MARKET VOLATILITY - NUMBER OF "BIG MOVE" TRADING DAYS

Size: px
Start display at page:

Download "MARKET VOLATILITY - NUMBER OF "BIG MOVE" TRADING DAYS"

Transcription

1 M O O D S W I N G S November 11, 214 Northern Trust Asset Management investmentstgy James D. McDonald Chief Investment Stgist jxm8@ntrs.com Daniel J. Phillips, CFA Investment Stgist dp61@ntrs.com Sanford B. Carton Investment Analyst sbc2@ntrs.com While market volatility has been well below average over the last two years, we have seen a spike in daily moves greater than 1% over the last month (as shown in Exhibit 1). In fact, if one annualized the October 1% market moves, the frequency would approach the levels of 28 and 29 (although the frequency of moves of greater than 2% would be lower). This pickup in volatility has led some investors to ask what this means for future market returns, and whether there are reliable signals that can help divine the next correction in the market. We recently reviewed the efficacy of various market indicators, like investor sentiment, volatility and margin debt, and found there is only modest value that can be gained from analyzing investor sentiment indicators. We also examined a more fundamental building block valuation as a timing tool, and found that while valuation has little near-term value in predicting market returns, it is valuable on a long-term basis. For this reason, we look to valuations to help forecast long-term returns. The markets that have been underperforming U.S. equities are generally trading at relatively attractive valuations increasing their long-term return potential. This bolsters the case for a stgic allocation to these markets, and cautions against throwing in the towel on underperforming regions. EXHIBIT 1: VOLATILITY SPIKES MARKET VOLATILITY - NUMBER OF "BIG MOVE" TRADING DAYS 214 >1% <-1% Average Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Number of Days LAST 1 YEARS Sources: Northern Trust, Bloomberg. Big move trading days are market moves of more than 1%. Historical averages are from 1972 to present In Exhibit 1, we define big move trading days as days when the market moves by more than 1.% (up or down). For context, this equates to a 17 point day on the Dow Jones Industrial Average at current price levels. Looking at big move days helps put the concept of standard deviation into a more understandable framework. For instance, MSCI World volatility as measured by standard deviation during the time frame was 2.6%. But perhaps more relevant was the fact that markets suffered 61 and 46 days of greater-than 1.% declines in 28 and 29, respectively

2 S&P return (percent) versus the historical average of 19 days a year with losses of that magnitude. Lately, we have enjoyed a below-average number of down days with only 12 in 21 and only 12 in 214 (through October 1). However, looking at the monthly numbers, we clearly saw a spike in October both in terms of up days and down days (four each). Is there anything volatility and other sentiment indicators can tell us about the future path of the markets? In Exhibit 2, we analyze the relationship between volatility and subsequent market performance by looking at the monthly Chicago Board Options Exchange S&P Volatility index level (VIX) against subsequent one- and 12-month S&P returns. Splitting the VIX levels into three buckets shows that no significant difference in future returns exists. The R-squared between the VIX and next -day returns is just., meaning that it only explains approximately % of S&P return variability. Meanwhile, the longer-term measure is even worse with an R-squared of just.4, meaning the VIX explains approximately.4% of S&P return variability. The range of realized returns does, however, increase as volatility rises. EXHIBIT 2: NO SIGNAL IN VOLATILITY VIX & NEXT DAY RETURNS (ANNUALIZED) R² = Volatility Index (VIX, percentage points) VOLATILITY AND MARKET PERFORMANCE Low volatility Normal High volatility VIX & NEXT 12 MONTH RETURNS R² = Volatility Index (VIX, percentage points) LOW VOLATILITY NORMAL VOLATILITY HIGH VOLATILITY Next day S&P price return (annualized) Next 12 month S&P price return Sources: Northern Trust, Bloomberg. Study uses monthly data from 1/1/199 through 1/1/214. As we dig deeper into the details, we see further evidence that this is not a very predictive model. For example, when the VIX reaches 26, the expected return is around 11%, but ranges between - 4% and 2%. Interestingly, when the VIX rises above 4, market returns have been positive 1% of the time on a 12-month basis. However, the -day returns illust that you would have to take some short-term pain before realizing this longer-term gain. Along with the strong rise in the markets over the last five years, margin debt has been accelerating and has become a recent concern of investors both because of the elevated levels it has reached on a nominal basis (currently at $464 billion) and the way in which previous peaks in margin debt have

3 Margin debt ($B) Margin debt (% of market cap) coincided with substantial downturns in the markets. However, looking at the level of margin debt when scaled by the size of the U.S. equity markets (using the S&P market cap as our proxy) paints a less dramatic picture (see right panel of Exhibit ). By this measure, current levels of margin debt are more or less consistent with the trend line over the past 2-plus years. This secular upward trend is most likely a reflection of continually falling interest s (and, thus, falling margin debt servicing costs). Other secular factors at play include the proliferation of hedge funds (hedge fund data is included in the margin debt metrics) and financial innovation whereby taking on margin debt today comes with substantially less friction than in the past. EXHIBIT : A WORRISOME RISE IN MARGIN DEBT? MARGIN DEBT ON NEW YORK STOCK EXCHANGE STOCKS Margin debt on NYSE stocks 4 Margin debt scaled by U.S. market capitalization Sources: Northern Trust, Bloomberg. Monthly data through 9//214. S&P used to proxy U.S. market cap. 1. Turning to the prospect of the recent run-up in margin debt signaling an imminent downturn in the markets (as appeared to happen in 2 and 27), we are less convinced. Again, on a relative basis, current margin levels are fairly contained. Furthermore, we cannot be certain of the cause and effect of the recent margin debt peaks. We believe it is more likely that the market sell-offs caused the reduction in margin debt and not the other way around. Because margin debt can be used for betting against as well as betting on the market and can even be used for things that have nothing to do with the market (e.g. an individual s desire to consume) it makes sense to dive into indicators that provide a better read on investor sentiment. We discuss three in particular: investor sentiment surveys, put/call data and fund flows. As a measure of individual investor sentiment, the American Association of Individual Investors (AAII) asks individual investors whether they are bullish, bearish or neutral on stocks over the next 6 months. Individual investors do tend to be a reasonable contrarian indicator as their moods tend to reflect what has already happened in the markets as opposed to what is about to occur. During periods where investors were excessively bearish or bullish, the surveys have been a fair market timing indicator. When there s excessive bearishness in the surveys, the median market return over the next month is 2.% (annualized), and over the next 12 months is 16.2%. When there s

