Latest Research

The Major Trend Index remains positive, and net exposure is 65% in the Core and 64% in Global.

Momentum has easily been the best quantitative factor over the last year. The only other factor with notable positive performance is Sentiment. Can this continue?

The “South Korean Discount” comes from high market concentration risks due to: a handful of companies with significant market weights, tight business relationships with suppliers, and high levels of cross-ownership among companies. 

The bull market has pushed short-term annualized performance readings well above median levels, while the longer-term readings remain subdued. But there is a silver lining…

We’ve discussed the interrelationships between industrial commodities, commodity-oriented equities and Emerging Market stocks. Getting one’s bet right on any of these three has generally led to profitable positions in all three. But that certainly hasn’t been true in recent months.

We “mapped” current readings on six time-tested valuation ratios to the month in which those readings were first matched or exceeded as the late 1990s market bubble developed.

Stocks have long looked expensive on the basis of dividend yield, but now they look increasingly stretched on Forward EPS.

With our equity exposure high and our disciplines still tilting bullish, we’re naturally more concerned with what might go wrong than missing out on some kind of 2013 repeat.

The Dow Jones Industrials’ bull market gain of +150% is well ahead of the long-term median (+86%) and average (+134%), and places the 2009-to-date move as the sixth-best all time.

The post-2009 stock market upswing now qualifies as only the sixth cyclical bull market since 1900 to last five years or more. But only three of the previous five-year-old bulls lived to see a sixth birthday.

We dusted off our research from 2011 on dividend growers. Somewhat to our surprise, we found fewer qualifiers this time, and a shift from Europe to Asia.

We’ve held this group since August 2012. Its GS Score has continued to improve and currently ranks second out of 120 groups. Solid factor readings, coupled with a brightening fundamental picture in both the industry and the sector, keep us invested in this space.

A quick look at the Commodity Chemicals, Automotive Retail, Aerospace & Defense, and Computer & Office Hardware groups, all of which caught our eyes this month.

Three groups currently rank Attractive in the GS Scores: Health Care Distributors, Managed Health Care, and Health Care Equipment.

Nine Technology groups are in the top quintile of our group model, and the sector has strengthened on a relative basis after twice “testing” a trendline that dates back to the early 2000’s tech wreck. There’s reason to believe the new uptrend has longer-term legs.

The GICS changes result in the elimination of five groups from our GS framework, which brings the group universe count down to 115 from 120.

High grade credit spreads narrowed slightly, which served as a nice volatility dampener in the fast changing risk-on/risk-off environment.

This closed out the one month old “Higher Risk” signal. We continue to favor high quality credits within fixed income.

We looked at the periods around the end of the three previous easing programs (QE1, QE2 and Operation Twist) and compared those patterns with the current ones for various measures.  The current patterns from both an economic and a market front bear enough resemblance to the previous ones to make us a bit uncomfortable.  February’s market action was encouraging, but it is still too early to rule out a post-QE fizzle.