The Factor-Based Investing Channel

ECRI Weekly Leading Index: "Womenomics Falls Short for Japan"

Today's release of the publicly available data from ECRI puts its Weekly Leading Index (WLI) at 144.5, up slightly from the previous week. Year-over-year the four-week moving average of the indicator is now at 4.63%, unchanged from last week. The WLI Growth indicator is now at 2.5, down from the previous week.

The S&P 500: Just Say No

James Montier and Matt Kadnar, members of GMO’s Asset Allocation team, have just published a new white paper -- “The S&P 500: Just Say No” -- warning of the risks to investors throwing in the towel on valuation, diversification and active management in favor of a passive allocation to large-cap U.S. equities.

World Markets Update

All eight indexes on our world watch list have posted gains for 2017 through August 14. The top performer thus far is Hong Kong's Hang Seng with a gain of 23.86%, followed closely by India's BSE SENSEX at 18.11%. In third is our own S&P 500 with 10.14%.

Retirement Risk

When planning for retirement income, it helps to understand the various risks you may encounter, says Christine Russell, TD Ameritrade.

S&P 500 Snapshot: Down 1.43% from Last Week

The S&P has seen daily losses in 5 of the last 7 market days and closes the day with a loss of 1.43% from the previous week. The index is up 9.04% YTD.

Consumer Price Index: July Headline & Core Below 2% for Third Consecutive Month

The Bureau of Labor Statistics released the July Consumer Price Index data this morning. The year-over-year non-seasonally adjusted Headline CPI came in at 1.73%, up from 1.63% the previous month. Year-over-year Core CPI (ex Food and Energy) came in at 1.69%, down fractionally from the previous month's 1.70%.

Are Low Vol ETFs as Smart as They Sound?

“Smart Beta” ETFs and their low-volatility ETF progeny may deliver a lower beta against their relevant benchmarks, but they’re not immune to bouts of volatility, and their returns frequently come up short.

Is the U.S. Workforce At Full Recovery?

We've updated our monthly workforce analysis to include last week's Employment Report for July. The unemployment rate remained at 4.3%, and the number of new nonfarm jobs (a relatively volatile number subject to extensive revisions) came in at 209K.

Navigating an Uncertain Second Half

Receding political anxiety and a gathering economic recovery in Europe helped global equity markets advance in the first half of 2017. Yet Templeton Global Equity Group’s Cindy Sweeting and Tony Docal say investors should be somewhat cautious in the second half of the year.

Performance Trends Highlight Our Optimism on Foreign Stocks

Equity allocators should take note that performance trends in North America are deteriorating while they are picking up outside the US. In the table below, I show the recent performance of the sectors within our KLSU North America index...

Dynamic Asset Allocation for Practitioners, Part 3: Risk-Adjusted Momentum

In this article, we examine whether it pays to account for differences in the path assets take to produce their momentum. All other things equal, do investors express a short-term preference for assets that have produced their returns with less risk, where risk is measured broadly as having delivered a smoother ride?

On Value in the Emerging Markets

This paper seeks to understand if a value investing approach could be viable in emerging markets and identifies the specific drivers of value in these markets.

Interest Rates: How Superstar Firms Depress R‑Star

Over the past quarter century, large and ever-larger companies have significantly increased their share of total intra-industry sales across a majority of industries. These superstar firms – including Facebook, Amazon, Apple, Netflix and Alphabet’s Google (known collectively as FAANG) – increasingly dominate their respective industries in terms of revenues, profits and stock market capitalization. The winner these days may not take all, but most.

The Ambergris Factor

Ladies and gentlemen, investing is a lot like whaling. Investors are constantly searching for that whale of a stock with the “right stuff” . . . aka the “ambergris factor.” Indeed, there have been many such “whales” on the Street of Dreams since the Royal Bank of Scotland’s “sell everything” advice at the January/February of 2016 stock market lows.

The Labor Market Conditions Index Discontinued

The LMCI is a relatively recent indicator developed by Federal Reserve economists to assess changes in the labor market conditions. As of August 3, 2017, updates of the labor market conditions index (LMCI) have been discontinuedThe LMCI is derived from a dynamic factor model that extracts the primary common variation from 19 labor market indicators.