Green Book January 2011
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Featured Articles
2010: Better Than It Felt
2010 was better than it felt for the equity markets, but while 2011 may be better for the economy, it might not be as strong for the equity markets. Could the bull market be running out of milestones?
2011 In 2019?
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.
Dreams, Nightmares & Bridesmaids: Should You Hold On To Last Year’s Winners?
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.
Inflation Acceleration In 2011
Commodities are on fire, and it’s not just because of the weaker dollar. Commodity prices are signaling significant pass-through inflation pressures building.
Large Cap Vs. Small Cap: Performance Parity 1979 To Date
If we look only at the past eleven years, 2000-2010, the S&P 500 has decisively underperformed the Russell 2000.
Like Oil & Water: The “Correlation” Between CleanTech And Petroleum
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.
Playing The Bounce 2010—Final Update
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.
Risk Premium For Stocks Making A Comeback
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.
The Bond Bubble Is Beginning To Deflate… Is The Cheap Money Era Ending?
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 On TIPS (Treasury Inflation Protected Securities)
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.
Two Quant Themes With Significant Implications For 2011
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.
Year In Review: Inconsistency Among Traditional Factors
Factor performance during 2010: A review of traditional quantitative factors and their performance for the year.
Table of Contents
Stock Market
- 2010: Better Than It Felt
- 2011 In 2019?
- Risk Premium For Stocks Making A Comeback
- Like Oil & Water: The “Correlation” Between CleanTech And Petroleum
- Large Cap Vs. Small Cap: Performance Parity 1979 To Date
- Playing The Bounce 2010—Final Update
Of Special Interest
Macro Monitor
- The Bond Bubble Is Beginning To Deflate… Is The Cheap Money Era Ending?
- Tips On TIPS (Treasury Inflation Protected Securities)
Quant
- Year In Review: Inconsistency Among Traditional Factors
- Two Quant Themes With Significant Implications For 2011
Inflation Watch
2010: Better Than It Felt
2010 was better than it felt for the equity markets, but while 2011 may be better for the economy, it might not be as strong for the equity markets. Could the bull market be running out of milestones?
2011 In 2019?
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.
Dreams, Nightmares & Bridesmaids: Should You Hold On To Last Year’s Winners?
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.
Inflation Acceleration In 2011
Commodities are on fire, and it’s not just because of the weaker dollar. Commodity prices are signaling significant pass-through inflation pressures building.
Large Cap Vs. Small Cap: Performance Parity 1979 To Date
If we look only at the past eleven years, 2000-2010, the S&P 500 has decisively underperformed the Russell 2000.
Like Oil & Water: The “Correlation” Between CleanTech And Petroleum
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.
Playing The Bounce 2010—Final Update
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.
Risk Premium For Stocks Making A Comeback
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.
The Bond Bubble Is Beginning To Deflate… Is The Cheap Money Era Ending?
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 On TIPS (Treasury Inflation Protected Securities)
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.
Two Quant Themes With Significant Implications For 2011
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.
Year In Review: Inconsistency Among Traditional Factors
Factor performance during 2010: A review of traditional quantitative factors and their performance for the year.
Stock Market
- 2010: Better Than It Felt
- 2011 In 2019?
- Risk Premium For Stocks Making A Comeback
- Like Oil & Water: The “Correlation” Between CleanTech And Petroleum
- Large Cap Vs. Small Cap: Performance Parity 1979 To Date
- Playing The Bounce 2010—Final Update
Of Special Interest
Macro Monitor
- The Bond Bubble Is Beginning To Deflate… Is The Cheap Money Era Ending?
- Tips On TIPS (Treasury Inflation Protected Securities)
Quant
- Year In Review: Inconsistency Among Traditional Factors
- Two Quant Themes With Significant Implications For 2011
Inflation Watch
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