Research

Last week we wrote about how the restrictions managers make to their investable universes can significantly impact their performance. For instance, in a “restricted” universe of stocks based on liquidity and size, and eliminating “macro” sectors, 16.1% of stocks in the last 12 months have beaten the market by 20% or more, and 35.3% have

We are in a period of quantitative tightening, a hawkish Fed, rising inventory levels, and estimates that are likely excessively optimistic.  All of this has fueled one of the worst six-month stretches in a century for US stocks.  “High quality” businesses are down as much as “junk” businesses.  Given the broad sell-off, clients have asked

Trivariate’s research and advice centers around risk management. Today’s level set illustrates why decisions made by Chief Investment Officers (CIO) and Portfolio Managers (PMs) about portfolio construction and risk management can be far more important than bottom-up stock picking. Experienced bottom-up stock pickers have struggled to generate alpha over the last 18 months. Their process

With the NASDAQ down over 33% YTD, we believe it is a good time to evaluate the technology sector the Trivariate way – by analyzing the available alpha, macro relationships, quantitative signals, and fundamentals to see if the valuation reset has created any compelling dislocations or specific sub-industry, style, or stock opportunities.   Available alpha

Mixed sentiment: Sentiment continues to fluctuate as rapidly as the market indices heading into Q3 earnings season, but we think rhetoric is more negative than positioning. Investors started the quarter in a dour mood after one of the worst six-month periods for equities in the last one hundred years. Until Q2 and Q3 of this

This document is meant for those who want to sit down for 60-90 minutes, once a month, and take full stock of major issues impacting US equities. It includes a summary of all our idea generation, risk management, and macro data and services. For further information on our Quantitative Frameworks or to view our full

At the start of each quarter, we provide a detailed summary of the just completed quarter with the goal of helping investors make better investment decisions, in addition to provide insights that will facilitate investor communications, client conversations, and quarterly letters. Furthermore, our quarterly report seeks to identify emerging risk management concerns and give investment

In today’s research we assess the industrials sector the “Trivariate Way” by analyzing available alpha, macro conditions, fundamentals (growth and profits), valuation, quant signals and efficacy. Our proprietary industrial activity gauge has been declining for three months now, with key inputs like durable goods and ISM down and overall transportation data (trucks and rails) also

In today’s note, we identify a major reason why stock picking and alpha generation have been so challenging in recent months.  Fundamental investors often cite several variables when outlining their thesis to buy a stock. These variables include like revenue growth, EBITDA margin expansion, shareholder return (dividend plus buyback yield), price-to-free cash flow, and other signals.

Our focus over the last two weeks when writing the Level Set has been on corporate earnings. We detailed the primary risks to 2023 earnings, as well as our growing concern that SP500 2024 earnings could be below 2023. This week we pivot our focus to interest rates, which now sit at levels many market