Green Book October 2019
The Last “Spoos” To Drop?
For many months, we’ve argued that global stocks have been tracing out a major cyclical top. But the global stock market “tape” has narrowed so much that it’s really only the U.S. blue chips that are left to do the tracing. “Spoos” (S&P 500 index futures) might well be the last shoe to drop.
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Featured Articles
“Quant Quake” But No Market Quake
Value, High Beta, and Small Cap stocks all captured a few rays of sunlight for the first time in a long while. It’s too early to tell if last month’s leadership U-turns can be sustained, but major market trends are the most susceptible to reverse during cyclical bear markets.
More Trends We Don’t Find Friendly…
The yield curve’s ten-month moving average inverted in September, hence the yield curve inversion can no longer be dismissed as transitory; the Boom/Bust Indicator remains below its descending 10-month moving average, confirming economic weakness predicted by the yield curve; and, the “Present Situation” component of September’s Consumer Confidence survey slipped below its 10-month moving average for the third time in 2019.
Small Cap VLT BUY: Not Quite...
Small Caps came tantalizingly close to activating a major VLT BUY signal in September, with the Russell 2000 closing less than a half percent below the trigger level. A new bull signal from this indicator wouldn’t “fit” into our market and economic narrative, but we won’t sweep it under the rug if it occurs.
Cross-Asset Cross Currents—All About The Recession Call
September was an emotionally exhausting month for investors as reversals in major themes produced wide-ranging repercussions. Movements in various markets have been increasingly tied to bonds—the market that is most sensitive to recession outlook.
Industry Groups Topping The Charts In 2019
The groups we examine here are particularly interesting because they are a diversified mix across sectors with varying macro-factor relationships and risk profiles. They have scored well for a long period of time and have been long-term positions in our SI portfolio.
A Most Peculiar Day
Something remarkable occurred on September 9th. Momentum crashed and Value soared on that Monday, in what one analyst described as a five standard deviation event. Do we have a clear understanding of what really happened? This research project takes a multi-faceted look at what transpired during one unusual week in September.
Quality Stocks’ Stronghold
Despite higher volatility, market performance is still up in the high double-digits YTD. Interestingly, as our index of High Quality Stocks versus Low Quality Stocks shows, High Quality is prevailing in terms of relative performance.
Cash Flows Accelerate Out Of Stock Funds Into Bond And Money Market
Bond and money-market fund subsets are seeing strong net cash inflows year-to-date, having captured $581 billion thus far (versus $176 billion at this time last year).
Table of Contents
Stock Market
- Quality Stocks’ Stronghold
- The Last “Spoos” To Drop?
- “Quant Quake” But No Market Quake
- Where Would You Rather Be?
- Small Cap VLT BUY: Not Quite...
- Making Money In The Money-Losers
- The Trend Is Your “Fiend!”
- More Trends We Don’t Find Friendly…
- More Yield Curve Musings
- Last Bastion Breaking Down?
- Credit Cracking?
Of Special Interest
Macro Monitor
- Cross-Asset Cross Currents—All About The Recession Call
- Risk Aversion Index: Fell But Stayed On “Higher Risk” Signal
Equity Strategies
Market Internals
Portfolios
Major Trend
Fund Flow Trends
Estimating the Downside
At Random
“Quant Quake” But No Market Quake
Value, High Beta, and Small Cap stocks all captured a few rays of sunlight for the first time in a long while. It’s too early to tell if last month’s leadership U-turns can be sustained, but major market trends are the most susceptible to reverse during cyclical bear markets.
More Trends We Don’t Find Friendly…
The yield curve’s ten-month moving average inverted in September, hence the yield curve inversion can no longer be dismissed as transitory; the Boom/Bust Indicator remains below its descending 10-month moving average, confirming economic weakness predicted by the yield curve; and, the “Present Situation” component of September’s Consumer Confidence survey slipped below its 10-month moving average for the third time in 2019.
Small Cap VLT BUY: Not Quite...
Small Caps came tantalizingly close to activating a major VLT BUY signal in September, with the Russell 2000 closing less than a half percent below the trigger level. A new bull signal from this indicator wouldn’t “fit” into our market and economic narrative, but we won’t sweep it under the rug if it occurs.
Cross-Asset Cross Currents—All About The Recession Call
September was an emotionally exhausting month for investors as reversals in major themes produced wide-ranging repercussions. Movements in various markets have been increasingly tied to bonds—the market that is most sensitive to recession outlook.
Industry Groups Topping The Charts In 2019
The groups we examine here are particularly interesting because they are a diversified mix across sectors with varying macro-factor relationships and risk profiles. They have scored well for a long period of time and have been long-term positions in our SI portfolio.
A Most Peculiar Day
Something remarkable occurred on September 9th. Momentum crashed and Value soared on that Monday, in what one analyst described as a five standard deviation event. Do we have a clear understanding of what really happened? This research project takes a multi-faceted look at what transpired during one unusual week in September.
Quality Stocks’ Stronghold
Despite higher volatility, market performance is still up in the high double-digits YTD. Interestingly, as our index of High Quality Stocks versus Low Quality Stocks shows, High Quality is prevailing in terms of relative performance.
Cash Flows Accelerate Out Of Stock Funds Into Bond And Money Market
Bond and money-market fund subsets are seeing strong net cash inflows year-to-date, having captured $581 billion thus far (versus $176 billion at this time last year).
Stock Market
- Quality Stocks’ Stronghold
- The Last “Spoos” To Drop?
- “Quant Quake” But No Market Quake
- Where Would You Rather Be?
- Small Cap VLT BUY: Not Quite...
- Making Money In The Money-Losers
- The Trend Is Your “Fiend!”
- More Trends We Don’t Find Friendly…
- More Yield Curve Musings
- Last Bastion Breaking Down?
- Credit Cracking?
Of Special Interest
Macro Monitor
- Cross-Asset Cross Currents—All About The Recession Call
- Risk Aversion Index: Fell But Stayed On “Higher Risk” Signal