Green Book September 2016
How Will It All End?
Last month we described ourselves as “long on equities, but light on conviction,” and that description still applies.
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Featured Articles
MTI Enters September At 3 1/2-Year High
The Momentum/Breadth/Divergence category remains the key driver behind the MTI’s resurgence; that category’s latest net reading of +1028 is the most bullish since May 2010.
Rotation Away From Low Vol?
An encouraging break from a 15-month leadership pattern: Low Vol stocks have rolled over since mid-July, while the High Beta cohort has finally eclipsed its late-April highs.
Rate Hike In Limbo—Positive For Risk Assets
Whether rates hike in September or December, we know the Fed will be very supportive of the market and the biggest beneficiaries will likely be EM and higher-yielding assets.
Same Ponds, Different Fish?
The impact of atypically-high current valuations has become a challenge for style-box investing. High quality, mature dividend payers have habitually resided in the Value and Blend boxes, but investors have bid up those valuations as they look for alternatives to low bond yields.
EM Leadership: Just The Beginning?
Our EM Allocation Model triggered a BUY at the end of August after 5 1/2-years in bear mode. This upgrade is consistent with a cyclical leadership run of one to four years relative to Developed Markets.
Puzzling Trend Of Earnings Release Price Impact
The ER price impact has shifted higher post 2008-2009 financial crisis, and the movement has been more pronounced in the Small Cap universe. A look at analyst coverage and accuracy of estimates.
Housing Theme Framed Among Top GS Scores
Attractive-rated groups include Building Products, Homebuilding, and Household Durables—these three groups possess similar industry drivers and thus exhibit highly-correlated stock returns.
Table of Contents
Stock Market
- How Will It All End?
- Rotation Away From Low Vol?
- In The Volatility “Sweet Spot”
- Sizing Up Small Caps
- A Semi-Annual Checkup!
- What Are The Transports Telling Us?
- EM Leadership: Just The Beginning?
- EM: The Case For Waiting...
- Puzzling Trend Of Earnings Release Price Impact
Of Special Interest
Macro Monitor
- Rate Hike In Limbo—Positive For Risk Assets
- 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
- 100% Short Portfolio: AdvantHedge
Major Trend
Estimating the Downside
At Random
MTI Enters September At 3 1/2-Year High
The Momentum/Breadth/Divergence category remains the key driver behind the MTI’s resurgence; that category’s latest net reading of +1028 is the most bullish since May 2010.
Rotation Away From Low Vol?
An encouraging break from a 15-month leadership pattern: Low Vol stocks have rolled over since mid-July, while the High Beta cohort has finally eclipsed its late-April highs.
Rate Hike In Limbo—Positive For Risk Assets
Whether rates hike in September or December, we know the Fed will be very supportive of the market and the biggest beneficiaries will likely be EM and higher-yielding assets.
Same Ponds, Different Fish?
The impact of atypically-high current valuations has become a challenge for style-box investing. High quality, mature dividend payers have habitually resided in the Value and Blend boxes, but investors have bid up those valuations as they look for alternatives to low bond yields.
EM Leadership: Just The Beginning?
Our EM Allocation Model triggered a BUY at the end of August after 5 1/2-years in bear mode. This upgrade is consistent with a cyclical leadership run of one to four years relative to Developed Markets.
Puzzling Trend Of Earnings Release Price Impact
The ER price impact has shifted higher post 2008-2009 financial crisis, and the movement has been more pronounced in the Small Cap universe. A look at analyst coverage and accuracy of estimates.
Housing Theme Framed Among Top GS Scores
Attractive-rated groups include Building Products, Homebuilding, and Household Durables—these three groups possess similar industry drivers and thus exhibit highly-correlated stock returns.
Stock Market
- How Will It All End?
- Rotation Away From Low Vol?
- In The Volatility “Sweet Spot”
- Sizing Up Small Caps
- A Semi-Annual Checkup!
- What Are The Transports Telling Us?
- EM Leadership: Just The Beginning?
- EM: The Case For Waiting...
- Puzzling Trend Of Earnings Release Price Impact
Of Special Interest
Macro Monitor
- Rate Hike In Limbo—Positive For Risk Assets
- 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
- 100% Short Portfolio: AdvantHedge