Green Book December 2018
Bull Pause, Or Bear Paws?
The bears gorged themselves in the two weeks leading up to Thanksgiving and the S&P 500 closed at a correction low the day afterward. Christmas arrived immediately thereafter, with a six-day gain of 6%. But that was followed by a two-day collapse on December 4th and 6th that undercut the post-Thanksgiving low on an intraday basis.
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Featured Articles
It’s Not A Pause… It’s “Paws”
A bear market will almost always prove to be the catalyst of one or more shifts in long-term market leadership.
It’s About Money, Not Profits
The consensus focus all year has been on the boom in U.S. corporate profits.
Earnings Releases Cause Surge In Price Volatility
Three years ago, we did a series of studies looking at price reactions to corporate earnings releases (ER) and we found that, since 2007, price movement has become more dramatic on ER days.
Deep-Six The “Threes-Fives”
We’ve sometimes called the yield curve our “favorite economist,” so we were amused when some enthusiastic data miner in the Treasury market tried to slip us a cheap imitation in late November.
Styles And Factors DeFANGed
Social media, mobile computing, and digital life-in-the-cloud were the dominant storylines for U.S. stocks over the last five years—reaching the apex of popularity following the early-2016 market low.
Risk Aversion Index: New “Lower Risk” Signal
Despite the recent signal whipsaws, we have been cautious toward all risky assets and we continue to recommend defense amid higher volatility across all asset classes.
Restaurants Group Dishes Up Defense
The Restaurants industry is another Consumer Discretionary group ranking Attractive via our GS Scores; we purchased it in the Select Industries (SI) portfolio in November. This group has exhibited defensive qualities of late.
What’s In Momentum Now?
Along with market volatility, the composition of Momentum has changed, becoming more defensive and less exposed to cyclicals and commodities.
Table of Contents
Stock Market
- Bull Pause, Or Bear Paws?
- Stock Market Observations
- It’s Not A Pause… It’s “Paws”
- It’s About Money, Not Profits
- Economic Stocking Stuffers
- VLT = Very Lousy Timing?
- Low Vol For All Seasons?
- The Downside Leaders Look Familiar
- Deep-Six The “Threes-Fives”
- They Can’t Tax What’s Not Earned
- Earnings Releases Cause Surge In Price Volatility
- Time To Hide In Quality?
Of Special Interest
Macro Monitor
- The Fed Should Pause And It Will
- Bond Yield Proxy—A Tool For Equity Investors
- Risk Aversion Index: New “Lower Risk” Signal
- US Bonds
Equity Strategies
Quant
Market Internals
Portfolios
Major Trend
Estimating the Downside
At Random
It’s Not A Pause… It’s “Paws”
A bear market will almost always prove to be the catalyst of one or more shifts in long-term market leadership.
It’s About Money, Not Profits
The consensus focus all year has been on the boom in U.S. corporate profits.
Earnings Releases Cause Surge In Price Volatility
Three years ago, we did a series of studies looking at price reactions to corporate earnings releases (ER) and we found that, since 2007, price movement has become more dramatic on ER days.
Deep-Six The “Threes-Fives”
We’ve sometimes called the yield curve our “favorite economist,” so we were amused when some enthusiastic data miner in the Treasury market tried to slip us a cheap imitation in late November.
Styles And Factors DeFANGed
Social media, mobile computing, and digital life-in-the-cloud were the dominant storylines for U.S. stocks over the last five years—reaching the apex of popularity following the early-2016 market low.
Risk Aversion Index: New “Lower Risk” Signal
Despite the recent signal whipsaws, we have been cautious toward all risky assets and we continue to recommend defense amid higher volatility across all asset classes.
Restaurants Group Dishes Up Defense
The Restaurants industry is another Consumer Discretionary group ranking Attractive via our GS Scores; we purchased it in the Select Industries (SI) portfolio in November. This group has exhibited defensive qualities of late.
What’s In Momentum Now?
Along with market volatility, the composition of Momentum has changed, becoming more defensive and less exposed to cyclicals and commodities.
Stock Market
- Bull Pause, Or Bear Paws?
- Stock Market Observations
- It’s Not A Pause… It’s “Paws”
- It’s About Money, Not Profits
- Economic Stocking Stuffers
- VLT = Very Lousy Timing?
- Low Vol For All Seasons?
- The Downside Leaders Look Familiar
- Deep-Six The “Threes-Fives”
- They Can’t Tax What’s Not Earned
- Earnings Releases Cause Surge In Price Volatility
- Time To Hide In Quality?
Of Special Interest
Macro Monitor
- The Fed Should Pause And It Will
- Bond Yield Proxy—A Tool For Equity Investors
- Risk Aversion Index: New “Lower Risk” Signal
- US Bonds