Mean Regression

  Institutional Investors with over $100 million in investments are required to file 13F forms with SEC on a quarterly basis. The 13F filings include record the investment changes made by the various investors. Analysis of these filings gives a glimpse of what these big investors are (or more accurately ‘were’) thinking, the securities they are backing, and the securities they are backing out of. Of course, since these are delayed filings, the buy and sell decisions cannot be directly interpreted with current state of the market. None the less it certainly offers opportunity for some healthy analysis. Bloomberg FLNG command produces useful 13F information aggregated across various cross-section of institutional investors including Banks, Hedge Funds, Family Office etc.   I have run some analysis just focusing on Hedge Funds. Here are a couple of quick results. Change from last Quarter & Sector Weights for Q1, 2021 Sector Total Number of Selloffs ...

This is part-4 of the Russell ETF series in studying underlying market trends for US equities. Last time we looked at various momentum ETFs. Now we review ETF covering various different factors. At the moment US equities market is witnessing a series of down days; especially for the tech and growth stocks. May 12 witnessed 2.67% drop for Nasdaq, retreating back to beginning of the year level (Chart 1), and 2.15% drop for S&P 500. Liz Ann Sonders of Charles Schwab advised to follow value factor across the market vs. focusing on specific sectors that might be traditionally associated with value. So we’re analyzing factor-based ETFs, again focusing on the Russell family. Below table lists various ETF focusing on Yield, Low Volatility, Low Beta in addition to Momentum, Growth and Value that we have already seen previously. Name Ticker Russell Index ETF_Theme iShares Russell 1000 Growth ET IWF US 1000 Growt...

This is the third installment of the ETF series. The goal is to study and use ETFs based on Russell family of indices to analyze historic and emerging trends and rotations. So far we have covered ETFs based on segmented by market-caps, and then using Value and Growth factors across. Almost 50% of Russell 1000 companies and about 62% of SP500 companies have released Q1, 2021 earnings. The records have been stellar but the stock market refuses to react to the positive news. Analyzing the IWB ETF we can see that so far Russell 1000 companies have registered 26.73% positive Earnings Surprise and almost 53% YoY Earnings growth. But we don’t see that reflected in the stock market. And market participants are eagerly watching every macro indicator for signs of inflation, reopening acceleration or weakness, vaccination status for clues. The biggest risk seem to be inflation with rising interest rates and/or hiccup in the reopening story. The market is fearful of a correction. The rationa...