4 S&P return (percent) excessive bullishness, the return over the next days is just.8% (annualized), and over the next 12 months is 9.4%. Investing during periods of excessive bearishness had a 8% (one month) and 6% (12 months) probability of outperforming the market s normal-sentiment returns. This stgy has a reasonable hit, or probability, of success when looking at the 12-month returns. When we use a stricter definition of excessive bearishness a two standard deviation move the S&P returned 29.8% over the next days (annualized, with a 66% hit ) and 2.% over the next year (a 69% hit ). This is a rare event, happening only weeks in the history of survey. The last time there was a two standard deviation level of bearishness was in March 29 and the S&P subsequently gained 6% over the next 12 months. EXHIBIT 4: SENTIMENT INDICATORS LOOK MORE USEFUL THAN THEY ARE SENTIMENT INDICATORS AND MARKET PERFORMANCE NEXT DAY RETURNS (ANNUALIZED) NEXT 12 MONTH RETURNS Excessive bearishness Normal Excessive bullishness -9.8 Investor surveys Puts & calls Fund flows Investor surveys Puts & calls Fund flows 6 NEXT DAY S&P RETURNS (ANNUALIZED) Investor surveys Puts & calls Fund flows Excessive bearishness Normal Excessive bullishness Sources: Northern Trust, Bloomberg, Morningstar. AAII surveys: weekly since July 1987; CBOE puts and calls: daily since January 1997; Morningstar flows: monthly since February 199. Three-week smoothing used for survey and puts and calls data. We next turn to daily put and call volume on the Chicago Board Options Exchange (CBOE), focusing on call volume (bullish bets on the markets) as a percent of total put and call volume. To reduce the impact of professional institutional hedging activity, we excluded index option volume. Our analysis shows that analyzing put and call option volumes is a less useful indicator than individual investor sentiment surveys. When the CBOE reported excessive call volume, the median market return over the next 12 months was about 7.7%, actually above the 7.2% return when there was excessive bearishness. The distribution was non-normal excessive bullishness only happened 4.6% of the time, while Investor surveys NEXT 12 MONTH S&P RETURNS Puts & calls Fund flows 4

5 excessive bearishness happened 1.7% of the time. Markets tend to have more call writers than put writers and data don t appear to be mean-reverting as there has been a slight downtrend over the last 1 years, possibly reflecting the increasing presence of long-short equity hedge fund stgies. This study performed better on a -day basis as the median return during excessive call-writing was a negative 9.8% (annualized) over the next days, versus 1.9% when there was excessive putwriting. The hit of reducing equity exposure during a bullish market was nearly 6%, which isn t bad but would require a long-term systematic program to capitalize on it. As a final gauge of sentiment, we looked at the flow of money into and out of risk assets (e.g. stocks) and risk-control assets (e.g. bonds). We included U.S.-domiciled open-ended mutual funds, ETFs and money market funds. Fund flows can be a solid contrarian indicator on a 12-month horizon. The median market return when investors are taking risk off the table is 1.6% over the next 12 months better than the 11.4% return when risk is on, but with just a 6% hit. On a -day basis, the market has outperformed when more money is flowing to risk assets (14.7% versus 1.7%, annualized), a logical occurrence since fund flows can be a technical contributor to shortterm momentum. While sentiment can swing markets in the short-term (one year or less), over a long-term horizon (five years or more) the single best predictor of equity market return variation that we can find is valuation. Cash flow yield is our preferred valuation measure to assess valuation levels. Given its recent popularity, we also assess the cyclically adjusted price-to-earnings ratio (CAPE), which uses a 1-year rolling earnings number for earnings. Looking at the data on a one-year basis shows that valuations provide little insight with cash flow yields and CAPE explaining only 11% and 7% of return variability, respectively. However, on a five-year basis, cash flow yields and CAPE explain 4% and 7% of return variability, respectively. Coincidentally, both valuation measures currently predict a 6.4% annual return for U.S. equities over the next five years, below the 1.1% long-term historical average (data back to 1926). As we include valuations in our Capital Markets Assumptions work, this is fairly close to our forecasted 6.6% return for U.S. equities.

6 Explanatory power (percent) Yield (percent) EXHIBIT : VALUATIONS MATTER LONG TERM 1 8 A REVIEW OF SELECT VALUATION METRICS PREDICTIVE POWER HISTORICAL DATA 2 Cash flow yield CAPE Year Time Horizon Year Time Horizon Sources: Northern Trust, MSCI, Bloomberg, Yale University. CAPE data used in Irrational Exuberance by Robert Shiller. U.S. market proxy: S&P. In Exhibit, we convert the CAPE to an earnings yield figure to provide comparability with the cash flow yield data. Many investors are concerned about the heights CAPE has reached, currently standing at 26.. Since 1881, the CAPE metric has only surpassed this level on three occasions, with peaks occurring in 1929, 1999 and 27 all preceding major market drops. However, some (including us) question the validity of the CAPE in the current environment given the massive fall in earnings during the financial crisis (the 28 earnings still suppress the 1-year earnings figure). Furthermore, while CAPE is currently stretched, it has been that way for some time with the metric sitting above 2 since 199, with a brief exception during the financial market crisis. As Robert Shiller, the co-developer of the CAPE ratio, said in an August 17, 214 NY Times article 1 The United States stock market looks very expensive right now. The CAPE ratio, a stock-price measure I helped develop is hovering at a worrisome level. However, he went on to say The CAPE was never intended to indicate exactly when to buy and to sell. The market could remain at these valuations for years. But we should recognize that we are in an unusual period, and that it s time to ask some serious questions about it. In our opinion, it seems as if Professor Shiller also believes the CAPE is a good long-term predictor of returns, but not a short-term trigger. Valuations are one major component of our Capital Markets Assumption (five-year) return expectations, alongside earnings expectations and dividend yield assumptions. Looking at developed markets, we expect similar earnings growth across the various regions (approximately %). While we do expect Europe and Japan to show slower economic growth than the United States, the composition of company revenues in those regions allows better earnings potential than would be suggested by the company s country of domicile. For instance, companies in slow-growing Europe get nearly % of their revenues from outside of the European bloc (including nearly a quarter of 1 Shiller, Robert J. The Mystery of Lofty Elevations. New York Times 16 Aug. 214: BU. Print. 6

