Some investors have been incorporating “res vol” or residual volatility into their investment disciplines over the last couple of years. In fact, some “multi-strat” or “pod” portfolio managers have confided in us that “res vol” is a well-used “arrow in the quiver” for many high-turnover, market-neutral strategies. Years ago, we had studied residual volatility and
The huge market move in November has investors questioning whether there will be a sharp rotation in December or January. Some investors feel encouraged about the broadening of the rally and believe that is a proxy for better things to come. We are not convinced. Our explanation is a simple one. US Treasury Yields fell,
The huge rally in November saw both growth and value participation. We wanted to highlight some of the major themes for investors who may have missed some of our work this month – including on growth and value investing. Important themes include: Growth Beta – The Honest Way to Evaluate Growth Investors Is Quality Even
The revenue growth of the S&P500 is remarkably steady. From 2005 through the 2024 bottom-up forecasts, the 20-year revenue per share growth of the S&P500 (excluding Financials and REITs) has been 6.75% (see below). There have been only three down years during that period, and only one (2015) which was not the result of a
Three months ago, we launched an industrials-focused product, given the sector’s importance in the broader equity market. In addition to providing industry -level recommendations not just sector level – we have focused on themes relevant to industrials portfolio managers and analysts, as well as generalist PMs who want periodic and differentiated updates on the industrials
We love it when the year-ahead outlooks come out from the bulge bracket firms. Not only having seen how the sausage is made, but having been a sausage maker, we always have the same thought – it is possible every one of the economists and strategists is wrong, but it is not possible they are
Click here to read Trivariate’s recent research note on Quality Value Investing.
Summary: We have developed a proprietary quantitative model to predict subsequent stock returns for all Industrials stocks that are not: (1) hyper growth, (2) high dividend yielding, (3) cheap for a reason, and (4) in the lowest quality quartile of our substance model we label “junk.” The model consists of seven signals that are intentionally
In our two recent notes on growth investing, we concluded that low “growth beta”, high quality growth stocks outperform, and avoiding the fastest growing growth stocks is prudent. Given the positive feedback we received on our growth quality framework, we decided to investigate quality investing in the value universe in today’s research. Less than 10%
The rally in the 10-year bond from 4.99% in mid-October to 4.66% today catalyzed a strong stock market rally. Nearly an annual rate of return (7.23% for the S&P500, 9.55% for the Nasdaq, and 4.18% for the Russell 2000) has been achieved over the last ten trading sessions. We always say that nothing changes investor
