Over the last three months, the ”beta trade” has been on. We slice all 1,600 companies in the MSCI World index into deciles from lowest beta to highest, and then we measure the performance of each decile.
While all major European markets are currently positive so far this year, equity performance has been led by Greece, Ireland, and Spain:
Over the last 3 months, every bank in Europe has outperformed the MSCI World Index, some by 50-70%. Two-thirds of the companies sell for below book value.
Even after the non-taper and government shutdown, TIPS yields are holding at an elevated level relative to recent trends. Have TIPS yields reset to a new range?
Over the last month, the European telecom, utility and financial sectors have been the leadership groups within the MSCI Europe Index. Interestingly, these three sectors are the highest yielding sectors in Europe. Stock performance seems to reflect the strength in the Euro/USD.
We often group stocks into either cyclical or counter cyclical baskets based on their GICS sector, and then measure the attributes of each group. The below chart shows the 20 day volatility of the counter cyclical basket of stocks relative to the cyclical basket.
Without any decisive economic data to influence its actions one way or another, the BOE opted to maintain its benchmark rate and the level of its bond-buying program:
Quest Diagnostics estimated today that their 3Q EPS will be below analyst expectations. This has sent the stock lower in light of the rally today.
A similar chart to one we posted last week that showed the percent of stocks trading above their 5 year average valuation, the one below shows the percent of stocks that are trading within 25% of their highest valuation level over the last 5 years.
Initial unemployment claims were hit by a variety of ”one-off” factors including an IT upgrade in California and temporary layoffs in the private sector due to the government shutdown. The 4-week moving average moved from 305k to 325k.