7 Return (annual, percent) their revenues from emerging markets) making those companies the most geographically diversified of all regions (by comparison 7% of U.S. company revenues come from the United States). EXHIBIT 6: RETURNS SUPPORTED BY GROWTH AND DIVIDENDS -YEAR EQUITY MARKET RETURN EXPECTATIONS Valuation Dividend Earnings Developed Markets - 7.2% Sources: Northern Trust. U.S % Europe ex-u.k % United Kingdom - 8.6% Japan - 6.6% Emerging Markets - 9.% While our earnings expectations across developed markets are similar, the forecasts for higher dividend yields in Europe, and slight multiple expansion, gives Europe a forecasted return advantage over the United States. Looking at emerging markets, the higher earnings growth potential (with 84% of revenues coming from domestic sources) alongside a solid dividend yield and some valuation expansion lead us to continue to expect a return premium out of those equities relative to the developed markets. The current sentiment toward many major equity markets outside the United States is soured by recent underperformance. However, the improved relative valuation increases the relative return potential and we think supports a better -year return expectation. We think this justifies a continued commitment to a globally diversified equity portfolio, which helps reduce dependency on any one region and reduces the risk of materially underperforming a global equity universe. -1 Special thanks to Raymond Luo, Investment Analyst, for data research. 7

8 IRS CIRCULAR 2 NOTICE: To the extent that this message or any attachment concerns tax matters, it is not intended to be used and cannot be used by a taxpayer for the purpose of avoiding penalties that may be imposed by law. For more information about this notice, see IMPORTANT INFORMATION: This material is for information purposes only. The views expressed are those of the author(s) as of the date noted and not necessarily of the Corporation and are subject to change based on market or other conditions without notice. The information should not be construed as investment advice or a recommendation to buy or sell any security or investment product. It does not take into account an investor s particular objectives, risk tolerance, tax status, investment horizon, or other potential limitations. All material has been obtained from sources believed to be reliable, but the accuracy cannot be guaranteed. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. Periods greater than one year are annualized except where indicated. Returns of the indexes also do not typically reflect the deduction of investment management fees, trading costs or other expenses. It is not possible to invest directly in an index. Indexes are the property of their respective owners, all rights reserved. No bank guarantee May lose value NOT FDIC INSURED Northern Trust 214 8

YEARNINGS FOR EARNINGS

YEARNINGS FOR EARNINGS YEARNINGS FOR EARNINGS April 6, 215 Northern Trust Asset Management http://www.northerntrust.com/ investmentstrategy James D. McDonald Chief Investment Strategist jxm8@ntrs.com Daniel J. Phillips, CFA

More information

NOT WORTH BEING CUTE SELLING OUT OF EXPENSIVE MARKETS HASN T ADDED VALUE HISTORICALLY

NOT WORTH BEING CUTE SELLING OUT OF EXPENSIVE MARKETS HASN T ADDED VALUE HISTORICALLY INVESTMENT STRATEGY COMMENTARY NOT WORTH BEING CUTE SELLING OUT OF EXPENSIVE MARKETS HASN T ADDED VALUE HISTORICALLY October 27, 2017 Some investors are expressing concern about stock market valuations

More information

Total

Total The following report provides in-depth analysis into the successes and challenges of the Northcoast Tactical Growth managed ETF strategy throughout 2017, important research into the mechanics of the strategy,

More information

Economic and Market Outlook

Economic and Market Outlook Economic and Market Outlook Third Quarter 2018 Investment Products: Not FDIC Insured No Bank Guarantee May Lose Value Past performance is no guarantee of future results. Financial term and index definitions

More information

Stock Market Report. January 26, 2005

Stock Market Report. January 26, 2005 January 26, 25 Stock Market Report Market Analysis for Period Ending Friday, January 21, 25 This document presents technical and fundamental analysis commonly used by investment professionals to interpret

More information

Playing The Bull Market s Final Inning(s)

Playing The Bull Market s Final Inning(s) Playing The Bull Market s Final Inning(s) Douglas Ramsey, CFA, CMT Mid-September 2013 FOR PROFESSIONAL USE ONLY. FURTHER DISTRIBUTION OF THE INFORMATION CONTAINED HEREIN IS PROHIBITED WITHOUT PRIOR PERMISSION.

More information

May 2017 US Volatility Research A lot of VIX Noise

May 2017 US Volatility Research A lot of VIX Noise Understand what the VIX index means to fully capture its usefulness and avoid misunderstanding Robert Whaley May 2017 US Volatility Research A lot of VIX Noise There has been a lot of noise out there on

More information

Stock Market Report. December 08, 2004

Stock Market Report. December 08, 2004 December 8, 24 Stock Market Report Market Analysis for Period Ending Friday, December 3, 24 This document presents technical and fundamental analysis commonly used by investment professionals to interpret

More information

VIX Hedging September 30, 2015 Pravit Chintawongvanich, Head of Risk Strategy

VIX Hedging September 30, 2015 Pravit Chintawongvanich, Head of Risk Strategy P R O V E N E X P E R T I S E. U N B I A S E D A D V I C E. F L E X I B L E S O L U T I O N S. VIX Hedging September 3, 215 Pravit Chintawongvanich, Head of Risk Strategy Hedging objectives What is the

More information

High-conviction strategies: Investing like you mean it

High-conviction strategies: Investing like you mean it BMO Global Asset Management APRIL 2018 Asset Manager Insights High-conviction strategies: Investing like you mean it While the active/passive debate carries on across the asset management industry, it

More information

MTA Educational Web Series

MTA Educational Web Series MTA Educational Web Series One Practitioner s Guide to Combining Macro, Fundamentals and Technical Analysis Presented by: Keith Lerner, CFA, CMT Chief Market Strategist SunTrust Bank July 2014 Outline:

More information

YIELD CURVE INVERSION: A CLEAR BUT UNLIKELY DANGER

YIELD CURVE INVERSION: A CLEAR BUT UNLIKELY DANGER 1-year minus -year UST (%) INVESTMENT STRATEGY COMMENTARY YIELD CURVE INVERSION: A CLEAR BUT UNLIKELY DANGER December 4, 17 Investors focus on the yield curve with good reason an inverted curve has historically

