June’s publication summarizes three articles on the predictability of equity returns. The first discusses the interaction of buybacks and dividends in the cyclically adjusted total yield metric; the second considers whether profitability metrics can signal periods of outperformance; and the third reviews the usefulness of 16 different variables in timing markets.
No. Both the asset level of the alternative beta universe and the trading volume associated with smart beta exchange-traded funds (ETFs) are still much too small to meaningfully impact most active managers.
We remain neutral on Japanese stocks despite attractive valuations and near-term earnings potential in view of daunting intermediate-term macro challenges.
How much faith can investors put in the signs given by various “predictive” indicators? In this brief, we look at five indicators that have been in vogue in recent years, and review their track record.
This chart book presents representative long-only and hedge fund manager performance for first quarter 2017. The median Emerging and Frontier Markets Equity manager posted the highest return for the quarter (11.9%), while the median US Small-Cap Value manager posted the highest return for the trailing one-year period (23.7%). The median Cash Management manager posted the lowest return for the quarter (0.3%); for the trailing one year, the median manager in only one strategy, Global ex US Bonds, posted a negative return (-1.3%).
Although the election results provide a powerful “risk-on” catalyst in the short term, the underlying long-term problems facing France and the Eurozone are unlikely to go away under a Macron presidency, so the old adage “sell in May and go away” may be vindicated yet again.
We don’t think so. Investors with diversified portfolios already have some cushion if equities sell off, and trying to time the market by buying derivatives or substantially reducing equity exposure is rife with behavioral risks.
Calendar year 2016 marked the first time since 2009 that emerging markets managers underperformed the MSCI Emerging Markets Index gross of fees. This chart book is our annual summary of the absolute and relative performance of managers that report to our database. New exhibits this year examine managers’ sector and geographic allocations relative to the index and assess the presence/absence of factors that can create a more favorable environment for active management.
Calendar year 2016 marked only the third time in the past ten years that global equity managers underperformed the MSCI World Index. This chart book is our annual summary of the absolute and relative performance of managers that report to our database. New exhibits this year examine managers’ sector and geographic allocations relative to the index, as well as the impact of US equities on performance.
In over 35 different analyses and 100 charts, our annual report on the history of global markets provides context for the range of returns investors can expect from equities, bonds, and cash; reveals the importance of various components of equity returns; examines the evidence for equity mean reversion; and reviews the relationship between initial valuations and subsequent returns for equities and bonds. This year’s edition includes new sections on recent trends in the macro environment and business cycles, as well as several new exhibits in other sections. The appendix to this report shows year-by-year, cumulative, and average annual compound returns for as much as 117 years of market data for Australia, Japan, the UK, and the US.