Latest Research

The best interpretation of the current cross-asset message is the scenario of goldilocks, and there are reasons to believe this is a possible scenario for the near term.

The global risk rally is broad-based enough to justify a favorable credit view and we still believe higher quality credit offers better reward/risk.

Higher quality Corporate bonds are big beneficiaries of the goldilocks environment.

Value can’t catch a break in 2017; every month has produced a negative performance spread. Price-to-Book has been the worst single Value factor this year, hurt by the heavy Energy and Financials weight in its cheap quintile.

The MTI remains safely in the positive zone.

Excluding money market, all equity and bond fund categories have captured cumulative net cash inflow that is more than five times the level seen at this time last year. ETF inflow this year has accounted for nearly 80% of all flows.

This multi-factor estimate of stock market risk is based on a regression to median stock market levels.

Traders like to say there’s nothing more bullish than a new price high, but not all new highs are created equal.

Read this week's Major Trend Index.

Hard-core statisticians might be disappointed to learn that the 140-ish inputs in our Major Trend Index (MTI)aren’t entirely “independent and uncorrelated.”

Read this week's Major Trend Index.

For years, the Cabot Market Letter has tracked a “Two-Second Indicator” that’s based on the number of NYSE New 52-Week Lows.

Read this week's Major Trend Index.

While it’s not currently the most inflated measure among our Intrinsic Value readings, the S&P 500 P/E on 5-Year Normalized EPS has nonetheless just moved into its tenth historical decile. The latest reading of 23.6x ranks in the 93rd percentile of all observations dating back to 1926.  

Read this week's Major Trend Index.

Read this week's Major Trend Index.

Following 2016 underperformance, High Quality stocks eked out an advantage over Low Quality stocks to begin 2017 (+5.3% versus +2.1%, respectively). Yet, the “Junk Rally” trend seems difficult to reverse.

Quantitative investing has become an integral component of professional investment management, and smart beta funds have become popular vehicles for advisors as they assemble actively-managed client portfolios.

We’ve seen several pundits’ analyses of the “Sell In May” phenomenon of late, but none of them has addressed the most salient feature of this anomaly, which is that it’s historically been a predominantly Small Cap phenomenon.

Remember the special amplifiers used by the fictional rock group Spinal Tap that could be dialed up to eleven? S&P’s decision last year to designate Real Estate as a full-fledged sector means that our GS rankings can now be dialed down to eleven, and unfortunately the Energy sector has been a frequent occupant of that undesirable spot.