More information

Stock Market Report Review

Stock Market Report Review January 7, 25 Stock Market Report - 24 Review Market Analysis for Period Ending Friday, December 31, 24 This document presents technical and fundamental analysis commonly used by investment professionals

More information

15 Years of the Russell 2000 Buy Write

15 Years of the Russell 2000 Buy Write 15 Years of the Russell 2000 Buy Write September 15, 2011 Nikunj Kapadia 1 and Edward Szado 2, CFA CISDM gratefully acknowledges research support provided by the Options Industry Council. Research results,

More information

Economic and Market Outlook

Economic and Market Outlook Economic and Market Outlook Fourth Quarter 2018 Investment Products: Not FDIC Insured No Bank Guarantee May Lose Value Past performance is no guarantee of future results. Financial term and index definitions

More information

SunTrust Advisory Services, Inc. Market Perspective The Pain Trade. Keith Lerner, CFA, CMT Director, Chief Market Strategist March 6, 2017

SunTrust Advisory Services, Inc. Market Perspective The Pain Trade. Keith Lerner, CFA, CMT Director, Chief Market Strategist March 6, 2017 SunTrust Advisory Services, Inc. Market Perspective The Pain Trade Keith Lerner, CFA, CMT Director, Chief Market Strategist March 6, 2017 The Pain Trade Far more money has been lost by investors preparing

More information

Smart Volatility TM. ABR Dynamic Funds Q Understanding Dynamic Management of Volatility As an Asset Class; Strategies used by ABRVX LLC

Smart Volatility TM. ABR Dynamic Funds Q Understanding Dynamic Management of Volatility As an Asset Class; Strategies used by ABRVX LLC Presentation Q2 2016 Smart Volatility TM Understanding Dynamic Management of Volatility As an Asset Class; Strategies used by ABRVX Dynamic Funds for a Dynamic Future 48 Wall Street, Suite 1100 New York

More information

2017 was a Banner Year Look for a More Normal 2018

2017 was a Banner Year Look for a More Normal 2018 Retirement Income Solutions Helping to grow and preserve your wealth 2017 was a Banner Year Look for a More Normal 2018 February 2018 Summary The U.S. stock market posted a strong 2017 with returns of

More information

Stock Market Report. August 2, 2006

Stock Market Report. August 2, 2006 August 2, 26 Stock Market Report Market Analysis for Period Ending Friday, July 28, 26 This document presents technical and fundamental analysis commonly used by investment professionals to interpret direction

More information

C O M M O D I T I E S : A C R U D E A W A K E N I N G

C O M M O D I T I E S : A C R U D E A W A K E N I N G GDP growth (percent) Performance (percent) C O M M O D I T I E S : A C R U D E A W A K E N I N G August 12, 2015 Northern Trust Asset Management northerntrust.com/ investmentstrategy James D. McDonald

More information

FIVE FORECASTERS: FEW WARNING SIGNS

FIVE FORECASTERS: FEW WARNING SIGNS LPL RESEARCH WEEKLY MARKET COMMENTARY January 25 2016 FIVE FORECASTERS: FEW WARNING SIGNS Burt White Chief Investment Officer, LPL Financial; Jeffrey Buchbinder, CFA Market Strategist, LPL Financial; Barry

More information

Common stock prices 1. New York Stock Exchange indexes (Dec. 31,1965=50)2. Transportation. Utility 3. Finance

Common stock prices 1. New York Stock Exchange indexes (Dec. 31,1965=50)2. Transportation. Utility 3. Finance Digitized for FRASER http://fraser.stlouisfed.org/ Federal Reserve Bank of St. Louis 000 97 98 99 I90 9 9 9 9 9 9 97 98 99 970 97 97 ""..".'..'.."... 97 97 97 97 977 978 979 980 98 98 98 98 98 98 987 988

More information

WisdomTree CBOE S&P 500 PutWrite Strategy Fund (PUTW) and CBOE S&P 500 PutWrite Index (PUT)

WisdomTree CBOE S&P 500 PutWrite Strategy Fund (PUTW) and CBOE S&P 500 PutWrite Index (PUT) Q3 2017 WisdomTree CBOE S&P 500 PutWrite Strategy Fund (PUTW) and CBOE S&P 500 PutWrite (PUT) WisdomTree.com 866.909.9473 WisdomTree CBOE S&P 500 PutWrite Strategy Fund +Investment Objective: The WisdomTree

More information

Volatility returns, fundamentals remain strong

Volatility returns, fundamentals remain strong Capital market insights Conversation guide February 2018 Volatility returns, fundamentals remain strong If record-low volatility and more than a year of positive monthly returns on the S&P 500 Index had

More information

Can You Time Managed Futures?

Can You Time Managed Futures? September 7 Can You Time Managed Futures? John Dolfin, CFA Chief Investment Officer Steben & Company, Inc. Christopher Maxey, CAIA Senior Portfolio Manager Steben & Company, Inc. This white paper addresses

More information

Monthly Investment Compass Charting The Course Of The Markets

Monthly Investment Compass Charting The Course Of The Markets Monthly Investment Compass Charting The Course Of The Markets April 22 nd, 2016 Monthly Investment Compass Executive Summary: April 22 nd 2016 U.S. Stock Market: The most important takeaway from the latest

More information

PRESENTS CHARTING MADE EASY ALL TRADING INFORMATION REVEALED

PRESENTS CHARTING MADE EASY ALL TRADING INFORMATION REVEALED PRESENTS CHARTING MADE EASY ALL TRADING INFORMATION REVEALED 1 INTRODUCTION Over the years, investors have developed literally, hundred thousand of different technical market indicators in their efforts

More information

Risk Has Trended Down... So Should I Be Nervous?

Risk Has Trended Down... So Should I Be Nervous? Risk Has Trended Down... So Should I Be Nervous? Presentation to QWAFAFEW Melissa R. Brown, CFA Senior Director of Applied Research, Axioma January 8, 2013 Agenda Risk fell dramatically throughout 2012,

More information

Outperformance in the Next Bear Market?

Outperformance in the Next Bear Market? INSIGHT FROM POLEN CAPITAL Outperformance in the Next Bear Market? Executive Summary In a recent commentary for the Polen Focus Growth strategy, we highlighted our thoughts around changes in market structure

More information

Monthly Stock Market Report

Monthly Stock Market Report January 22, 22 Monthly Stock Market Report This document is for internal use only. The document or any of its contents should not be distributed outside of the Federal Reserve System without permission.

