Category Archives: Equities

The Best of Times and the Worst of Times

Since roughly the beginning of May, U.S. interest rates have been in an uptrend, with the 10 year Treasury note ending last week at a yield of 2.5%. Equity markets, not surprisingly, have reacted by weakening, especially in last week’s trading. Some of us of a certain age will admit to a degree of bewilderment Read more […]

Q1 Buybacks Slightly Up, But Fewer Shares Repurchased

Q1 Buybacks Slightly Up, But Fewer Shares Repurchased Breakdown shows a broader participation in share count reduction – but it is slow Q1,’13 S&P 500 buyback expenditures slightly increased 0.8%, to $100.0B from $99.1B in Q4,’12, and was up 18.6% for Q1,’12 $84.3B (record was Q2,’07 at $172B). 12 months ending Mar,’13 increased 3.8% to $414.6B from Read more […]

Indices Rebalance Friday

Index funds could experience slightly more trading than usual on Friday.  Company’s shares outstanding change from time to time due to buy-backs, issuance for employee options or other events. The percentage of shares in float — not closely held — also change from time to time.  In theory S&P Dow Jones could update data on Read more […]

Volatility – Are You The New Kid On The Block?

Just an aggravating stat for all those who keep talking about the enormous volatility. The historical average intraday high price over the intraday low price is a swing of 1.482%, with a 1% variance (high / low) occurring 71.3% of the time over the past 50 years. The 2013 year-to-date average is a 0.916% variance, Read more […]

A PIP Off the Old Block

The staff of the Financial Industry Regulatory Authority (FINRA) recently issued an opinion letter discussing the use of “pre-inception index performance (PIP)” data in communications about exchange-traded financial instruments.  Importantly, the letter permits the use of PIP data (i.e., backtested or simulated results) in presentations to institutions (although not to retail investors). No good deed Read more […]

Low Volatility: Success or Failure?

One of the consequences of May’s shift in leadership of the U.S. equity market from defensive to cyclical sectors has been the underperformance of most (if not all) low volatility strategies. Does this mean, as some commentators have suggested (e.g. see http://www.indexuniverse.com/hot-topics/18860-when-low-volatilitty-bites-back.html?showall=&fullart=1&start=4), that low volatility strategies “failed?” Making a judgment of success or failure, about Read more […]

The Other Shoe?

One of the striking things about May’s U.S. equity performance was that although the market continued the strength it had shown between January through April, it was strong in a different way. http://us.spindices.com/documents/commentary/dashboard-us-20130531.pdf For example, the best-performing sector in the first four months of the year was Utilities (up 19.74%); in May the Utilities sector Read more […]

Thinking About P/E Ratios

The chart below is  a scatter diagram comparing the P/E ratio to the price return on the S&P 500 over the next ten years.  P/E is defined as each month’s level of the S&P 500 divided by the earnings per share on the 500 over the trailing 12 months. Both the P/E and the index Read more […]

History, Real and Simulated

Show me a man who’s never been burned by relying on a backtest and I’ll show you a man who’s never relied on a backtest at all  (either that or a fictional character).  Skepticism toward backtested results is endemic among investment professionals, and rightly so.  And yet… when a new concept comes along, backtested performance Read more […]