Performance

For the third consecutive year (thus far), quantitative factors worked best within the Materials sector. Energy also saw success as the decline in oil hurt the same stocks as in 2014. Factors were least effective in Health Care and Telecom.

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A strong dollar and low commodity prices are major forces dragging down EM currencies across the board.

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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.”

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Last year was a solid one for the Group Selection (GS) Score approach, with the Attractive list delivering a total return of +13.1%—more than 500 basis points above The Leuthold Group Universe average, which gained only +7.9%.

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The recent Energy sector decline has accomplished the feat of wiping out all of the upside gains achieved during its “Third Act” played out in the 2006-2008 surge.

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In early October 2014, we noted the momentum reversal of Low Quality stocks and a few signs of the likelihood of transitioning to another phase of the quality cycle. The official numbers of Q4 have confirmed this.

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Six of the seven factor categories we track have turned in positive performance so far in 2014; Value is the exception. Lost in the numbers is that most of the value has come from the short quintiles, so it has been hard for managers to take advantage of this trend.

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Our AdvantHedge Composite lost 5.9% in July, lagging the inverse performance of the S&P 500 (5.1%), but outpacing both the NASDAQ (6.6%) and the Russell 2000 (7.0%) as the market returned to “risk-on” mode.

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Info Tech remains the largest sector short position, while Energy is second.

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Info Tech remains the largest sector short position, while Energy is second.

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Is market rallying in anticipation of conflict resolution in Iraq? Bush will be under increasing pressure to resolve things before the 2008 Presidential election. We look at the Korean conflict and Vietnam war for clues about how this possible resolution in Iraq may play out in stock market.

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Group Selection Scores worked well in 2005. Buying top 20 ranked equity groups each month based on GS Scores produced a 19% gain for the year, well above the 3% S&P 500 performance (price only).

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2005 Performance Recap: Equities, Fixed Income, Large Vs. Small Caps, Weighted Vs. Unweighted S&P 500, Industrial Metals and AdvantHedge.

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Debunking one myth of buy and hold rationale. Showing how stock market returns change if investors avoid the best and worst performing stock market days. Essentially, anything can be proven with statistics.

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Back at the end of October, virtually all of the primary stock market indexes were slightly underwater on a YTD basis, but November’s market action changed all that with an impressive rally.

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CPI expected to decline in 2006 and historically a decelerating CPI is a significant stock market positive, producing above average returns. Stage could be setting for a market rally in 2006 as inflation pressures wane.

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A comparison of the performance of the current stock market recovery to the monthly performance averages of past recoveries (1900 to date).

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With most indexes declining during October, it was not a bad month to have a portion of the asset allocation portfolio hedged.

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Comparison the performance of the current stock market recovery to the monthly performance averages of past recoveries (1900 to date).

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Going into September, there was little expectation that equities would perform strongly in the coming month, and by that token, the market did not disappoint.

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