More information

Russell 2000 Index Options

Russell 2000 Index Options Interactive Brokers Webcast Russell 2000 Index Options April 20, 2016 Presented by Russell Rhoads, Senior Instructor Disclosure Options involve risks and are not suitable for all investors. Prior to buying

More information

Equity Market Drawdown 4th Quarter 2018

Equity Market Drawdown 4th Quarter 2018 4th Quarter 2018 Overview As of the January 3, 2019 market close, the S&P 500 Index declined by more than 14% from the market peak reached on September 20, 2018. The sell-off in equities has been global

More information

WHY EQUITIES NOW? THINGS TO CONSIDER

WHY EQUITIES NOW? THINGS TO CONSIDER October 4, 2017 WHY EQUITIES NOW? THINGS TO CONSIDER Scott Krauthamer, CFA, CAIA Managing Director Equities, AB MJ Zayac Director, Institutional Retirement Specialist, AB There is no guarantee that any

More information

Weekly Market Commentary

Weekly Market Commentary LPL FINANCIAL RESEARCH Weekly Market Commentary November 18, 2014 Emerging Markets Opportunity Still Emerging Burt White Chief Investment Officer LPL Financial Jeffrey Buchbinder, CFA Market Strategist

More information

OUT OF THE WOODS? COMMENTARY STRONG FUNDAMENTALS KEY TAKEAWAYS LPL RESEARCH WEEKLY MARKET. February

OUT OF THE WOODS? COMMENTARY STRONG FUNDAMENTALS KEY TAKEAWAYS LPL RESEARCH WEEKLY MARKET. February LPL RESEARCH WEEKLY MARKET COMMENTARY February 20 2018 OUT OF THE WOODS? John Lynch Chief Investment Strategist, LPL Financial Jeffrey Buchbinder, CFA Equity Strategist, LPL Financial KEY TAKEAWAYS Stocks

More information

Weathering Uncertain Markets

Weathering Uncertain Markets Weathering Uncertain Markets Key principles for lifetime investing Introduction Managing an investment portfolio for the long term is partly a test of willpower. Your emotions and instincts will be urging

More information

Low Correlation Strategy Investment update to 31 March 2018

Low Correlation Strategy Investment update to 31 March 2018 The Low Correlation Strategy (LCS), managed by MLC s Alternative Strategies team, is made up of a range of diversifying alternative strategies, including hedge funds. A distinctive alternative strategy,

More information

Monthly Investment Compass Charting The Course Of The Markets

Monthly Investment Compass Charting The Course Of The Markets Monthly Investment Compass Charting The Course Of The Markets January 12 th, 2017 Monthly Investment Compass Executive Summary: January 12 th 2017 U.S. Stock Market: A number of near term metrics warn

More information

Last week's rating: C Marketperform Percentile Ranking: 53 Data as of 07/06/2018

Last week's rating: C Marketperform Percentile Ranking: 53 Data as of 07/06/2018 SCHWAB EQUITY RATING Percentile Ranking: 55 A 1-10 Strongly Outperform BUY B 11-30 Outperform C 31-70 Marketperform D 71-90 Underperform BUY HOLD SELL F 91-100 Strongly Underperform SELL PRICE VOLATILITY

More information

Guided Equity Allocation

Guided Equity Allocation September 2017 Guided Equity Allocation VanEck Vectors NDR CMG Long/Flat Allocation ETF Disclosures This material does not constitute an offer to sell or solicitation to buy any security, including shares

More information

Macro Monthly UBS Asset Management June 2018

Macro Monthly UBS Asset Management June 2018 Macro Monthly UBS Asset Management June 18 Investing in a mature cycle Erin Browne Head of Asset Allocation Evan Brown, CFA Director, Asset Allocation Roland Czerniawski, CFA Associate Director, Asset

More information

Morningstar Direct SM Asset Flows Commentary: United States

Morningstar Direct SM Asset Flows Commentary: United States Morningstar Direct SM Asset Flows Commentary: United States Morningstar Research 21 March Data through. 28, U.S. Mutual Funds and Exchange- Traded Products Alina Lamy Senior Analyst Quantitative Research

More information

LPL RESEARCH PRIVATE CLIENT INSTITUTIONAL INSIGHTS THOUGHT LEADERSHIP. August 2016 DIVERSIFICATION MAY BE POISED FOR A COMEBACK MEMBER FINRA/SIPC

LPL RESEARCH PRIVATE CLIENT INSTITUTIONAL INSIGHTS THOUGHT LEADERSHIP. August 2016 DIVERSIFICATION MAY BE POISED FOR A COMEBACK MEMBER FINRA/SIPC LPL RESEARCH PRIVATE CLIENT THOUGHT LEADERSHIP INSTITUTIONAL INSIGHTS August 2016 DIVERSIFICATION MAY BE POISED FOR A COMEBACK MEMBER FINRA/SIPC During the first half of 2016, diversification has provided

More information

COMMODITIES AND A DIVERSIFIED PORTFOLIO

COMMODITIES AND A DIVERSIFIED PORTFOLIO INVESTING INSIGHTS COMMODITIES AND A DIVERSIFIED PORTFOLIO As global commodity prices continue to linger in a protracted slump, investors in these hard assets have seen disappointing returns for several

More information

Perspectives FEB Value Underperformance in the Current Market Cycle

Perspectives FEB Value Underperformance in the Current Market Cycle Perspectives FEB 2018 Underperformance in the Current Market Cycle With the value premium seemingly in decline, value investors have had a lot to complain about over the past ten years. Growth stocks continue

More information

Insights from Morningstar Investment Services. Market Volatility: A Guide to Riding the Waves

Insights from Morningstar Investment Services. Market Volatility: A Guide to Riding the Waves Insights from Morningstar Investment Services Market Volatility: A Guide to Riding the Waves If you ve invested for almost any length of time, you ve experienced at least one of those don t-look-at-your

More information

4Q17 Global & International Equity GLOBAL EQUITY. 10+ Years of Providing High Income Through Global Dividends

4Q17 Global & International Equity GLOBAL EQUITY. 10+ Years of Providing High Income Through Global Dividends 4Q17 Global & International Equity GLOBAL EQUITY INCOME FUND 10+ Years of Providing High Income Through Global Dividends A: HFQAX C: HFQCX I: HFQIX N: HFQRX S: HFQSX T: HFQTX Overall Morningstar Rating

