Downside Protected Strategies: Relative Value
March 18, 2025 — In a recent piece, we analyzed the construction of downside protected strategies. Here we propose a measure of the relative attractiveness of these strategies over time and examine their historical performance. To briefly recap, using one-year T-bills and call options (or using the underlying stock and one-year put and call options), […]
Downside Protected Strategies
March 4, 2025 — Recently, downside protected ETFs have garnered a lot of investor attention. These products are long the stock market—via different indexes—and use options to create downside-protected payoffs. To take one example, Calamos offers CPSR, a downside protected ETF tied to the S&P 500 index with a payout on or before February 27, […]
March 2025 Update
March 2, 2025 – We wrote in last month’s letter that the U.S. stock market had to meet lofty earnings expectations to maintain its strong performance relative to global benchmarks, while the latter had a lower bar because of considerably cheaper valuation multiples and higher dividend yields. Over the last month, investors have started to […]
QuantStreet Performance March 2025
3/1/2025 — The following analysis shows the performance of QuantStreet’s separately managed account strategies against benchmarks. The analysis starts on the launch date of each separately managed account strategy. Strategy Summary QuantStreet Strategy Start Date Risk Level Fee (bps) Balanced 8/16/2023 60/40 40 Core 12/1/2021 85/15 40 Aggressive 11/17/2022 95/5 40 All performance is shown […]
February 2025 Update
February 2, 2025 — The DeepSeek blip notwithstanding (our initial take on the news is here), January 2025 was a good month for financial markets. The S&P 500 was up a robust 2.7%, though Nasdaq lagged (largely due to DeepSeek, in our opinion) with “only” a 1.7% monthly return. Leading the charge were gold and […]
QuantStreet Performance February 2025
2/1/2025 — The following analysis shows the performance of QuantStreet’s separately managed account strategies against benchmarks. The analysis starts on the launch date of each separately managed account strategy. Strategy Summary QuantStreet Strategy Start Date Risk Level Fee (bps) Balanced 8/16/2023 60/40 40 Core 12/1/2021 85/15 40 Aggressive 11/17/2022 95/5 40 All performance is shown […]
The Mother of All Bubbles?
January 18, 2025 — In his recent FT piece “How ‘the mother of all bubbles’ will pop,” Ruchir Sharma lays out the case for why U.S. stock market outperformance relative to the rest of the world is unlikely to continue. Our view has been that the substantial outperformance of U.S. versus international markets has been […]
January 2025 Update
January 5, 2025 — After a strong November 2024, markets were generally down in December. The S&P 500 index was down 2.3%, while energy, small caps, value stocks, and REITs performed considerably worse. Nasdaq was a bright spot, up 0.5% in the month, as was the dollar and, despite dollar strength, commodities rallied as well. […]
QuantStreet Performance January 2025
1/2/2025 — The following analysis shows the performance of QuantStreet’s separately managed account strategies against benchmarks. The analysis starts on the launch date of each separately managed account strategy. Strategy Summary QuantStreet Strategy Start Date Risk Level Fee (bps) Core 12/1/2021 85/15 30 Aggressive 11/17/2022 95/5 30 Balanced 8/16/2023 60/40 30 All performance is shown […]
Does High CAPE Predict Low Market Returns?
December 16, 2024 — The cyclically adjusted price-to-earnings ratio is now elevated. But should that lead you to exit the stock market? Perhaps not. The predictive power of CAPE has waned meaningfully in recent years. CAPE, or the cyclically adjusted price-to-earnings ratio, introduced in 1988 by economists John Campbell and Robert Shiller, is arguably the […]