Research

We have traditionally used valuation dispersion, company-specific risk, and pairwise correlation as quantitative metrics to suggest whether the environment is reasonable for alpha generation. In summary, the environment has looked more attractive than average. Yet, few managers have been performing in-line with our expectations. Hence, we analyzed the data with more granularity and found five meaningful reasons why alpha generation has been more challenging in 2021…

We have just seen historic upward revisions for cyclicals. We created a framework including profitability, stock performance, and valuation to discriminate between cyclical industries following strong upward revisions. We found that…

Many US equity managers have substantial positions in Chinese ADRs like Baidu, Alibabe, Tencent, and JD.com. With Chinese equities sharply selling off over the last several weeks, we investigated BATJ exposures through the lens of US equities. We conclude that US investors need to be highly confident in the alpha from BATJ to take on the incremental risk of owning them…

We take a detailed look at the banks sector and uncover four investment controversies facing bank stock investors and three data points to monitor. We think these concepts apply broadly to investors in other industries as well…

We created twelve proprietary indices using over 100 variables that systematically process “macro” data. We smooth and transform the data to create twelve gauges of where we are in the investing world today. We then measure model efficacy during various regimes and use performance to recommend gross exposures. Today we recommend grossing up the following…

Faster (slower) growth means disproportionately higher (lower) multiples. We analyzed the revenue growth rates of all non-value companies and observed a sustained non-linear relationship…

We think portfolio managers should be buying growth stocks again, focusing on positive free cash flow and margin expansion, not earnings-based valuation…

We strongly recommend equity investors run a portfolio with low gross exposure to REITs as we see several signs that make investment in REITs particulary risky today…

This recovery since March of 2020 has allowed the path of March of 2009 in many ways…

Last week in our first inflation note, we tackled the relationship between stock returns and interest rates, concluding that healthcare services and technology hardware..