More information

Summit Strategies Group 8182 Maryland Avenue, 6th Floor St. Louis, Missouri

Summit Strategies Group 8182 Maryland Avenue, 6th Floor St. Louis, Missouri Summit Strategies Group 8182 Maryland Avenue, 6th Floor St. Louis, Missouri 63105 314.727.7211 Quarterly Review Global Equity Market Update GLOBAL EQUITY MARKETS CALENDAR YEAR RETURNS 2002 2003 2004 2005

More information

PERSPECTIVE ON MARKET VOLATILITY

PERSPECTIVE ON MARKET VOLATILITY LPL RESEARCH WEEKLY MARKET COMMENTARY October 15 2018 PERSPECTIVE ON MARKET VOLATILITY John Lynch Chief Investment Strategist, LPL Financial Ryan Detrick, CMT Senior Market Strategist, LPL Financial Jeffrey

More information

FUND OF HEDGE FUNDS DO THEY REALLY ADD VALUE?

FUND OF HEDGE FUNDS DO THEY REALLY ADD VALUE? FUND OF HEDGE FUNDS DO THEY REALLY ADD VALUE? Florian Albrecht, Jean-Francois Bacmann, Pierre Jeanneret & Stefan Scholz, RMF Investment Management Man Investments Hedge funds have attracted significant

More information

January Effect Boosts Equities

January Effect Boosts Equities Analyst Tan Xuan +6565316001 tanx@phillip.com.sg January Effect Boosts Equities Executive Summary Equities Positive investors sentiments and improving macroeconomics in US gave a boost to global equities

More information

Article from: Risk Management. March 2015 Issue 32

Article from: Risk Management. March 2015 Issue 32 Article from: Risk Management March 2015 Issue 32 VIX & Tails: Hedging With Volatility By Rocky Fishman 9 8 7 6 5 4 3 1 REGIME: SINGLE-DIGIT RV RARE Apr-04 Jan-05 Sep-05 Jun-06 Mar-07 Dec-07 Sep-08 Jun-09

More information

OUTLOOK 2014/2015. BMO Asset Management Inc.

OUTLOOK 2014/2015. BMO Asset Management Inc. OUTLOOK 2014/2015 BMO Asset Management Inc. We would like to take this opportunity to provide our capital markets outlook for the remainder of 2014 and the first half of 2015 and our recommended asset

More information

PCA INVESTMENT MARKET RISK METRICS. Monthly Report

PCA INVESTMENT MARKET RISK METRICS. Monthly Report PCA INVESTMENT MARKET RISK METRICS Monthly Report June 2017 Takeaways Equity volatility measure (VIX) ended the month at extremely low levels, lowest since the global financial crisis, after a brief inter-month

More information

ETFs 304: Effectively Using. Alternative, Leveraged & Inverse ETFs. Dave Nadig. Paul Britt, CFA Senior ETF Specialist ETF.com

ETFs 304: Effectively Using. Alternative, Leveraged & Inverse ETFs. Dave Nadig. Paul Britt, CFA Senior ETF Specialist ETF.com ETFs 304: Effectively Using Dave Nadig Chief Investment Officer ETF.com Alternative, Leveraged & Inverse ETFs Paul Britt, CFA Senior ETF Specialist ETF.com ETFs 304 - Questions 1. Do geared ETFs have a

More information

Option Strategies for a Long-Term Outlook

Option Strategies for a Long-Term Outlook Option Strategies for a Long-Term Outlook Interactive Brokers Webcast June 20, 2018 Russell Rhoads, CFA Disclosure Options involve risk and are not suitable for all investors. Prior to buying or selling

More information

The All Asset Fund: Seeking Returns When U.S. Markets Are Fully Valued

The All Asset Fund: Seeking Returns When U.S. Markets Are Fully Valued STRATEGY SPOTLIGHT September 2017 The All Asset Fund: Seeking Returns When U.S. Markets Are Fully Valued AUTHORS Brandon Kunz Asset Allocation Specialist Research Affiliates John Cavalieri Asset Allocation

More information

W.E. Donoghue Power Dividend Total Return Index TM (PWRDXTR)

W.E. Donoghue Power Dividend Total Return Index TM (PWRDXTR) W.E. Donoghue Power Dividend Total Return Index TM (PWRDXTR) A Tactical Dividend Strategy for Today s Low Yield World For more information call: 800 642-4276 S&P 500 Index Since the Turn of the Millennium

More information

The Impact of Exchange Traded Funds on Intraday Correlations Weeden & Co. Program Trading Group April 11, 2013

The Impact of Exchange Traded Funds on Intraday Correlations Weeden & Co. Program Trading Group April 11, 2013 The Impact of Exchange Traded Funds on Intraday Correlations Weeden & Co. Program Trading Group April, 23 Abstract. The proliferation of exchange traded funds over the past decade has raised concern around

More information

The Conversation We ll Be Having for Years to Come

The Conversation We ll Be Having for Years to Come LEADERSHIP SERIES SEPTEMBER 2017 A feature article from our U.S. partners The Conversation We ll Be Having for Years to Come It s time to consider what a return to conventional monetary policy could mean

More information

Fourth Quarter 2015 Market Review. March 2016

Fourth Quarter 2015 Market Review. March 2016 Fourth Quarter 2015 Market Review March 2016 Agenda Market Review Investment Outlook and Portfolio Positioning 2 2015 was a Challenging Year for Investment Returns Last year was the first time since 2001

More information

The Predictive Power of Weekly Fund Flows By Bernd Meyer, Joelle Anamootoo and Ingo Schmitz

The Predictive Power of Weekly Fund Flows By Bernd Meyer, Joelle Anamootoo and Ingo Schmitz The Predictive Power of Weekly Fund Flows By Bernd Meyer, Joelle Anamootoo and Ingo Schmitz June 2008 THE TECHNICAL ANALYST 19 Money flows are the ultimate drivers of asset prices. Against this backdrop

More information

Aspiriant Risk-Managed Equity Allocation Fund RMEAX Q4 2018

Aspiriant Risk-Managed Equity Allocation Fund RMEAX Q4 2018 Aspiriant Risk-Managed Equity Allocation Fund Q4 2018 Investment Objective Description The Aspiriant Risk-Managed Equity Allocation Fund ( or the Fund ) seeks to achieve long-term capital appreciation

More information

Media Headlines Will Lead You To Ruin

Media Headlines Will Lead You To Ruin Media Headlines Will Lead You To Ruin January 16, 2017 by Lance Roberts of Real Investment Advice The post-election euphoria has been quite amazing as the markets have surged more than 8% since then. Of

More information

WILL GOLD CONTINUE TO SHINE?

