May 2025 Update
May 1, 2025 – While the S&P 500 index was almost unchanged in April, the dollar remained extremely weak, ending the month down over 4%. Since the beginning of February 2025, the S&P 500 index is down 6%, though this reflects a large bounce off the early-April lows. The dollar, on the other hand, is […]
QuantStreet Performance May 2025
5/1/2025 — 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 Gold Investment Thesis Revisited
4/20/2025 — We wrote last year that gold typically does well when the Fed begins a monetary easing cycle. Since that time, the Fed has cut its interest rate target by 1%. And gold (IAU) has been one of the best performing asset classes with gains outstripping the S&P 500 index (SPX), Treasuries (VGIT), Nasdaq […]
Narrative Epidemics
4/4/2025 — To go along with my LinkedIn post on this topic, here are close-ups of the charts from Google Trends. And here is a figure from Shiller’s paper:
April 2025 Update
April 2, 2025 – To summarize the market action of March of 2025 in one chart: U.S. stocks (SPX) did poorly, international stocks (especially Europe, VGK) did well in dollar terms, and gold (IAU) did spectacularly well. The main culprit appears to market concerns about the Trump administration’s tariff policies. President Trump’s 4pm tariff announcement […]
QuantStreet Performance April 2025
4/1/2025 — 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 […]
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 […]