Green Book July 2016
The Policy Conundrum
Policymakers around the world have held interest rates at unimaginably low levels, run persistently large fiscal deficits, and engaged in outright money-printing via quantitative easing programs. It’s mystifying to watch those same authorities undermine their policies through periodic bouts of fear-mongering.
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Featured Articles
MTI Dips To High Neutral
We’ll know soon if the recent dip into “Neutral” was nothing more than a news-driven “whipsaw.” But we want to make clear that the MTI decline reflects more than just the Brexit-related market action.
Stock Market Observations
With the S&P 500 levitating near its all-time high, stock market leadership is peculiar—characterized by a flight to quality. And, despite the market’s violent bounce off February lows, there have been only four new market highs set by key indexes on our “Bull Market Top Timeline” table.
Low Vol Divergence, Episode 3
The divergence between S&P 500 Low Volatility and High Beta Indexes has emerged for the 3rd time in a year. The 3-month performance spread is even more extreme than it had been on the eve of either the August or December stock market air pockets.
A Tale Of Two Exits—How Different Is This Time?
We think the best guide for Brexit is still the 1992 U.K. exit from the ERM. However, most U.K. assets are more expensive than they were back in 1992, and thus more vulnerable to shocks.
Valuation Metrics: Numerators & Denominators
Different measures of value may tell different stories. Using various metrics, we examine the valuation of Large Caps, Small Caps and equity sectors.
Electronic Manufacturing Services: Attractive
The EMS group (from the Info Tech sector) now ranks as the third highest of 115 industries.
“Index Rebalance Effect” Once Again Proven
Validating results of a prior study, a look at the last four MSCI index rebalances shows that stocks soon to be added outperform from Announce Date to Effective Date, while deleted stocks underperform.
June And First Half Factor Performance and The Brexit Impact
Factor performance was muted prior to the vote; it turned volatile in the remaining days of June following. Momentum was the only factor to work before and after June 23rd — the day of the Brexit vote.
Table of Contents
Stock Market
- The Policy Conundrum
- Stock Market Observations
- What Are Banks And Bonds Telling Us?
- Low Vol Divergence, Episode 3
- Who’s Selling Bonds?
- Discretionary: Is The Top Finally In?
- Recession Watch
- Bond Bubble Spills Into Equities
- What’s Past Is Prologue
- Low Quality Dominance Since March
- “Index Rebalance Effect” Once Again Proven
- MSCI Reclassification: Winners & Losers
Of Special Interest
Macro Monitor
- A Tale Of Two Exits—How Different Is This Time?
- Risk Aversion Index—New “Higher Risk” Signal
- US Bonds
Equity Strategies
Quant
Market Internals
Portfolios
- Core & Global Asset Allocation Portfolios
- Domestic & Global Long-Only Portfolios
- 100% Short Portfolio: AdvantHedge
Major Trend
Fund Flow Trends
Estimating the Downside
At Random
MTI Dips To High Neutral
We’ll know soon if the recent dip into “Neutral” was nothing more than a news-driven “whipsaw.” But we want to make clear that the MTI decline reflects more than just the Brexit-related market action.
Stock Market Observations
With the S&P 500 levitating near its all-time high, stock market leadership is peculiar—characterized by a flight to quality. And, despite the market’s violent bounce off February lows, there have been only four new market highs set by key indexes on our “Bull Market Top Timeline” table.
Low Vol Divergence, Episode 3
The divergence between S&P 500 Low Volatility and High Beta Indexes has emerged for the 3rd time in a year. The 3-month performance spread is even more extreme than it had been on the eve of either the August or December stock market air pockets.
A Tale Of Two Exits—How Different Is This Time?
We think the best guide for Brexit is still the 1992 U.K. exit from the ERM. However, most U.K. assets are more expensive than they were back in 1992, and thus more vulnerable to shocks.
Valuation Metrics: Numerators & Denominators
Different measures of value may tell different stories. Using various metrics, we examine the valuation of Large Caps, Small Caps and equity sectors.
Electronic Manufacturing Services: Attractive
The EMS group (from the Info Tech sector) now ranks as the third highest of 115 industries.
“Index Rebalance Effect” Once Again Proven
Validating results of a prior study, a look at the last four MSCI index rebalances shows that stocks soon to be added outperform from Announce Date to Effective Date, while deleted stocks underperform.
June And First Half Factor Performance and The Brexit Impact
Factor performance was muted prior to the vote; it turned volatile in the remaining days of June following. Momentum was the only factor to work before and after June 23rd — the day of the Brexit vote.
Stock Market
- The Policy Conundrum
- Stock Market Observations
- What Are Banks And Bonds Telling Us?
- Low Vol Divergence, Episode 3
- Who’s Selling Bonds?
- Discretionary: Is The Top Finally In?
- Recession Watch
- Bond Bubble Spills Into Equities
- What’s Past Is Prologue
- Low Quality Dominance Since March
- “Index Rebalance Effect” Once Again Proven
- MSCI Reclassification: Winners & Losers
Of Special Interest
Macro Monitor
- A Tale Of Two Exits—How Different Is This Time?
- Risk Aversion Index—New “Higher Risk” Signal
- US Bonds
Equity Strategies
Quant
Market Internals
Portfolios
- Core & Global Asset Allocation Portfolios
- Domestic & Global Long-Only Portfolios
- 100% Short Portfolio: AdvantHedge
Major Trend
Fund Flow Trends
Estimating the Downside
At Random
Perception for the Professional
March 2026 Issue
Featured Articles
Sector Navigator
March 2026 Issue
