Global Multi-Asset Investment Strategist, True Insights

Jeroen Blokland

Global Multi-Asset Investment Strategist

Build Well-Diversified Multi-Asset Portfolios

True Insights

Our research helps investors build well-diversified multi-asset portfolios and profit from market developments. In addition, our unique and proven Macro – Sentiment – Valuation (MSV) investment framework ensures a consistent flow of new investment opportunities. Together with our market views, these opportunities will be reflected in our live ETF-based Global Multi-Asset Portfolios.

Cross Asset Strategy

<ul>
<li>History shows that stock market bubbles - a 100% price boom within a year, followed by a 50%+ crash in the following year - are extremely rare.</li>
<li>We apply this metric to current market dynamics and conclude there are no booms around these days.</li>
<li>When expanding the definition of a bubble, two of them appear but only in a small subset of the total stock market: Non-profitable Tech stocks and NVIDIA.</li>
</ul>


History shows that stock market bubbles - a 100% price boom within a year, followed by a 50%+ crash in the following year - are extremely rare.
We apply this metric to current market dynamics and conclude there are no booms around these days.
When expanding the definition of a bubble, two of them appear but only in a small subset of the total stock market: Non-profitable Tech stocks and NVIDIA.


Bubble or Breadth: Evaluating the State of the Stock Market

<ul>
<li>A comprehensive empirical study by Goetzmann (2016) covering more than 3000 stock market-years in 21 stock markets between 1900 and 2014 reveals that bubbles are incredibly scarce.</li>
<li>The likelihood of the stock market declining by 50% (crash) within a year after a rise of 100% or more (boom) in the previous year is only just 4%.</li>
<li>Interestingly, stock prices rose by another 100% after a rise of 100% or more (boom) in over 8% of the cases. These findings will not resonate well with perpetual bears.</li>
</ul>


A comprehensive empirical study by Goetzmann (2016) covering more than 3000 stock market-years in 21 stock markets between 1900 and 2014 reveals that bubbles are incredibly scarce.
The likelihood of the stock market declining by 50% (crash) within a year after a rise of 100% or more (boom) in the previous year is only just 4%.
Interestingly, stock prices rose by another 100% after a rise of 100% or more (boom) in over 8% of the cases. These findings will not resonate well with perpetual bears.


Before You Call Artificial Intelligence a Bubble, Understand that Bubbles Are Rare!

Technical Analyst, Vermilion Research

Joe Jasper

Technical Analyst

Technical and Quantitative Research

Vermilion Research

Vermilion’s objective is to deliver timely, actionable, and unique technical research to professional investors through the application of our various technical indicators.

Our research strategists seek to highlight securities which we believe are at major inflection points, based on our various technical and quantitative indicators, and offer asymmetric risk/return profiles. Our unique research methodology, centered on relative strength, enables our strategists to deliver superior investment recommendations.

Our process begins by organizing the universe of actively traded stocks into discrete sectors, then into industry groups. We then apply our technical and quantitative tools to identify developing price trends. Once attractive trends are identified within a selected sector or group, we screen for individual stocks which we believe offer the best risk/reward profile. We provide a historical perspective that often reveals, through our long-term charts, how price patterns often repeat themselves over time.

Technical Analysis

<ul>
<li>We previously discussed our belief that equities were in the midst of a rally/short squeeze, but that the rally is likely to fizzle in the 4100-4165 area on S&amp;P 500</li>
<li>And, as you will see below, countless other indexes and Sectors are testing important resistance levels. We continue to expect 4100-4165 on the S&amp;P 500 to cap upside</li>
<li>Buy ideas highlighted within defensives, including Consumer Staples, Health Care, and Communications: CMCSA, CHTR, UL, KHC, CAG, SJM, CPB, LLY, MRK, and NVO</li>
</ul>


We previously discussed our belief that equities were in the midst of a rally/short squeeze, but that the rally is likely to fizzle in the 4100-4165 area on S&amp;P 500
And, as you will see below, countless other indexes and Sectors are testing important resistance levels. We continue to expect 4100-4165 on the S&amp;P 500 to cap upside
Buy ideas highlighted within defensives, including Consumer Staples, Health Care, and Communications: CMCSA, CHTR, UL, KHC, CAG, SJM, CPB, LLY, MRK, and NVO


Many Indexes/Sectors Testing Resistance; Limited Upside From Here; Buys in Staples and Health Care

Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Periscope Analytics

Periscope Analytics focuses on event-driven trades across Asia Pacific and provides comprehensive, timely and systematic coverage of index changes to major Asia Pacific indices in a structured manner.

