Latest Research

The Short Interest Ratio performs well as a factor; on both the long and short sides.

It’s too early to move back into credits; we recommend a defensive stance within the Fixed Income space.

Despite more attractive value now, we expect volatility and near term headwinds to persist.

The second month of Q2 earnings reports registered an Up/Down Ratio of 1.17. This “two-month” figure is the third lowest since mid 2009.

The S&P 500 fell 6.3% (price only) in August. Based on the 1957-to-date valuation metrics presented below, downside to its historical average decreased by about 4% from last month’s –19% reading.

The August market action deflated P/E ratios across all market cap tiers, but our ratio of ratios was little changed.

Select Industries gross composite lost 5.6% in August, outperforming the S&P 500 (-6.0%). Global Industries (based on Global Industries, L.P. gross return) lost 5.2% in August, beating the MSCI ACWI (-6.8%).

The MTI ratio started the month with a neutral reading and subsequently plummeted into negative territory, where it remains today. We are maintaining a defensive position and cut equity exposure to 35%, down from 38% in early-August, and 48% in late July.

Amidst the Energy carnage, the Oil & Gas Refining & Marketing group is the exception, having returned over 7% YTD. Refiners are able to perform well in a variety of oil price scenarios—and tend to thrive in a falling crude oil price environment.

Among the various arguments put forward by those believing the recent decline is no more than a correction, the most difficult for us to address is the common claim that “there’s no recession on the horizon.”

When the “most hated bull market on record” finally suffers a steep decline, it’s reasonable to expect that the hatred might evolve into true revulsion.