Green Book November 2010

Commodities vs. Style Factors: A Risk Perspective

Chun Wang uses the CRB Index as a risk proxy to test the effectiveness of a range of quantitative factors in various environments. Commodity prices have become an increasingly important measure of risk, since higher commodity prices indicate a greater risk appetite and vice versa.

Commodity Diffusion Index Signaling Inflation Pressures Building

Commodity Diffusion Index pointing toward higher inflation. While weak dollar has helped push commodity prices higher, a Diffusion Index converted to a strong currency like the Swiss Franc also is at very high inflationary levels.

Inflation Acceleration Likely In 2011

Commodity Diffusion Index pointing toward higher inflation.

Is The Bond Bubble Beginning To Deflate?

Bond bubble continues to inflate, much like money pouring into tech stocks at the height of the internet bubble.

Nightmare On Main Street: Individuals Are About To Get It Wrong…Again

Perspectives On Gold: Relationships That Help Us Understand Gold Price Movements

All our asset allocation portfolios have commitment to gold and silver. This month’s “Of Special Interest” focuses on the yellow metal. Valuation matrixes are of little use, but we do present a variety of relationships that may help at least understand the price movements of gold.

Playing The Bounce Update

Not much happening with this year’s edition of “Playing The Bounce.” Initial list of qualifiers posted a loss of 1% in October, while the S&P 500 was up 3.7%.

So Much For “Red October”

Now that the election is over and QE2 in the works, resist the temptation to “sell the news.” We expect to see the market rally through the end of the year. Sentiment still benign and valuations still attractive.

Year To Date Update: Momentum Makes A Comeback

YTD the winner is momentum! This is slowly developing to the angst of many model-tweekers. Note though that how one defines momentum can make a difference in what you see.