Latest Research

Year-ahead stock market forecasts are now in hot demand, but of course are notoriously off the mark most years. Very long term forecasts (say, out to the end of the decade) are in virtually no demand, but are considerably easier to get close to the mark for those armed with the right tools. 

History appears to be repeating itself as the risk premium for stocks is making a comeback. Ten-year Treasuries are now the riskier asset class compared to equities.

We examine the correlation between CleanTech and Petroleum and find that, contrary to what is commonly believed, the overall correlation between oil prices and Clean Technology shares is rather weak.

If we look only at the past eleven years, 2000-2010, the S&P 500 has decisively underperformed the Russell 2000.

As we expected, it was not a very good “Playing The Bounce” year. Many fund managers still had substantial tax loss carry forwards which they used to offset 2010 gains.

Factor performance during 2010: A review of traditional quantitative factors and their performance for the year.

Two Quant Themes With Significant Implications For 2011. We revisit studies from the past year that focused on Revenue Growth vs. Earnings Growth, as well as Momentum vs. Value.

We raised most of our twelve month yield targets this month, based on higher inflation expectations and U.S. debt concerns. Extremely low yields at the short end of the curve are the result of a stimulative Fed policy. Rising yields at the long end of the curve reflect rising inflation expectations.

TIPS can serve a useful purpose in investment portfolios by protecting purchasing power and diversifying risk. But at current low yields and falling bond prices, they do not offer very substantial returns, unless there is an unexpected surge in CPI inflation over the life of the bond.

Of Special Interest asks “Should You Hold On To Last Year’s Winners?” by examining the Dreams, Nightmares and Bridesmaid strategies. This year, our analysis expands beyond equity groups to the sector and asset class levels.

The latest bull market has now essentially matched the returns for all bull market recoveries dating back to 1900. Remarkably, it has accomplished this in only half the normal time frame.

Low quality stocks led out of the past bear market, as typically occurs. Despite being the clear winners from the 2009 lows, it looks like the lower quality stocks can continue to outperform given current valuations and momentum.

It’s a big mistake to react to the headline reports of employment, and an even bigger mistake to make investment decisions based on them.

Offerings are beginning to pick up. While not even near the levels of excess, the trend bears watching. The initial surge in offerings is typically indicative of a rising market.

A new Select Industries Portfolio holding in Railroad group was established.

It does not look like a very good “Playing The Bounce” year. Many fund managers still have substantial tax loss carry forwards they can use to offset this year’s gains.

Factor analysis shows that Momentum continued to be effective in November. Also, aggressive equity sectors have been outperforming the defensive ones. Both of these factors bode well for a continuation of the bull market.

Chun Wang examines QE I & II in Japan, along with the initial QE in the U.S., to see how various quantitative factors have reacted in the past. While some factors may prove effective, the main difference between these past QE experience and the latest round is the macro conditions of the market.

Stocks win the bonds versus stocks comparison.

The bond bubble could be deflating, as investors demand higher yields to compensate for expected rising inflation and the U.S. mountain of debt.