WILL GOLD CONTINUE TO SHINE? LPL RESEARCH WEEKLY MARKET COMMENTARY March 7 216 WILL GOLD CONTINUE TO SHINE? Burt White Chief Investment Officer, LPL Financial Jeffrey Buchbinder, CFA Market Strategist, LPL Financial KEY TAKEAWAYS

More information

A Novel Business Cycle Multi-Asset Allocation Strategy

A Novel Business Cycle Multi-Asset Allocation Strategy BUSINESS CYCLE ASSET ALLOCATION A Novel Business Cycle Multi-Asset Allocation Strategy May, 2017 Proforma Performance Comparison AASE Strategy v. S&P500 v. Stock/Bond Portfolio Proforma Performance Comparison

More information

THIS QUARTER S THEMES

THIS QUARTER S THEMES NOT FDIC INSURED NO BANK GUARANTEE MAY LOSE VALUE In the Know Stay up-to-date on ETFs October 2018 STAY IN THE KNOW WITH ETFs We are dedicated to providing valuable information that empowers better decisions

More information

QXMI Fund Profile. QuantX Risk Managed Multi-Asset Income ETF. Allocation Category Diversified Fixed Income / Credit

QXMI Fund Profile. QuantX Risk Managed Multi-Asset Income ETF. Allocation Category Diversified Fixed Income / Credit Fund Profile Quant Allocation Category Diversified Fixed / Credit Strategy Overview Quant is a diversified income solution that targets higher levels of income and capital appreciation and reduced volatility

More information

Value versus Growth: History Stands on the Side of Value Investing

Value versus Growth: History Stands on the Side of Value Investing Value versus Growth: History Stands on the Side of Value Investing October 2015 Executive Summary Since the global financial crisis struck in 2008, we have been witnessing a new chapter in the history

More information

Monthly Stock Market Report

Monthly Stock Market Report May 1, 22 Monthly Stock Market Report This document is for internal use only. The document or any of its contents should not be distributed outside of the Federal Reserve System without permission. Market

More information

A Novel Business Cycle Multi-Asset Allocation Strategy

A Novel Business Cycle Multi-Asset Allocation Strategy BUSINESS CYCLE ASSET ALLOCATION A Novel Business Cycle Multi-Asset Allocation Strategy June, 2017 Proforma Performance Comparison AASE Strategy v. S&P500 v. Stock/Bond Portfolio Proforma Performance Comparison

More information

US Financial Market Update for March Prepared for the Market Technicians Association

US Financial Market Update for March Prepared for the Market Technicians Association US Financial Market Update for March 2016 Prepared for the Market Technicians Association March 16 th, 2016 About Asbury Research Research, Methodology & Clientele Our Research: Asbury Research, established

More information

Volatility as a Tradable Asset: Using the VIX as a market signal, diversifier and for return enhancement

Volatility as a Tradable Asset: Using the VIX as a market signal, diversifier and for return enhancement Volatility as a Tradable Asset: Using the VIX as a market signal, diversifier and for return enhancement Joanne Hill Sandy Rattray Equity Product Strategy Goldman, Sachs & Co. March 25, 2004 VIX as a timing

More information

PCA INVESTMENT MARKET RISK METRICS

PCA INVESTMENT MARKET RISK METRICS PCA INVESTMENT MARKET RISK METRICS Monthly Report March 2018 (as of 2/28/18) Takeaways February was extremely volatile on an intramonth basis, and the final month results were the worst since early-2016

More information

Predicting Market Trends

Predicting Market Trends Predicting Market Trends Scottsdale AAII December 2018 The Miller Report A newsletter that discusses market trends Three E-co-no-me-tri-cians Go Hunting Why did God create economists? To make weather forecasters

More information

Debunking some misconceptions about indexing

Debunking some misconceptions about indexing Research note Debunking some misconceptions about indexing Vanguard research December 2010 Author Christopher B. Philips, CFA Although the indexing strategy has proven to be successful since its beginnings

More information

Stock Market Report. January 21, 2004

Stock Market Report. January 21, 2004 January 21, 24 Stock Market Report Market Analysis for Period Ending Friday, January 16, 24 This document presents technical and fundamental analysis commonly used by investment professionals to interpret

More information

UBS Asset Management. Why dividends matter. Finding yield in a low interest rate environment

UBS Asset Management. Why dividends matter. Finding yield in a low interest rate environment UBS Asset Management Why dividends matter Finding yield in a low interest rate environment Harvesting yield Strong free cash flow generation and healthy balance sheets underpin the case for companies to

More information

New Risk Management Strategies

New Risk Management Strategies Moderator: Jon Najarian, Co-Founder, optionmonster.com New Risk Management Strategies Wednesday, May 4, 2011; 2:30 PM - 3:45 PM Speakers: Jim Lenz, Chief Credit and Risk Officer, Wells Fargo Advisors John

More information

Global Equities. Q&A roadshow #QAroadshow2016. Gavin Marriott Product Manager

Global Equities. Q&A roadshow #QAroadshow2016. Gavin Marriott Product Manager Global Equities Q&A roadshow 216 #QAroadshow216 Gavin Marriott Product Manager June 216 For professional advisers only. This material is not suitable for retail clients Questions What will drive global

More information

How to evaluate factor-based investment strategies

How to evaluate factor-based investment strategies A feature article from our U.S. partners INSIGHTS SEPTEMBER 2018 How to evaluate factor-based investment strategies Due diligence on smart beta strategies should be anything but passive Original publication

More information

Why Active Now in U.S. Large-Cap Equity

Why Active Now in U.S. Large-Cap Equity LEADERSHIP SERIES Why Active Now in U.S. Large-Cap Equity With changing economic and market conditions, the time may be right for actively managed U.S. large-cap funds to take the lead. Darby Nielson,

More information

The What And Why Of LDI

The What And Why Of LDI The What And Why Of LDI KEY TAKEAWAYS > Demand for fixed income Liability Driven Investment (LDI) strategies is being pushed higher by rising corporate pension funding levels and corporate tax reform deadlines

