Cashing In Some Chips
- Ruminations On The Major Trend Index
- Everyone's A Contrarian!
- What To Sell, If Selling In May
- Leadership: More Of The Same?
- A Monetary Indicator That Still Works
- The Downside Of A Domestic Focus
- The Disappearing "Large" Effect And Emerging Market Performance
- Gold, After The Deluge
Of Special Interest
Macro Monitor
Equity Strategies
Quant
Market Internals
Ruminations On The Major Trend Index
There are many reasons to think the MTI’s cautionary message should be taken seriously.
What To Sell, If Selling In May
Those inclined to sell in May should sell Small Caps. If you don’t have Small Caps, sell Cyclicals, at least for the next six months.
A Monetary Indicator That Still Works
The Dow Jones Corporate Bond Index has worked in eight of the last nine decades. The credit information in corporate bond prices provides valuable input for investors.
Disentangling Industry & Country Effects In A Global Equity Portfolio
Each of these effects has diminished in importance over time, but it’s still worth taking a look. Momentum is best at capturing the Industry effect, while Valuation works best at the Country level.
The Downside Of A Domestic Focus
We weren’t prepared to find industry price trend persistence so much more predominant at the global level than it was domestically.
The Disappearing "Large" Effect And Emerging Market Performance
While U.S. stocks have surged this year, Emerging Markets have languished. What is going on in Emerging Markets to cause this unusual situation?
QE Beneficiaries: Highly Levered Firms Outperform
Firms with high debt to equity ratios have been outperforming both the market and firms that rarely utilize debt. When we control for both sector and market cap, the trend is still taking place.
Domestic and Global Group Models: Strong Differences On Consumer Staples
Consumer Staples are top-ranked in the domestic model but appear particularly Unattractive in the global model, which continues to be dominated by the Financials.
Up/Down Earnings: Q1 Reports Tracking Significantly Below Average
Q1 earnings reports look weak at a reading of 1.38, the lowest one-month reading since Q4 2009.
Weaker Currency = Higher Net Exports? It’s A Myth
In the medium term (1-2 years), weaker currency actually leads to lower net exports because export prices go up, instead of down, when currency depreciates.
Stock Market
- Cashing In Some Chips
- Ruminations On The Major Trend Index
- Everyone's A Contrarian!
- What To Sell, If Selling In May
- Leadership: More Of The Same?
- A Monetary Indicator That Still Works
- The Downside Of A Domestic Focus
- The Disappearing "Large" Effect And Emerging Market Performance
- Gold, After The Deluge