Green Book November 2015
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Featured Articles
“Top In” Or “Topping Out?”
The stock market rally has carried far enough to flip some of our trend-following work bullish, lifting the Major Trend Index to a low-neutral reading. The improvement prompted an increase in asset allocation portfolios’ net equity exposure to 42% (up from 36% previously).
A December Hike Likely
Our interpretation of the current Fed stance is that it has shifted from “hike if the data and the market support” to “hike unless the data and the market perform poorly.”
MSCI To Include Foreign-Listed Chinese Stocks For First Time
MSCI will soon announce the results of its semi-annual index rebalance and, for the first time, overseas-listed Chinese companies will be included in the MSCI Emerging Market and China Country Indexes.
VLT Flashes A BUY On Oil
As expected, our VLT Momentum algorithm triggered a “low-risk” cyclical buy signal on crude oil in late October, only the 11th buy signal in the past 30 years. This algorithm was originally designed to identify low-risk entry points into the stock market, but we’ve found it useful with other assets as well.
Return Of The Tech? New Group Purchased
Over the past three months the Tech sector has strengthened in our work, as it’s risen back to the #3 position. In line with our disciplines, we increased the Select Industries Portfolio’s Tech exposure via the addition of a new, high-ranking group: Technology Distributors.
What’s Driving EM Currency Weakness?
A strong dollar and low commodity prices are major forces dragging down EM currencies across the board.
Surveying The Commodity Carnage
The wreckage is beginning to look interesting and—with our cautious stance on the stock market—it would be fun to be bullish about something. Both our GS Scores and intuition suggest it’s still too early.
Momentum Hit Extreme Rough Patch
Despite one of its worst five-day performance stretches in early October, the Momentum factor bounced back nicely and performed well the rest of the month.
Table of Contents
Stock Market
- “Top In” Or “Topping Out?”
- To Play The Rally, Or Not To Play?
- Stock Market Observations
- “Transported” To Safety?
- VLT Flashes A BUY On Oil
- Margins: Reversion Can Be Mean
- Market Sentiment Check
- MSCI To Include Foreign-Listed Chinese Stocks For First Time
- What’s Driving EM Currency Weakness?
Of Special Interest
Macro Monitor
- A December Hike Likely
- Party Like It's 1998? One Big Caveat
- Risk Aversion Index— A New “Lower Risk” Signal
- US Bonds
Equity Strategies
- Health Care Comes Down With A (Minor) Cold
- Return Of The Tech? New Group Purchased
- Highlighted Attractive Groups
Quant
Market Internals
Portfolios
- Core & Global Asset Allocation Portfolios
- Domestic & Global Long-Only Portfolios
- 100% Short Portfolio: AdvantHedge
Major Trend
Estimating the Downside
At Random
“Top In” Or “Topping Out?”
The stock market rally has carried far enough to flip some of our trend-following work bullish, lifting the Major Trend Index to a low-neutral reading. The improvement prompted an increase in asset allocation portfolios’ net equity exposure to 42% (up from 36% previously).
A December Hike Likely
Our interpretation of the current Fed stance is that it has shifted from “hike if the data and the market support” to “hike unless the data and the market perform poorly.”
MSCI To Include Foreign-Listed Chinese Stocks For First Time
MSCI will soon announce the results of its semi-annual index rebalance and, for the first time, overseas-listed Chinese companies will be included in the MSCI Emerging Market and China Country Indexes.
VLT Flashes A BUY On Oil
As expected, our VLT Momentum algorithm triggered a “low-risk” cyclical buy signal on crude oil in late October, only the 11th buy signal in the past 30 years. This algorithm was originally designed to identify low-risk entry points into the stock market, but we’ve found it useful with other assets as well.
Return Of The Tech? New Group Purchased
Over the past three months the Tech sector has strengthened in our work, as it’s risen back to the #3 position. In line with our disciplines, we increased the Select Industries Portfolio’s Tech exposure via the addition of a new, high-ranking group: Technology Distributors.
What’s Driving EM Currency Weakness?
A strong dollar and low commodity prices are major forces dragging down EM currencies across the board.
Surveying The Commodity Carnage
The wreckage is beginning to look interesting and—with our cautious stance on the stock market—it would be fun to be bullish about something. Both our GS Scores and intuition suggest it’s still too early.
Momentum Hit Extreme Rough Patch
Despite one of its worst five-day performance stretches in early October, the Momentum factor bounced back nicely and performed well the rest of the month.
Stock Market
- “Top In” Or “Topping Out?”
- To Play The Rally, Or Not To Play?
- Stock Market Observations
- “Transported” To Safety?
- VLT Flashes A BUY On Oil
- Margins: Reversion Can Be Mean
- Market Sentiment Check
- MSCI To Include Foreign-Listed Chinese Stocks For First Time
- What’s Driving EM Currency Weakness?
Of Special Interest
Macro Monitor
- A December Hike Likely
- Party Like It's 1998? One Big Caveat
- Risk Aversion Index— A New “Lower Risk” Signal
- US Bonds
Equity Strategies
- Health Care Comes Down With A (Minor) Cold
- Return Of The Tech? New Group Purchased
- Highlighted Attractive Groups
Quant
Market Internals
Portfolios
- Core & Global Asset Allocation Portfolios
- Domestic & Global Long-Only Portfolios
- 100% Short Portfolio: AdvantHedge