Archive | November, 2016

DM Equity Correlations at 23-Month Lows


Developed market equity correlations have significant decline since the beginning of September and now stand at the least correlated levels since 12/2014. The 65-day correlation of GKCI Developed Markets Index relative to the MSCI World Index is just 32% compared to 51% on 9/9/16. Looking under the hood we can see that the recent decline […]

Context For Yesterday’s Bond Sell-Off


Yesterday’s 21 bps move in 10-year bonds and 23 bps move in 30-year bonds was certainly a large selloff in bonds but not an especially large selloff from a historical context. What made the move feel bigger than it was is the fact that bond volatility has been rather low for the last couple of […]

Just How Big Is a Big Gross Margin?


Investors love to toss around fundamental data points that are pretty meaningless without context. They will say “company ABC has very high gross margins” or “company XYZ’s gross margin last quarter dropped 65 bps to 33.4%”. OK, but what does that actually mean within the broader context of the global equity market? Does 50% gross […]

VIX Flirts with Backwardation


As of today (and for the fourth time this year), investors are willing to pay a premium for spot VIX versus three-month futures on the VIX. With the recent spike in the spot VIX, it has thrown the curve into backwardation– a condition signalling that the VIX is set to fall from extreme levels and one […]

Factor Shift: What ISN’T Working Anymore


Regular readers are aware of our research showing that the Knowledge Effect is really a “super factor” (aka. one that outperforms considerably more consistently than more commonly recognized simple factors such as value, size, momentum, quality, or minimum volatility). For more details, see here, here, here, and here. Now, we take a look at what has worked […]

By 2030 Intangible Investment Could Be the Largest Component of Overall Business Investment in the US


The shifting composition of US business investment is accelerating once again. Out of the three categories of non-residential fixed investment (intangible property products, equipment, and structures), only intangible property products (IPP) is growing on a year-over-year basis. IPP has increased by nearly 6% over the past year while equipment and structures have declined by almost […]