Green Book May 2018
The Market Told You So
Earnings and the economy are booming, yet many investors are mystified that the stock market has failed to respond. Wait a minute, but it did.
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Featured Articles
The Market Told You So
First quarter profits have been terrific, and this quarter’s will be too. Enjoy them, but remember that the market “paid” you for them many months ago. Don’t submit another invoice…
The “Correction” Clock Is Ticking
2018’s S&P 500 setback qualifies as an “intermediate” correction. Historically, the duration of intermediate corrections is brief, and recovery time to move back above prior highs has also been brief. This year’s retracement route is already among the most meandering of all recovery paths since 1950.
The Yin And Yang Of Utilities
Are Utilities defensives, or are they interest rate plays, or both? We believe the driving influence fluctuates based on market conditions, specifically fear, and the desire for protection in down markets.
Rates & Credit At A Major Crossroads—A Few Things To Watch
April saw a valiant attempt by the U.S. 10-year yield to crack the upper band of the multi-decade downtrend channel (around 3.0%-3.05%).
EM Country Rotation Based On A Stock Factor Model
Back testing shows stock-level factor alpha can be captured at the country level. With the rapid growth of single-country ETFs, this may prove an efficient, practical alternative to individual stock selection.
Has The Makeup Of Momentum Changed?
The makeup of Momentum has stayed surprisingly steady through the volatility in 2018, with Info Tech and Health Care maintaining overexposure. Energy is sneaking in, though, and could be poised to take a much larger share.
Table of Contents
Stock Market
- The Market Told You So
- The “Correction” Clock Is Ticking
- Cashing In On The LEI?
- A “Busted” Bond BUY Signal
- Earnings Soar While Liquidity Circles The Drain
- The Gap Is Back!
- A New Hurdle For An Old Bull?
- Staples Still Stomped Upon
- Cycle Collision?
- EM Country Rotation Based On A Stock Factor Model
Of Special Interest
Macro Monitor
- Rates & Credit At A Major Crossroads—A Few Things To Watch
- Risk Aversion Index: Stayed On “Higher Risk” Signal
- US Bonds
Equity Strategies
- Health Care Facilities Purchased In Select Industries
- Highlighted Attractive Groups
- Consumer Discretionary Holds At #1
Quant
Market Internals
Portfolios
Major Trend
Estimating the Downside
At Random
The Market Told You So
First quarter profits have been terrific, and this quarter’s will be too. Enjoy them, but remember that the market “paid” you for them many months ago. Don’t submit another invoice…
The “Correction” Clock Is Ticking
2018’s S&P 500 setback qualifies as an “intermediate” correction. Historically, the duration of intermediate corrections is brief, and recovery time to move back above prior highs has also been brief. This year’s retracement route is already among the most meandering of all recovery paths since 1950.
The Yin And Yang Of Utilities
Are Utilities defensives, or are they interest rate plays, or both? We believe the driving influence fluctuates based on market conditions, specifically fear, and the desire for protection in down markets.
Rates & Credit At A Major Crossroads—A Few Things To Watch
April saw a valiant attempt by the U.S. 10-year yield to crack the upper band of the multi-decade downtrend channel (around 3.0%-3.05%).
EM Country Rotation Based On A Stock Factor Model
Back testing shows stock-level factor alpha can be captured at the country level. With the rapid growth of single-country ETFs, this may prove an efficient, practical alternative to individual stock selection.
Has The Makeup Of Momentum Changed?
The makeup of Momentum has stayed surprisingly steady through the volatility in 2018, with Info Tech and Health Care maintaining overexposure. Energy is sneaking in, though, and could be poised to take a much larger share.
Stock Market
- The Market Told You So
- The “Correction” Clock Is Ticking
- Cashing In On The LEI?
- A “Busted” Bond BUY Signal
- Earnings Soar While Liquidity Circles The Drain
- The Gap Is Back!
- A New Hurdle For An Old Bull?
- Staples Still Stomped Upon
- Cycle Collision?
- EM Country Rotation Based On A Stock Factor Model
Of Special Interest
Macro Monitor
- Rates & Credit At A Major Crossroads—A Few Things To Watch
- Risk Aversion Index: Stayed On “Higher Risk” Signal
- US Bonds
Equity Strategies
- Health Care Facilities Purchased In Select Industries
- Highlighted Attractive Groups
- Consumer Discretionary Holds At #1