Latest Research

Transports now find themselves in a three-month RS downtrend; it’s too early to tell if this is an important message. Leading up to 14 of the last 16 bull market tops, Transports underperformed for a six to 12-month period prior to the final bull market high.

Mario Draghi will commemorate the global bull market’s sixth anniversary on March 9th with the initiation of a QE bond purchase program of 60 billion euros per month. Our own celebration has been subdued by comparison.

We wouldn't be surprised if the S&P 500 Financials require a recovery period just as long as NASDAQ's.

Stock market Margin Debt enjoyed a brief phase of notoriety when it eclipsed its 2007 high just over a year ago, then it retreated into obscurity. Now it may finally be telling us something.

The Street’s most clever invention is “12-month forward operating earnings” because the stock market invariably appears cheap on the basis of such inflated estimates.

While we own Apple stock across all of our quantitative long equity strategies, we’ll admit to having mixed feelings when the company shot up to an S&P 500 index weighting of just over four percent last month (4.04%).

Issuance surged in recent weeks as companies rushed to lock in low rates before expected rate hikes.

Our Equal Weighted measurement slightly outperformed the Cap Weighted index and now leads by 50 bps for the year.

Can a deflationary outlook coincide with a bullish stance on equity markets? The short answer: YES. Periods of more commonly experienced mild deflation have actually coincided with above average stock returns, especially when deflation occurs outside of a recession.

The Major Trend Index rose 0.01 last week to close out the month of February at 1.11, a reading that, while only mildly bullish, is nonetheless the highest MTI tally since June 2014. Solid gains in both the economic and technical categories more than offset other negative swings during the week.

After breaking into positive territory in the week ended February 13th, the Major Trend Index improved again last week. The Index closed up 0.03 to 1.10, led by a 40-point gain in the Momentum/Breadth/Divergence category. Overall, we’d now consider the MTI and our related stock market disciplines to be moderately bullish and target net equity exposure of 58% in both the Core and Global Funds.

MTI Rose 0.03 to 1.07 - First Positive Reading in Almost Seven Month

The Major Trend Index swung from the low end to the high end of its neutral zone in the latest week, rising 0.08 to 1.04. The past two weeks’ market action (rising stocks, falling bonds) had already driven net equity exposure in the Core and Global Funds to around 53%, and this morning we covered part of our equity hedge to bring net equity exposure to 57% in both funds.

The ease with which the 10-year yield broke the strong 185 bps barrier was simply too hard to ignore. This tells us interest rates will likely go lower before going higher. The current active range is 140-185.

Even after several years of relative outperformance, Airlines currently ranks fourth highest among the 115 groups we track. Our confidence is supported by the compelling fundamental story. Management has been making disciplined decisions in the face of rising demand and falling fuel prices.

We rely on past experiences in Japan, the U.K., and the U.S. to give us clues about the future path of the EU QE.

It’s more complicated than one would think. Besides input costs, one must consider the impact on revenues, and whether various pricing differentials come into play.

While we remained in the Neutral zone throughout January, the margin for error by month’s end had diminished to just 0.01. The neutral zone was designed to withstand a fair amount of market noise, and that’s certainly been a good thing in light of the market chop experienced since November.

Factor performance in January was very similar to how the year ended, with Momentum doing very well and Value struggling.