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The Leuthold Refresh ...Revisiting a research study of ongoing interest

Jun 06 2024

S&P 500 Earnings Waterfall 1Q24

  • Jun 6, 2024

Today’s eight largest firms produced an average gross margin of 65% over the last fiscal year, a 15-point gain since 1999—and pretax margins are truly amazing. The striking level of profitability at the top of the S&P 500 explains the top-heavy nature of the bull market, and at least partially justifies valuations. 

May 06 2024

Surprising Strength For Active

  • May 6, 2024

Despite a hostile setting for active management in Q1, six of nine style boxes in our ongoing analysis achieved active-fund win rates above 50% (60% on average bested their passive benchmark). The other three each scored just below 50% of active strategies beating passive. This is remarkable given the proven importance of market conditions in the active/passive performance derby.

Apr 04 2024

Factor Tilt Update

  • Apr 4, 2024

This month’s Leuthold Refresh is a quarterly update on our factor regime analysis. Factors, or investment styles, have historically performed quite differently under various economic and market conditions, and we’ve mapped these relationships to identify the factors best positioned for the environment at this time.

Mar 06 2024

S&P 500 Earnings Waterfall 4Q23

  • Mar 6, 2024

Analysts often address sales and net income but rarely speak to the middle lines of the income statement. Our methodology works through each major line item—from sales to net profit—comparing the most recent quarter to the same quarter of a year earlier.

Feb 06 2024

Active/Passive, A Freakish Fourth Quarter

  • Feb 6, 2024

While mid- and small caps notably underperformed, large growth results were freakish. Measured against the S&P 500 Growth index, an implausible 96% of active large growth funds beat that benchmark—a result that stands as one of the most extreme win rates ever seen for a style box.

Jan 05 2024

Factor Performance And Interest Rates

  • Jan 5, 2024

Speculating on the link between style performance and interest rates is a favorite pastime of factor aficionados, but 2023 provided a real-time laboratory to evaluate those ideas. We examined factor returns during the interest rate swings to uncover some empirical insights into this important relationship.

Dec 06 2023

S&P 500 Earnings Waterfall 3Q 2023

  • Dec 6, 2023

This month’s Refresh continues our practice of summarizing the latest earnings season by evaluating the composite results of the S&P 500 member companies.

Nov 06 2023

Active Managers Love Bears

  • Nov 6, 2023

Our analysis has consistently affirmed that actively managed portfolios do relatively better against their benchmarks during weaker market settings. In terms of active vs. passive, portfolio managers should love bearish environments, and third-quarter returns held true to that notion.

Oct 05 2023

Factor Tilt Regime—October 2023

  • Oct 5, 2023

The dominating and overwhelming gains by the Magnificent Seven have made it nearly impossible for most traditional equity factors to excel. Only two styles have managed to surpass the S&P 500’s YTD return: Growth and Quality—and both have healthy exposures to the Magnificent Seven.

Sep 07 2023

S&P 500 Earnings Waterfall 2Q 2023

  • Sep 7, 2023

This month’s Refresh continues our practice of summarizing the latest earnings season by evaluating the composite results of the S&P 500 member companies. Many analysts address sales and net income, but rarely speak to the middle lines of the income statement.

Aug 04 2023

Active/Passive Whiplash

  • Aug 4, 2023

The active/passive performance derby experienced a severe case of whiplash the last three months. Through the end of the first quarter, market conditions were advantageous for active managers, now the second quarter has revealed a massive shift in favor of passive styles.

Jul 07 2023

Factor Tilt Update—June 2023

  • Jul 7, 2023

This Leuthold Refresh updates our Factor Tilt analysis, an ongoing process to evaluate the attractiveness of commonly accepted investment styles. Factors are investment characteristics that have historically produced excess risk-adjusted returns, but relative results fluctuate over time.

Jun 06 2023

S&P 500 Earnings Waterfall 1Q 2023

  • Jun 6, 2023

This note continues our practice of summarizing the latest earnings season by analyzing the composite results of the S&P 500 member companies, as if the SPY ETF represented a share in a single company with 500 subsidiaries.

May 04 2023

Active/Passive: Data Refresh Through Q1-2023

  • May 4, 2023

The performance derby between actively managed portfolios and passively managed index funds is a fascinating and important topic in the investment community at large. This note provides a brief update our previous studies through the first quarter of 2023.