Category Archives: Strategy

A New Eden, Or Fewer Excuses

In our May dispersion dashboard, we note that “If there is ever such thing as a “stock-pickers’ market”, then the month of May 2017 – at least in some regions – might be the closest approximation we have seen for a decade.” The subject of what, exactly a “stock-pickers’ market” might look like, and how Read more […]

Dividend Growers vs High Dividend Yielders: How They Compared as Interest Rates Rose

There are generally two types of dividend strategies: Dividend growers: Those targeting stocks that consistently grow their dividends over time High dividend yielders: Those focusing on stocks that pay a high dividend yield Not all dividend strategies are created equal These dividend strategies are constructed differently and may be used to accomplish different objectives. For Read more […]

The Wind Bloweth Where It Listeth…

In the latest quarterly rebalance (effective at market close on May 19, 2017), the S&P 500 Low Volatility Index added more weight from the technology sector. The jump from 7% to 12% is the largest increase for any sector. Meanwhile, the index continued to shed weight in Consumer Staples and Utilities, historically the stalwarts of Read more […]

Debt Rising

Outstanding household debt reached a new high in the 2017 first quarter, surpassing the level set in the 2008 third quarter when Lehman Brothers failed and the financial crisis arose. Despite worrisome comments in the press, there is no cause for concern.  First, default rates on mortgages, auto loans and revolving credit are as low Read more […]

Regime Change? Not according to the VIX term structure…

Since the U.S. election, a degree of optimism over potential business-friendly legislation – ranging from tax reform to infrastructure spending – has played a significant part in sending benchmarks such as the S&P 500 to new all-time highs.  Whether this optimism will be justified by actual legislation, of course, is a different issue. At a minimum, recent Read more […]

Multiple Paths to Multiple Factor Indexing

Single factor “smart beta” indicized strategies that were once exclusive to the realm of active management.   Multifactor indexing is beginning to garner much interest as the newest chapter of index innovation. It’s a natural conjecture that if single factors are successful, combining more than one factor should prove even more beneficial.   While any combination of Read more […]

SPIVA® Latin America Year-End 2016 Results

Equity markets in Latin America saw gains across the board in 2016, with Brazil being one of the leaders, as the S&P Brazil BMI (BRL) returned 37.90%.  The Chilean market saw the largest yearly return since 2010, with a return of 13.53% for the S&P Chile BMI (CLP), while the S&P Mexico BMI (MXN) returned Read more […]

The Wrong Diagnosis

This morning’s Wall Street Journal described how “a $1.4 billion ETF gold rush” supposedly has disturbed the pricing of mining stocks around the world.  $1.4 billion turns out to be the incremental cash flow into a single exchange-traded fund designed to track an index of the gold mining industry, including some relatively small-capitalization companies.  These Read more […]

April: A Testing Month for VIX Traders

Shorting VIX® was among the top strategies in the past year.  XIV and SVXY both went up over 50% in Q1 2017 (~15% in March alone), almost doubled in the past six months, and returned ~180% over the past 12 months (see Exhibit 1).  However, the declining VIX spot level can only explain part of Read more […]

Rising Rates Arrive

Which of the figures below belong together?   It’s obvious, even if analogies aren’t your strong suit, that A is like C and B is like D.  A and C are not like B and D. The economic relevance of this simple visual exercise is this: At its March 2017 meeting, the Federal Open Market Read more […]