Green Book October 2016
Only The Shadow Knows
Our models detect a few clouds, but not enough to cast a shadow.
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Featured Articles
MTI Stable At Bullish Levels Throughout September
Overall, this work supports a constructive intermediate-term stance toward stocks; our tactical portfolios are positioned with equity exposure of 63%—a posture we consider aggressive given the relative maturity of both the economic expansion and the cyclical bull market.
The Fog Of Uncertainty
Investing is, by its very nature, a forward-looking endeavor. The returns that are earned and the risks that are incurred by investments made today will only be determined tomorrow.
Low Quality Stocks Dominate
Investors brushed off a global economic slowdown and drove up the value of risky assets. Current low-quality leadership has been in place for eight months thus far.
Markets & Election—All Risk And No Reward
The upcoming election is likely to have wide-ranging impacts on both monetary and fiscal policies and we expect election risk to overshadow the Fed policy risk for the time being.
Foreign Equities: Cure For Altitude Sickness?
When we complain about the stock market’s inflated valuation levels, we’re unintentionally giving short shrift to the 50% of the global-market capitalization that resides outside the U.S. We’d be hard-pressed to describe the valuation of Developed foreign markets as any higher than neutral.
Guidance & Price Movement On Earnings-Release Day
We study the effect of company guidance on ER-day price volatility. Do companies issuing more frequent and detailed guidance help to prevent big surprises on ER day?
Do Health Care Stocks & Elections Mix?
A look at Health Care groups’ historical performance both pre-election and post-election; we identify past trends of leaders and laggards in each period.
Fund Inflows Subdued In 2016
Bond mutual funds, bond ETFs, and domestic-focused equity ETFs are the only categories registering material positive cash flows YTD.
Table of Contents
Stock Market
- Only The Shadow Knows
- Charts: Beware Of Myopia
- Beta Rotation Underway
- Is The Crack In Utilities A Broader Market Warning?
- Financials: All’s Well If You Don’t Look Far
- Foreign Equities: Cure For Altitude Sickness?
- How To Beat The S&P 500 With The S&P 500
- Tech: Prices (And P/E Ratios) Breaking Out
- The Fog Of Uncertainty
- A Stock/Bond Relationship Revisited
- Low Quality Stocks Dominate
- Guidance & Price Movement On Earnings-Release Day
Of Special Interest
Macro Monitor
- Markets & Election—All Risk And No Reward
- Risk Aversion Index: Stayed On “Lower Risk” Signal
- US Bonds
Equity Strategies
Quant
Market Internals
Portfolios
- Core & Global Asset Allocation Portfolios
- Domestic & Global Long-Only Portfolios
- AdvantHedge… 100% Short Domestic Portfolio
Major Trend
Fund Flow Trends
Estimating the Downside
At Random
MTI Stable At Bullish Levels Throughout September
Overall, this work supports a constructive intermediate-term stance toward stocks; our tactical portfolios are positioned with equity exposure of 63%—a posture we consider aggressive given the relative maturity of both the economic expansion and the cyclical bull market.
The Fog Of Uncertainty
Investing is, by its very nature, a forward-looking endeavor. The returns that are earned and the risks that are incurred by investments made today will only be determined tomorrow.
Low Quality Stocks Dominate
Investors brushed off a global economic slowdown and drove up the value of risky assets. Current low-quality leadership has been in place for eight months thus far.
Markets & Election—All Risk And No Reward
The upcoming election is likely to have wide-ranging impacts on both monetary and fiscal policies and we expect election risk to overshadow the Fed policy risk for the time being.
Foreign Equities: Cure For Altitude Sickness?
When we complain about the stock market’s inflated valuation levels, we’re unintentionally giving short shrift to the 50% of the global-market capitalization that resides outside the U.S. We’d be hard-pressed to describe the valuation of Developed foreign markets as any higher than neutral.
Guidance & Price Movement On Earnings-Release Day
We study the effect of company guidance on ER-day price volatility. Do companies issuing more frequent and detailed guidance help to prevent big surprises on ER day?
Do Health Care Stocks & Elections Mix?
A look at Health Care groups’ historical performance both pre-election and post-election; we identify past trends of leaders and laggards in each period.
Fund Inflows Subdued In 2016
Bond mutual funds, bond ETFs, and domestic-focused equity ETFs are the only categories registering material positive cash flows YTD.
Stock Market
- Only The Shadow Knows
- Charts: Beware Of Myopia
- Beta Rotation Underway
- Is The Crack In Utilities A Broader Market Warning?
- Financials: All’s Well If You Don’t Look Far
- Foreign Equities: Cure For Altitude Sickness?
- How To Beat The S&P 500 With The S&P 500
- Tech: Prices (And P/E Ratios) Breaking Out
- The Fog Of Uncertainty
- A Stock/Bond Relationship Revisited
- Low Quality Stocks Dominate
- Guidance & Price Movement On Earnings-Release Day
Of Special Interest
Macro Monitor
- Markets & Election—All Risk And No Reward
- Risk Aversion Index: Stayed On “Lower Risk” Signal
- US Bonds
Equity Strategies
Quant
Market Internals
Portfolios
- Core & Global Asset Allocation Portfolios
- Domestic & Global Long-Only Portfolios
- AdvantHedge… 100% Short Domestic Portfolio