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Special Reports

Aug 01 1987

Time to Sell Stocks Our Diffusion Index Says

  • Aug 1, 1987

The tool has functioned as a good lead indicator of changes in inflation momentum. When the reading is moving up it is an inflation acceleration alert and a move above 70% is usually cause for a general alarm. On the other hand, readings below 50% are a comfort zone.

Nov 15 2018

Asset Allocation: As Bad As It Gets

  • Nov 15, 2018

Asset Allocation in 2018 is about as bad as it gets. No major asset class has done well.

Nov 14 2018

November Blue Book

  • Nov 14, 2018

Our group coverage spans most of the traditional groups as defined by Standard & Poor’s and Morgan Stanley Capital International. At times, we found ourselves in disagreement with the S&P/MSCI “standardized” group delineation, but this structure was maintained, with minimal modifications.

Nov 14 2018

November 2018 Green Book Summary

  • Nov 14, 2018

We wrote in October’s Green Book that “many once reliable seasonal market patterns have been out of sync in recent years.” The market gods punished us for having the audacity to write such a thing (and during October, of all months!), taking the S&P 500 down to within 0.1% of “correction territory” at the October 29th low. But the punishment outside the U.S. commenced long beforehand, and last month’s losses drove several foreign market measures into bear territory. We expect U.S. blue chips to follow.

Nov 12 2018

Rates Hurting Households

  • Nov 12, 2018

Doubling of yields since 2016 has slammed households. Percentage increase in rates is more important than the absolute level.

Oct 15 2018

Factors And Sectors: A Curious Entanglement

  • Oct 15, 2018

Portfolio managers who tilt toward Value or Growth stocks have long known that each style carries with it an inherent bias toward some sectors and away from others. Our recent piece, Value Style’s 100-Year Flood, highlighted the significant role that sector weights (overweight Financials and Energy, underweight Technology) played in Value’s decade-long stretch of underperformance.

Sep 19 2018

Real Rates and the Federal Deficit

  • Sep 19, 2018

The real short-term interest rate shows how inappropriately-loose monetary policy has remained in the face of a steady economic expansion.

May 23 2018

Value Style’s 100-Year Flood

  • May 23, 2018

Value is the philosophical cornerstone of many legendary portfolio managers and is widely recognized as one of the most robust quantitative investment factors. Yet, despite its compelling conceptual merits and long-term record of superior returns, recent years’ underperformance of Value has lasted long enough to weigh on even 10-year performance records. 

Jan 25 2018

A Tactical Approach To Successful Factor Investing

  • Jan 25, 2018

TABLE OF CONTENTS:

Executive Summary / Factor Investing-An Initial Look / Factor Investing And The Importance Of Market Cycles / The Intelligent Use Of Smart Beta / A Six-Factor Study including Value, Momentum, Quality, Stability, Yield, and Size / Next Steps

EXECUTIVE SUMMARY

Apr 12 2017

EM Closed-End Fund Discount/Premium: No Longer A Sentiment Factor

  • Apr 12, 2017

Closed-end funds (CEFs) rarely trade at net asset value (NAV). They either trade at a premium or a discount to share price. When demand for underlying assets is high, the price of a CEF will move above its NAV, trading at a premium. On the contrary, when investors are pessimistic about the underlying assets of a CEF, the price is driven below NAV, trading at a discount. Many studies have looked at CEF discounts and premiums as a means to gauge investor sentiment toward the assets they represent.