Green Book December 2016
Putting “Our Spin” On The Positive Spin
Bull markets seem to create their own moods that lead to fundamental developments being viewed in a mostly favorable light.
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Quantitative Factor Performance: Year In Review
Factor performance during 2016 is the reverse of that of 2014-2015. Quants and smart beta funds focusing solely on Value have enjoyed the year, while multi-factor approaches have struggled. Value has been the only factor that has provided positive performance this year.
Does Returning Cash Crowd Out Capex?
Companies are returning cash to investors at a level never before seen. Does the historically high level of cash being returned to shareholders crowd out the use of cash elsewhere? One wide-spread concern is that by shelling out cash through dividends and share buybacks, companies are spending less on capital expenditures. Is that a real concern?
Financials With Post-Election Appeal
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Table of Contents
Stock Market
- Putting “Our Spin” On The Positive Spin
- Stock Market Observations
- Acting Like A “New” Bull Market?
- Are Bonds Doing Janet’s Job?
- Rising Rates: Not Always A Death Knell
- Policymakers’ Shell Game
- America’s Already First...
- Does Returning Cash Crowd Out Capex?
- Calendar Effect On Earnings-Release Day Price Movement
Of Special Interest
Macro Monitor
- Trump Rally—More Tortoise & Less Hare Please
- Risk Aversion Index: Stayed On “Lower Risk” Signal
- US Bonds
Equity Strategies
Market Internals
Portfolios
Major Trend
Estimating the Downside
At Random
Trump Rally—More Tortoise & Less Hare Please
Market reaction since the election has been right on the money. What we didn’t expect was the speed and the magnitude of the so-called “Trump Trade."
MTI Drops Sharply
The latest Major Trend Index report.
Stock Market Observations
We revisit our “Red Flag Indicator” of prior bull market tops versus today. Usually most of these internal market measures will deteriorate in advance of the final bull market peak. At the latest S&P high, three of the seven leading measures had raised Red Flags, by not confirming, but two of them (DJ Transports and the NYSE A/D Line), are within just ticks of new bull market highs.
America’s Already First...
Thanks to the U.S. dollar’s recent spike, foreign equities in dollar terms declined during November while the U.S. markets were celebrating a Trump victory. Thirty-nine of the 49 MSCI country indexes are in bear market territory from the perspective of a dollar-based investor.
Quantitative Factor Performance: Year In Review
Factor performance during 2016 is the reverse of that of 2014-2015. Quants and smart beta funds focusing solely on Value have enjoyed the year, while multi-factor approaches have struggled. Value has been the only factor that has provided positive performance this year.
Does Returning Cash Crowd Out Capex?
Companies are returning cash to investors at a level never before seen. Does the historically high level of cash being returned to shareholders crowd out the use of cash elsewhere? One wide-spread concern is that by shelling out cash through dividends and share buybacks, companies are spending less on capital expenditures. Is that a real concern?
Financials With Post-Election Appeal
Forces specifically driving many Financials groups include expectations for an ongoing yield rally and a steepening yield curve, tax cuts, and loosening financial regulation. While these outcomes remain largely speculation, the odds have improved and any of these developments would be a welcome change.
Stock Market
- Putting “Our Spin” On The Positive Spin
- Stock Market Observations
- Acting Like A “New” Bull Market?
- Are Bonds Doing Janet’s Job?
- Rising Rates: Not Always A Death Knell
- Policymakers’ Shell Game
- America’s Already First...
- Does Returning Cash Crowd Out Capex?
- Calendar Effect On Earnings-Release Day Price Movement
Of Special Interest
Macro Monitor
- Trump Rally—More Tortoise & Less Hare Please
- Risk Aversion Index: Stayed On “Lower Risk” Signal
- US Bonds
Equity Strategies
Market Internals
Portfolios
Major Trend
Estimating the Downside
At Random
Perception for the Professional
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