Tag Archives: dispersion

Volatile Start to 2020 – What’s Next?

Last year’s prognostications about the events and trends to monitor in 2020 have evaporated as COVID-19 has upended people’s lives and caused massive recalibrations in financial markets.  In Q1 2020, we said “goodbye to the bull market”; large market movements became the new normal; correlations and dispersion shifted drastically; quantitative easing returned; and access to Read more […]

Coronaviral Correlations

Mea culpa: Roughly a month ago I used a dispersion-correlation map to describe how index dynamics can illuminate market movements.  In particular, I reported that since high dispersion seems to be a necessary condition for a bear market, and S&P 500 dispersion levels at the end of February were far below those prevailing in past Read more […]

Showtime for Active Managers?

The rapid spread of coronavirus and oil price concerns have whipsawed U.S. equities since the S&P 500® reached its all-time high on Feb. 19, 2020. On March 16, 2020, the index plummeted by 12%, its worst decline since October 1987; as of the close of trading on March 18, 2020, losses for the S&P 500 Read more […]

U.S. Equities: Staying the Course

The last few days have been turbulent for financial markets as coronavirus contagion fears took hold.  Global equities fell; the S&P 500®’s 6.6% price return plunge since the end of last week wiped off its year-to-date gains; recent U.S. sector and industry declines mean that nearly all S&P Composite 1500® industries are down month-to-date; and Read more […]

The Most Dangerous Words

The four most dangerous words in investing are “This time it’s different.”  –  Sir John Templeton As investors ponder the ultimate extent of the coronavirus epidemic, this week’s equity market declines are of natural concern to every asset owner.  The obvious question, after near-record point drops in major indices yesterday and today, is how much Read more […]

What’s Your U.S. View?

Every year, certain trends take centre stage and help to explain market returns. For example, expectations over trade negotiations and Fed policy were useful for explaining market performance in 2019.  Many of these developments often appear obvious with the benefit of hindsight, but identifying the trends and their subsequent impact in advance is far from Read more […]

S&P Composite 1500®: Measuring Market Trends

The S&P Composite 1500 measures the U.S. equity market by combining three world-renowned benchmarks – the S&P 500®, S&P MidCap 400®, and S&P SmallCap 600® – which together encompass approximately 90% of U.S. equity market capitalization.  With 2019 in the rear-view mirror, it is obvious that last year was extremely positive for U.S. equities:  the Read more […]

The Effects of Dispersion in Carbon Intensity Scores on Carbon-Efficient Portfolio Construction

In this blog, we investigate the dispersion of carbon intensity scores in detail and its effect on carbon-efficient portfolio construction via equal- and market-cap-weighted approaches. A company’s carbon efficiency is measured by its carbon intensity score (C.I. score), provided by Trucost, which is defined as the greenhouse gas (GHG) emissions from a company’s direct operations Read more […]

2019: A Market Review

With 2019 coming to a close, market participants may use the time to evaluate portfolio performance and to assess what changes (if any) they would like to make based on return expectations and the market outlook.  While the future is uncertain – hindsight really will be 2020 when it comes to evaluating next year’s returns Read more […]

Stock Pickers: Hope Springs Eternal

The Wall Street Journal recently quoted several active managers who claim that “conditions for stock picking are improving”. Their rationale is that declining correlations among stocks in the S&P 500 have made it easier for active managers to select stocks based on fundamental analysis. We have heard this argument before, most notably in 2014 when, Read more […]