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Stock Market Internals Earnings Momentum, Small/Mid/Large Caps, Growth/Value/Cyclicals, and Additional Factors

Jun 04 2021

Earnings Momentum

  • Jun 4, 2021

As we roll-in the second month of Q1-21 earnings, our Up/Down ratio reads 1.93. This is comparable to some of the best ratios of the 2016-2019 earnings cycle and, given the earnings divot of 2020, we expect to see similar figures through the rest of the calendar year.

Jun 04 2021

Small Cap vs Mid Cap vs Large Cap

  • Jun 4, 2021

Using non-normalized trailing operating earnings, Small Caps are selling at a 14% valuation discount to Large Caps—matching April’s Ratio of Ratios. Absolute trailing multiples shrank by equal amounts for both market-cap tiers as another darker, “pandemic month” rolled off the back end.

Jun 04 2021

Growth vs Value vs Cyclicals

  • Jun 4, 2021

April’s Large Cap Growth bounce didn’t follow through in May. Growth’s 2020 relative gains have been nearly erased in the Mid and Small Cap spaces. Large Caps still have a ways to go.

Jun 04 2021

Additional Factors

  • Jun 4, 2021

In May, we saw a reversal of April’s reversal—quickly bringing us back to the contemporary trends of Value and Cyclical stocks beating Growth, Equal Weighted beating Cap Weighted, and the Tech Titans failing to keep pace. The Equal Weighted S&P 500 has outperformed the Cap Weighted measure by 15.4% since August 2020.

May 06 2021

Earnings Momentum

  • May 6, 2021

With the first month of 2021 earnings in the books, our Up/Down ratio reads 2.75. As expected, the base-effect helped kick the ratio into rarified air. This vignette should produce 2018-like figures through the end of calendar-year 2021.

May 06 2021

Small Cap vs Mid Cap vs Large Cap

  • May 6, 2021

In April, Small Caps took a break from their ascent toward the long-term median of the Ratio of Ratios. Trailing earnings’ profiles are now exclusively “pandemic.” A downward bias on absolute valuations should start to materialize in the coming months.

May 06 2021

Growth vs Value vs Cyclicals

  • May 6, 2021

Large Growth was the best-performing style box for April but it has underperformed nearly everything else YTD—most notably, Small Cap Value and our Deep Cyclicals Group.

May 06 2021

Additional Factors

  • May 6, 2021

The rank-and-file rally we’ve seen since August took a break as the five Tech Titans (22% of the cap weight) regained their footing and contributed 40% of the month’s return. Is it a coincidence the ten-year Treasury yield had its first significant monthly decline since July? Most certainly not.

Apr 08 2021

Earnings Momentum

  • Apr 8, 2021

The final Up/Down ratio for Q4 reads 1.30. This ratio has been below its historical average for the past nine quarters, having trekked from the shadow of the 2018 earnings bonanza right into the pandemic. We expect the reading to be well above-average next month as hurdle rates are set to plummet.

Apr 08 2021

Small Cap vs Mid Cap vs Large Cap

  • Apr 8, 2021

During the first quarter, the Russell 2000 (+12.7%) easily beat the S&P 500 (+6.2%) and the Small Cap discount within our L3000 universe shrank significantly, from 18% to 8%.

Apr 08 2021

Growth vs Value vs Cyclicals

  • Apr 8, 2021

Small Value, easily the worst style-box since 2017, posted a 21% gain in the first quarter. Getting as far away from Large Cap Growth as possible continues to be the best strategy this year.

Apr 08 2021

Additional Factors

  • Apr 8, 2021

Apple, down a seemingly benign 5% over the last seven months, has seen its S&P 500 weight shrink more than 20%, from 7.3% to 5.7%. We see the same story with Amazon. It has lagged the index by 25% since August and, as of March 31st, its 11-month membership in the 4% Club came to an end.

Mar 05 2021

Earnings Momentum

  • Mar 5, 2021

The Up/Down ratio reads 1.48. Given the change in our daily lives, it’s pretty amazing that we’re so close to a “normal” Up/Down ratio considering the pre-pandemic look-back period.

Mar 05 2021

Small Cap vs Mid Cap vs Large Cap

  • Mar 5, 2021

The Russell 2000 has now outperformed the S&P 500 for six consecutive months. This vignette can still be used to make a relative valuation call for Small Caps over Large Caps, but the window seems to be closing quickly.

Mar 05 2021

Growth vs Value vs Cyclicals

  • Mar 5, 2021

As interest rates climb, the preference for Large Growth continues to flag. Our Royal Blue segment, the darling of 2020, is the only style box in negative territory YTD.​

Mar 05 2021

Additional Factors

  • Mar 5, 2021

The sails have gone slack for the S&P 500’s Top-5 firms. Since the trend change at the end of August, the index has advanced 10%. As a group, the five Tech Titans have actually hindered performance during that span (-0.4% contribution).

Feb 05 2021

Earnings Momentum

  • Feb 5, 2021

As we kick-off Q4-20 earnings reports, our Up/Down ratio reads 2.19. We’re a bit surprised to have such a strong number given that the YOY look-back hurdle is pre-pandemic.

Feb 05 2021

Small Cap vs Mid Cap vs Large Cap

  • Feb 5, 2021

Our Ratio of Ratios has rocketed toward its historical median over the last two months. Over that time, the Russell 2000 (+14%) has absolutely trounced the S&P 500 (+3%). Buying Small Caps over Large on a relative valuation argument can still be made—but that window seems to be closing quickly.

Feb 05 2021

Growth vs Value vs Cyclicals

  • Feb 5, 2021

Both of the Small Cap styles had a terrific start to 2021 as each gained +6.7%. Small Cap Growth is now the best-performing style box since the end of 2019 (+44%).

Feb 05 2021

Additional Factors

  • Feb 5, 2021

The Equal Weighted S&P 500 has clawed back most of its enormous return deficit. The one-year trailing return favored the Cap Weighted measure by +13.5% at the end of August—the widest rift since we exited the Great Recession. As of the end of January that gap had been whittled down to +3.5%.