More information

PCA INVESTMENT MARKET RISK METRICS

PCA INVESTMENT MARKET RISK METRICS PCA INVESTMENT MARKET RISK METRICS Monthly Report August 2017 (as of 7/31/17) Takeaways Growth risk-based assets throughout the globe produced moderately positive returns during July, whereas U.S. interest

More information

Voya Indexed Universal Life-Protector

Voya Indexed Universal Life-Protector calculation examples Values as of 07/28/2018 Voya ed Universal Life-Protector Issued by Security Life of Denver Insurance Company Required training! VFA Registered Representatives must review the Required

More information

It s Time to Stop Thinking of the Financing Environment After the Global Financial Crisis as the New Normal (It s Just Normal)

It s Time to Stop Thinking of the Financing Environment After the Global Financial Crisis as the New Normal (It s Just Normal) 214 Capital Markets Report Chapter 6 It s Time to Stop Thinking of the Financing Environment After the Global Financial Crisis as the New Normal (It s Just Normal) by Desmond Lee & Michael Innes Slow economic

More information

The Compelling Case for Value

The Compelling Case for Value The Compelling Case for Value July 2, 2018 SOLELY FOR THE USE OF INSTITUTIONAL INVESTORS AND PROFESSIONAL ADVISORS 0 Jan-75 Jan-77 Jan-79 Jan-81 Jan-83 Jan-85 Jan-87 Jan-89 Jan-91 Jan-93 Jan-95 Jan-97

More information

Technical Analysis: Market Insight

Technical Analysis: Market Insight Technical Analysis: Market Insight October 1987 vs. October 2017 Today (Oct. 19, 2017) marks the 30 th anniversary of Black Monday a global market crash during which the S&P 500 dropped 20% in one day.

More information

Monthly Stock Market Report

Monthly Stock Market Report October 23, 23 Monthly Stock Market Report This document is for internal use only. The document or any of its contents should not be distributed outside of the Federal Reserve System without permission.

More information

Investing During The Trump Administration: Opportunity & Danger

Investing During The Trump Administration: Opportunity & Danger Investing During The Trump Administration: Opportunity & Danger Prepared for the Los Angeles Chapter of the American Association of Individual Investors (AAII ) June 17 th, 2017 About Asbury Research John

More information

A Multi-perspective Assessment of Implied Volatility. Using S&P 100 and NASDAQ Index Options. The Leonard N. Stern School of Business

A Multi-perspective Assessment of Implied Volatility. Using S&P 100 and NASDAQ Index Options. The Leonard N. Stern School of Business A Multi-perspective Assessment of Implied Volatility Using S&P 100 and NASDAQ Index Options The Leonard N. Stern School of Business Glucksman Institute for Research in Securities Markets Faculty Advisor:

More information

WisdomTree & Currency Hedging FOR FINANCIAL PROFESSIONAL USE ONLY. FOR FINANCIAL PROFESSIONAL USE ONLY.

WisdomTree & Currency Hedging FOR FINANCIAL PROFESSIONAL USE ONLY. FOR FINANCIAL PROFESSIONAL USE ONLY. WisdomTree & Currency Hedging Currency Hedging in Today s World The influence of central bank policy Gauging the impact currency has had on international returns Is it expensive to hedge currency risk?

More information

FAS Monthly Economic & Market Update

FAS Monthly Economic & Market Update FAS Monthly Economic & Market Update December 2016 As of Nov 30, 2016 Copyright 2016 Financial Advisory Service, Inc. 1 Contents Economic Conditions 3 Market Conditions 4 A Leg-Up for Active Management?.....

More information

The Swan Defined Risk Strategy - A Full Market Solution

The Swan Defined Risk Strategy - A Full Market Solution The Swan Defined Risk Strategy - A Full Market Solution Absolute, Relative, and Risk-Adjusted Performance Metrics for Swan DRS and the Index (Summary) June 30, 2018 Manager Performance July 1997 - June

More information

2017 Strategy Review. CAN SLIM Investment Program. 1 Cash Scaling

2017 Strategy Review. CAN SLIM Investment Program. 1 Cash Scaling 2017 Strategy Review CAN SLIM Investment Program December 31, 2017 The following report provides in-depth analysis into the objective, investment process, and the successes and challenges of the strategy

More information

Investment Update. Balanced Portfolio July 2018 RUSSELL INVESTMENTS

Investment Update. Balanced Portfolio July 2018 RUSSELL INVESTMENTS RUSSELL INVESTMENTS Investment Update Balanced Portfolio July 2018 This report is designed for use by the financial advisor to assist in making a personal recommendation or managing investments for the

More information

Commentary. CBOE Volatility Index (VIX) Brexit Election VIX

Commentary. CBOE Volatility Index (VIX) Brexit Election VIX LongRun Monthly Strategy Review Mar 2018 AR -0.7% AG -2.9% TMG -2.3% SP500-2.7% GDP 0.0% Commentary I finished last month s commentary with a caution that equity markets might retest the lows of February

More information

Adverse Active Alpha SM Manager Ranking Model

Adverse Active Alpha SM Manager Ranking Model CONSULTING GROUP INVESTMENT ADVISOR RESEARCH DECEMBER 3, 2013 Adverse Active Alpha SM Manager Ranking Model MATTHEW RIZZO Vice President Matthew.Rizzo@ms.com +1 302 888-4105 Introduction Investment professionals

More information

THE HARLEY MARKET LETTER Trading Day (TD) High-High Cycles Derivation: (144 / 5) X 2) = 128.8

THE HARLEY MARKET LETTER Trading Day (TD) High-High Cycles Derivation: (144 / 5) X 2) = 128.8 THE HARLEY MARKET LETTER May 4, 212 Vol. 14, No. 3 128.8 Trading Day (TD) High-High Cycles Derivation: (144 / 5) X 2) = 128.8 Advanced Technical Analysis of the Financial Markets STOCK MARKET Lower into

More information

BATSETA Durban Mark Davids Head of Pre-retirement Investments

BATSETA Durban Mark Davids Head of Pre-retirement Investments BATSETA Durban 2016 Mark Davids Head of Pre-retirement Investments Liberty Corporate VALUE Dividend yield Earning yield Key considerations in utilising PASSIVE and Smart Beta solutions in retirement fund

More information