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Green Book December 2015

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Featured Articles

Stock Market

Tracking The Stock Market Top

While the sequence of index peaks traced out YTD is not exactly a textbook one, the market’s internal diffusion is comparable to that seen at many major tops, including 2000 and 2007.

Stock Market

Stick With What’s Working (Until It’s Not)

The year has been especially tough on managers who might have shared our cyclical worries over the stock market, but who’ve elected to stay fully invested via seemingly lower risk value approaches.

Macro Monitor

Impact Of The First Hike - This Time Might Really Be Different

At this point, the worst outcome for the risk markets would be no hike in December.

Of Special Interest

Quantitative Factor Performance: What Is Working?

For the third consecutive year (thus far), quantitative factors worked best within the Materials sector. Energy also saw success as the decline in oil hurt the same stocks as in 2014. Factors were least effective in Health Care and Telecom.

Equity Strategies

Construction & Engineering: “Unloved” Opportunity?

After nearly six years, the Industrials sector has reclaimed a top three spot among the GS Score’s Broad Sector Composite rankings—six of the sector’s 18 groups rank Attractive and two are in High Neutral. Construction & Engineering, an Industrials sector group, offers diversity in several ways—from the nature of its underlying businesses, and through areas of strength supporting the GS Score factor categories.

Equity Strategies

Update On Electronic Payment Thematic Group

When we introduced this thematic equity group in September 2012, we projected that it was poised to deliver above average returns. These companies have enjoyed many advantages atypical of most other industries, and performance-wise, this group did not disappoint. A large subset of the theme, Data Processing & Outsourced Services, is rated Attractive by our GS Scores, and has been a portfolio holding for 50 months.

Market Internals

Earnings Momentum

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.

Market Internals

Growth vs Value vs Cyclicals

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.

Table of Contents

Stock Market

Of Special Interest

Macro Monitor

Equity Strategies

Market Internals

Portfolios

Major Trend

Estimating the Downside

At Random

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