Latest Research

Investors are becoming more and more comfortable buying stock market dips. This is obviously latecycle behavior, but sentiment measures alone aren’t enough to tell us how late.

With the S&P 500 at a double digit gain YTD, one would expect those being rewarded are aggressively positioned. We present two hypothetical portfolios and find the hyper-conservative one has nearly doubled the S&P 500 gain.

In our quantitative efforts, we typically find it more productive to use the financial markets to forecast the economy rather than the other way around. But there are exceptions...

Are U.S. markets for labor and capital actually getting tight?

The commodity “oversupply” story remains intact, with high levels of capital spending in the Energy and Materials sectors persisting, despite the 3 1/2-year downtrend in commodity prices.

In light of strong performance, we revisit this topic that we last wrote about in April.

On October 20th, Apple Pay was officially launched in the U.S. with great fanfare. Since the launch, we’ve heard a lot of buzz words such as “disruptive,” and “transformation,” and then “million users signed up within the first three days.” Amid this enthusiasm came the bad news that some retailers, including Rite Aid and CVS, disabled Apple Pay at their POS’ and reports broke that a retailer consortium was developing a rival payment system.

The sell-off in risky assets in early October promptly led to expectations of a more dovish Fed.

This group offers low correlation, some defensive qualities, and a dose of volatility. Health Care is now the top rated broad sector and we are overweight this sector in Select Industries Portfolio.

The recent strength in the dollar coincided with a spike in volatility and weakness in risky assets, but the relationship over the last couple years has been tenuous at best.

A summary of the GS Score strength for Airlines, Health Care Distributors, and Hypermarkets & Super Centers.

The dramatic turn-around in risk appetite triggered a new “Lower Risk” signal. It also marks the beginning of a very favorable seasonal window.

We continue to like “safe spreads” and remain favorable on these bonds.

Up/Down Earnings: Best One Month Reading Since Q2 2011

During another volatile month for the market, factor performance remained fairly consistent, with Profitability, Quality, and Momentum all working again. Value struggled for the second consecutive month and performed poorly during both the decline and reversal in October.

Small Cap Premium Spikes Back To 20%

Large Cap Value Left Out Of October Surge

S&P 500: Equal Weighted Index Bounces Back

The S&P 500 gained 2.3% (price only) in October. Based on the 1957-to-date valuation metrics presented below, downside to its historical average remains at 14%.

Bond mutual funds have seen persistent negative net cash flows, and YTD flows are now about $40 billion lighter versus tallies recorded just one month ago.