Major developments are underway across the fixed income market. A few developments took place yesterday in the bond market that we deemed noteworthy enough to include as our “Charts Of The Day” on Twitter. One had to to do with the level of volatility in the bond market while the other highlighted a potentially important interest rate level being tested currently.
The following post was originally issued to The Lyons Share members on May 4, 2018. This obscure commodity index could well hold the key to identifying the next big directional move in commodities. After years of languishing, commodities have had a bit of a resurgence of late — or, at least a dead-cat bounce.
Importantly, the quintile of stocks with the highest beta meaningfully underperforms the stocks in the lowest-beta quintile in both U.S. and international markets — the highest-beta stocks provide the lowest returns while experiencing much higher volatility (explored in this simulation study). Over the last 50 years, defensive stocks have delivered higher returns than the most aggressive stocks, and defensive strategies, at least those based on volatility, have delivered significant Fama-French three-factor alphas. The superior performance of stocks with low idiosyncratic volatility was documented in the literature in the 1970s — by Fischer Black (in 1972) among others — even before the size and value premiums were “discovered.” The low-volatility anomaly has been demonstrated to exist in equity markets around the globe.
Working with a mentor, trading coach, or teacher can cut years off the learning curve. This is an important and powerful relationship, and I want to share some ideas for how you can get the most out of your work. Shoshin is a term from Zen Buddhism that means “beginner’s mind.” In practice, it means that we try to leave everything we think we know about a subject, and to approach study with openness, excitement, and as few assumptions as possible.
In the Stock Trader’s Almanac we show how the market trades around Memorial Day. In the table below we went back to 1971, the year the Uniform Monday Holiday Act took effect, moving Memorial Day and most other federal holidays to Monday. In what used to be the “May/June Disaster area” the S&P was down 15 of 20 Mays from 1965 to 1984.
There are three universal dimensions of return that drive the performance of all strategies—regardless of investment style or asset class: consistency, magnitude, and conviction. If a position is held at a 1% weight and it appreciates 10% over the holding period, its contribution to return is 0.1% (1% X 10%).
While global trade wrinkles meet an iron this weekend, a few other articles need to find a steam press. Hope that you locked in your summer airfare prices, or are soon taking delivery of your Tesla. Capital outflows is the last thing that Argentina, Turkey and others need right now.
In principle, that insight should be based on the magnitude of underperformance, the length of underperformance, and the initial conviction to the decision to invest in the asset (your “prior”). Actually, some research suggests that even three years of underperformance may be too long to be tolerated for some individuals. Obviously, the investment conviction is either 1) very weak or 2) non-existent if several years of underperformance makes one change their mind. I argue that the conventional practice of chasing the past 3 to 5 years of past returns is suboptimal.
Over the last 21 years, DJIA has advanced just 47.6% of the time during the week before Memorial Day weekend. Of the five major indices we frequently cite, it is the weakest averaging a 0.29% loss. S&P 500, NASDAQ and Russell 1000 are better, but average performance over the last 21 years is still just a fractional gain.
The financial markets are in a state of suspended animation pending resolution of the NAFTA and China trade negotiations and Trump’s meeting with Kim Jong-un to denuclearize the Korean peninsula. The long end, nevertheless, is being held down from what it might be due to huge capital flows from abroad as the yield differential has widened once again.
Se você tomou a importante decisão de se tornar vegano, é provável que você estaja sendo difícil de descobrir receitas veganas e seguir uma dieta equilibrada.
Thor Industries Inc. is an American based manufacturing company whose principal business involves the manufacture and sale of recreational vehicles. The company’s common stock has fluctuated between a high of $161 and a low of $88 over the past 52 weeks and currently stands at around $96. Is Thor Industries Inc. undervalued at the current price?
- Amedisys, Inc - a company providing home health and hospice care - has been on the rises - the Leaderboard at Investors Business Daily gave us this view. Note that this view shows us a drift of volume down as the chart rises in general, suggesting that the appetite for accumulation is slowing. If the choice is to keep the stock for a shorter cycle, it is better to wait for it to retrace to a proper buy point.
This breakout is no surprise for TLS members as we’ve been expecting it for some time. Let’s get one thing straight — a breakout to decade highs is not a bearish development. Thus, should the budding rally in the U.S. Dollar continue further, it could very well be a tailwind for Eurozone equities — though, not necessarily for U.S.-based European equity funds.
The NYSE Advance-Decline Line is back at all-time highs – does that mean the S&P 500 will follow suit? Typically, the topic revolves around either one sector hitting a milestone while another fails to do so (e.g., the Dow Theory involving the Dow Transports and Industrials), or a situation where an index is hitting a milestone while the broader market (e.g., breadth or internals) lags behind. Today, we take a look at current circumstances involving the latter type of divergence – but in the opposite direction.
With the announcement of three separate master limited partnership simplification transactions on May 17 alone, we must revisit our thesis that the business structure may not be in it for the long haul. At Valuentum, we continue to believe the master limited partnership (MLP) business model is at risk over the long haul, and recent news from the space only seems to support the notion that the MLP model we once knew may be fading more quickly than some had expected. If there is nothing inherently wrong with the structure of MLPs, then the rate at which simplification transactions are occurring would certainly be an alarming development, but we continue to point to factors such as the need for robust levels of outside capital financing for growth and an industry-wide preference for selective cash flow measures that do not properly account for capital needed for growth but prop up lofty yields and distribution-based valuation as key causes for concern.
The Capital Asset Pricing Model (CAPM) indicates returns should go up linearly as beta increases (in other words, risk and return are positively related). The highest-beta stocks provide the lowest returns while experiencing much higher volatility. Susan E. K. Christoffersen and Mikhail Simutin contribute to the literature with their study, “On the Demand for High-Beta Stocks: Evidence from Mutual Funds,” which appears in the August 2017 issue of The Review of Financial Studies.