On October 16th, the US 10-year treasury yield closed at 2.15% and the US 30-year treasury yield closed at 2.93%. Since then, the 10-year has widened by 21 bps and the 30-year by 14 bps. Interestingly, the move up in yields has not been due to an increase in inflation expectations.
Read MoreOver the last month, ROE has moved to the top of the list of factors that influence returns in the MSCI World Index: While this was also the most important driver in Europe, it did not even make it into the top five for the North American or Pacific regions: Europe North America Pacific
Read MoreAs we have mentioned before, each month we score companies’ technical strength relative to the benchmark. Since a year ago, the average score for European and, to a lesser extent, North American companies has declined.
Read MoreNYSE Margin debt rose a miniscule (relatively speaking) $800 million in September. It currently still sits just below the all-time high set back in February. The three month change of -$433 million is the smallest absolute change since the three month period ending in August 2010.
Read MoreIn my favorite scene of White Men Can’t Jump, Woody Harrlson’s character stops the basketball game and confronts his teammate (played by Wesley Snipes) about his poor play, saying, ”What, you still throwing up bricks? What is this, a Masons convention? Wha…clank, clank! I need, like a welding torch to play in this league!
Read MoreLooking out of our office and seeing signs of construction activity across Denver, it can be hard to imagine that 20% of the cities in the S&P Case-Shiller Home Price Index are still at least 30% off its all-time high.
Read MoreWe’ve written on multiple occasions recently about the vulnerability of small caps and last Wednesday we pointed out that the underperformance of small caps looks to have resumed. The last few trading days have seen this trend continue, as chart 1 shows.
Read MoreCounter-cyclical stocks have been the leadership group all year in pretty much every region of the developed and emerging worlds. As the selloff that took place in early October unfolded counter-cyclical stocks gained even more ground on their cyclical peers, which is not surprising since counter-cyclicals typically outperform in times of turmoil.
Read MoreOf our 30 factors, Dividend Yield and 1-month and 3-month change in EPS estimates had the highest r-squared value to market performance last week (figure 1).
Read MoreAfter an extended period of extremely muted volatility in virtually every major asset class, volatility is finally starting to pick up, as it was always likely to do.
Read MoreThe last week has been quite a volatile period, with stocks dipping and then bouncing off the lows in a V-shaped type of bottom. European consumer discretionary (early cyclical) stocks have been among the groups that have bounced the strongest off one week lows.
Read MoreWe have recently commented on how sales and earnings estimate revisions have been in a decline (here and here). Today, we wanted to look at just what kind of growth rates are imbedded in those falling estimates.
Read MoreThe relative performance of small caps bounced sharply beginning on October 10th, but that streak looks to be ending.
Read MoreAll summer long we talked about how mortgage applications were down and couldn’t get off the mat. That looks to finally be changing, at least from a refinancing point of view over the past couple of weeks.
Read MoreSince 1998, the correlation between bonds and stocks has swung positive, so when interest rates move higher, stocks do well and when they move lower, stocks do poorly. In a similar concept, we can relate movements in bond volatility to movements in the equity market.
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