Green Book December 2017
Not A Tipping Point, But A “Toggle” Point?
Evidently, being a bull in a bull market is no longer good enough.
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Featured Articles
Stock Market Observations
Economic and momentum considerations have kept us mostly aboard this bull for much longer than our value-seeking inner selves would have otherwise allowed.
The Chart The Fed Forgot
The Fed has long claimed itself to be “data dependent” while providing less and less information on those data points it considers most relevant. We can’t know what’s on that list, but we certainly know what isn’t: the ISM Manufacturing Composite, which (prior to the current cycle) provided an excellent gauge of the Fed’s policy bias.
The Many Faces Of Mo
Momentum is one of the most widely accepted alpha-generating factors, used by quantitative and fundamental managers alike. Its biggest drawback, however, is high turnover. Herein we explore momentum from the perspective of sector weights.
Anatomy Of A Flattening Cycle—Flatter For Longer
The calm appearance of the 10-year yield masked a big curve-flattening move that has accelerated the last few months.
Playing The Bounce: Does The November List Bounce?
We reconstituted the November and October “Bounce” screens back to 1986 and compared their average performance versus the “non-bounce” companies. Compared with the October list, the November list shows a much weaker bounce effect.
Table of Contents
Stock Market
- Not A Tipping Point, But A “Toggle” Point?
- Stock Market Observations
- Value: Scarcer Than In 2000
- The “Gap” Is Gone. Now What?
- The ISM: Good News Is Still Good News
- The Chart The Fed Forgot
- Seasonality And Market Breadth
- Sector Rotation: Momentum Versus Valuation Factor
- Playing The Bounce: Does The November List Bounce?
Of Special Interest
Macro Monitor
Equity Strategies
Quant
Market Internals
Portfolios
Major Trend
Estimating the Downside
At Random
Stock Market Observations
Economic and momentum considerations have kept us mostly aboard this bull for much longer than our value-seeking inner selves would have otherwise allowed.
The Chart The Fed Forgot
The Fed has long claimed itself to be “data dependent” while providing less and less information on those data points it considers most relevant. We can’t know what’s on that list, but we certainly know what isn’t: the ISM Manufacturing Composite, which (prior to the current cycle) provided an excellent gauge of the Fed’s policy bias.
The Many Faces Of Mo
Momentum is one of the most widely accepted alpha-generating factors, used by quantitative and fundamental managers alike. Its biggest drawback, however, is high turnover. Herein we explore momentum from the perspective of sector weights.
Anatomy Of A Flattening Cycle—Flatter For Longer
The calm appearance of the 10-year yield masked a big curve-flattening move that has accelerated the last few months.
Playing The Bounce: Does The November List Bounce?
We reconstituted the November and October “Bounce” screens back to 1986 and compared their average performance versus the “non-bounce” companies. Compared with the October list, the November list shows a much weaker bounce effect.
Stock Market
- Not A Tipping Point, But A “Toggle” Point?
- Stock Market Observations
- Value: Scarcer Than In 2000
- The “Gap” Is Gone. Now What?
- The ISM: Good News Is Still Good News
- The Chart The Fed Forgot
- Seasonality And Market Breadth
- Sector Rotation: Momentum Versus Valuation Factor
- Playing The Bounce: Does The November List Bounce?