Tag Archives: 2017

Jan 2, 2018

Large Caps and Growth Outperformed By Most Since 1999

In December, the S&P 500 (TR) gained 1.1%, posting its 14th consecutive monthly gain, the longest monthly streak on record (data since Sep. 1989.) Also, the S&P MidCap 400 (TR) gained 0.2%, while the S&P SmallCap 600 (TR) lost 0.5%, bringing the 2017 performance to a respective 21.8%, 16.2% and 13.2% for the S&P 500 (TR), S&P MidCap 400…

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Dec 12, 2017

Active Managers: Hope for high dispersion, not just low correlations

The Wall Street Journal recently reported that, according to analysis by Credit Suisse, the correlation among S&P 500 sectors had fallen close to its lowest level ever, and that this was good for active equity managers, “who find it easier to make money betting on specific companies or trends when stocks aren’t all moving together.”…

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Oct 23, 2017

Stock Picking AI? Elementary, My Dear Watson

Keen watchers of the ever-developing exchange-traded product space may have noticed an intriguing development last week, as the first purely “artificial intelligence”-based stock-picking ETF launched.  Powered by IBM’s “Watson” platform, the fund sponsors claim to use a proprietary quantitative model to select stocks that will outperform, based on machine learning applied to vast data sets. One cannot help wondering…

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Oct 12, 2017

Low Volatility, VIX and Behavioral Finance

As this week’s award of the Nobel Prize in Economics to Richard Thaler confirmed, the existence of behavioral biases in finance is no longer a controversial theory.   People often prefer a small chance of a large gain to a near-certain chance of a small gain, even if the expected return from the latter is higher. …

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Oct 10, 2017

Turning Point?

Here are six notable developments in the U.S. financial markets in September 2017. Smaller caps outperformed large caps. Value outperformed growth. Energy was the top-performing sector, and the utilities sector was the worst-performer. Developed markets posted gains, while emerging markets lost steam. Commodity indices rebounded, driven by recent strength in energy. U.S. 10-year and 30-year…

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Sep 27, 2017

Don’t Shoot the Messenger

Here are some recent headlines about the consequences of passive investing: Japan Central Bank’s ETF Shopping Spree Is Becoming a Worry Passive Market Share to Overtake Active in the US No Later than 2024 Passive investing boom is creating a ‘frightening’ risk for markets ETFs are taking over the world, and there’s nothing anyone can…

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Jul 27, 2017

Mutual Fund Portfolios: Equal Weight or Cap Weight?

Equal-weighted indices typically outperform their cap-weighted counterparts (although 2017 so far has proven to be an exception to the general rule).  This means that portfolio managers can usually create a performance tailwind by equal weighting rather than cap weighting their holdings. But do they?  One way to assess this question is by using the Herfindahl-Hirschman…

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Jun 1, 2017

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…

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May 18, 2017

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…

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