Green Book June 2021
What Should Quants Count?
On May 25th, Fed Chair Jerome Powell promised to pull back emergency support “very gradually over time and with great transparency.” “Very gradually?” No one doubts that. But “with great transparency?” Not a chance...
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Featured Articles
Financials Sector Ranks #1 In GS Scores
Impressive strength across the factor spectrum implies that the recent pop in the long-time beaten-down Financials sector should have more room to run. We highlight five attractively-rated Financials groups for investment ideas beyond the popular big-bank-concentrated Financial sector ETFs.
We’re The Government And We’re Here To Help
Our trusted civil servants must have found a list of our old Economic/Interest Rates/Inflation components and began to “discontinue” those once invaluable to us and other Fed watchers. It’s a hindrance, but we still have the one that is most correlated to stock prices and it’s free: The ever-expanding balance sheet.
A Small-Cap Theory Of Relativity?
Small Cap median valuations are among the highest in our 40-year database, but they are bottom quintile versus the nose-bleed level of the median Large Cap. If this Small Cap leadership cycle only matches the shortest one on record, it will last another three years. Based on the valuation gap, that guess seems conservative.
Val-Mo (Finally) Explodes Higher
After years of underperformance, investors who pay attention to both Momentum and Value are finally being rewarded. The turnaround has been substantial, but the relative valuation of expensive Momentum vs. cheap Momentum stocks is still extremely elevated by historical standards.
Research Preview: Is “Manager Skill” Cyclical?
The active-passive performance derby is cyclical, determined not by the ebb and flow of portfolio managers’ brilliance but, rather, by market conditions and the slippage that arises from imperfectly comparing funds and benchmarks.
After The SPAC: De-SPAC Performance
The ultimate measure of a SPAC sponsor’s success is stock performance post merger: De-SPAC results. We analyze historical returns of De-SPACs that had initial market caps greater than $200 million.
Housing: Saner Than You Think
On a technical basis, Homebuilding stocks have only just emerged from their decade-long post-bubble bust. With P/B 24% below the mid-2005 peak and 15% below the “overvalued” threshold, they look reasonably priced in a world that’s almost entirely devoid of value.
Do You Know Your Stocks’ Duration?
Most people agree that growth stocks have longer duration than value, but few bother to back this up with numbers. Our implied equity-duration study says the conventional wisdom is right: Growth stocks do have longer duration. But... the devil is in the details.
Table of Contents
Stock Market
- After The SPAC: De-SPAC Performance
- What Should Quants Count?
- Time To Start Thinking About “Thinking About…”
- We’re The Government And We’re Here To Help
- Inflation: Nothing To Fear But The “Lack Of Fear”
- The Earnings Recession Is History
- Housing: Saner Than You Think
- Ulterior Fed Motives?
- A Small-Cap Theory Of Relativity?
- The Global EPS Rebound
Of Special Interest
Macro Monitor
Equity Strategies
Quant
Market Internals
Portfolios
Major Trend
Estimating the Downside
At Random
Financials Sector Ranks #1 In GS Scores
Impressive strength across the factor spectrum implies that the recent pop in the long-time beaten-down Financials sector should have more room to run. We highlight five attractively-rated Financials groups for investment ideas beyond the popular big-bank-concentrated Financial sector ETFs.
We’re The Government And We’re Here To Help
Our trusted civil servants must have found a list of our old Economic/Interest Rates/Inflation components and began to “discontinue” those once invaluable to us and other Fed watchers. It’s a hindrance, but we still have the one that is most correlated to stock prices and it’s free: The ever-expanding balance sheet.
A Small-Cap Theory Of Relativity?
Small Cap median valuations are among the highest in our 40-year database, but they are bottom quintile versus the nose-bleed level of the median Large Cap. If this Small Cap leadership cycle only matches the shortest one on record, it will last another three years. Based on the valuation gap, that guess seems conservative.
Val-Mo (Finally) Explodes Higher
After years of underperformance, investors who pay attention to both Momentum and Value are finally being rewarded. The turnaround has been substantial, but the relative valuation of expensive Momentum vs. cheap Momentum stocks is still extremely elevated by historical standards.
Research Preview: Is “Manager Skill” Cyclical?
The active-passive performance derby is cyclical, determined not by the ebb and flow of portfolio managers’ brilliance but, rather, by market conditions and the slippage that arises from imperfectly comparing funds and benchmarks.
After The SPAC: De-SPAC Performance
The ultimate measure of a SPAC sponsor’s success is stock performance post merger: De-SPAC results. We analyze historical returns of De-SPACs that had initial market caps greater than $200 million.
Housing: Saner Than You Think
On a technical basis, Homebuilding stocks have only just emerged from their decade-long post-bubble bust. With P/B 24% below the mid-2005 peak and 15% below the “overvalued” threshold, they look reasonably priced in a world that’s almost entirely devoid of value.
Do You Know Your Stocks’ Duration?
Most people agree that growth stocks have longer duration than value, but few bother to back this up with numbers. Our implied equity-duration study says the conventional wisdom is right: Growth stocks do have longer duration. But... the devil is in the details.
Stock Market
- After The SPAC: De-SPAC Performance
- What Should Quants Count?
- Time To Start Thinking About “Thinking About…”
- We’re The Government And We’re Here To Help
- Inflation: Nothing To Fear But The “Lack Of Fear”
- The Earnings Recession Is History
- Housing: Saner Than You Think
- Ulterior Fed Motives?
- A Small-Cap Theory Of Relativity?
- The Global EPS Rebound