The analysis includes forecasted inclusions and exclusions to all major Asian indices that have significant amount of tracking assets, including estimates of passive buy/sell flow on the stocks. The service also provides commentary and impact of market consultations, ground rule changes, and other events (IPOs, spin-offs, M&A) that could lead to index changes and passive flow.

Periscope Analytics works with multi-strategy hedge funds, proprietary trading firms, stat arb trading groups and long-only investors that invest and trade in the Asia Pacific region with the data being used to trade index rebalances, avoid pre-positioning and passive flow, and to time entry into and exit from stocks.

Event-Driven Trades Across Asia Pacific

Event-Driven

Taiwan Semiconductor (TSMC) - ADR / Event-Driven

<ul>
<li>Overnight, <a href="https://www.smartkarma.com/entities/berkshire-hathaway-inc-cl-b" target="_blank" data-smartkarma-citation="entities:8635:1" rel="noopener">Berkshire Hathaway Inc Cl B (BRK/B US)</a> announced that it held 60.06m shares (US$4.43bn) of <a href="https://www.smartkarma.com/entities/taiwan-semiconductor-sp-adr" target="_blank" data-smartkarma-citation="entities:8587:1" rel="noopener">Taiwan Semiconductor (TSMC) - ADR (TSM US)</a> as of 30 September.</li>
<li>That caused the ADR to spike after-hours and the local shares have rallied 8% today to close the gap with the ADR.</li>
<li>The ADR premium is trading near the lows and with Berkshire buying up a substantial chunk, <a href="https://www.smartkarma.com/entities/taiwan-semiconductor-sp-adr" target="_blank" data-smartkarma-citation="entities:8587:1" rel="noopener">Taiwan Semiconductor (TSMC) - ADR</a> should trade at a bigger premium to <a href="https://www.smartkarma.com/entities/taiwan-semiconductor-manufacturing-company" target="_blank" data-smartkarma-citation="entities:11230:1" rel="noopener">Taiwan Semiconductor (2330)</a>.</li>
</ul>


Overnight, Berkshire Hathaway Inc Cl B (BRK/B US) announced that it held 60.06m shares (US$4.43bn) of Taiwan Semiconductor (TSMC) - ADR (TSM US) as of 30 September.
That caused the ADR to spike after-hours and the local shares have rallied 8% today to close the gap with the ADR.
The ADR premium is trading near the lows and with Berkshire buying up a substantial chunk, Taiwan Semiconductor (TSMC) - ADR should trade at a bigger premium to Taiwan Semiconductor (2330).


TSMC (TSM/2330 TT): Berkshire Buying Could Push ADR Premium Higher

Asia biased macro & technical analysis, Untying The Gordian Knot

Untying The Gordian Knot

Asia biased macro & technical analysis

A differentiated process with a primary focus on Asia. Technical Analysis as core and Macro drivers that could bring the view to fruition & changes that could make the idea fall apart. The objective is to be the best in class, hence corner shop.

Philadelphia Stock Exchange Semiconductor Index / Technical Analysis

Philadelphia Stock Exchange Semiconductor Index

<ul><li>Dr. Copper has the moniker of the global economy's health as the essential metal used in almost every fixed asset investment (FAI) and manufacturing.</li><li>It remains vital, although I think Nickel is now equally important in our modern-day lives as it is used in alloying, coatings, and batteries.</li><li>Iron ore is significant for China's FAI and much more critical than copper in its growth.</li></ul>

Dr. Copper has the moniker of the global economy's health as the essential metal used in almost every fixed asset investment (FAI) and manufacturing.It remains vital, although I think Nickel is now equally important in our modern-day lives as it is used in alloying, coatings, and batteries.Iron ore is significant for China's FAI and much more critical than copper in its growth.

United States

The Philadelphia Semiconductor Index is a modified capitalization-weighted index comprised of companies that are involved in the design, distribution, manufacturing and sale of semiconductors. The index was developed with a base value of 100 as of december 1, 1993. Index methodology changed from Price-weighted as of 12/21/2009.

Philadelphia Stock Exchange Semiconductor Index (SOX INDEX)

Philadelphia Stock Exchange Semiconductor Index (SOX INDEX)

Bubble or Breadth: Evaluating the State of the Stock Market

No current stock market boom is evident, but concerns arise regarding market breadth and concentration of market value in a few major stocks.

Jeroen Blokland

Before You Call Artificial Intelligence a Bubble, Understand that Bubbles Are Rare!

Exercise caution when calling something a market bubble. Bubbles are less frequent than commonly believed, and booms often persist longer than...

Jeroen Blokland

Many Indexes/Sectors Testing Resistance; Limited Upside From Here; Buys in Staples and Health Care

We continue to expect 4100-4165 on the $SPX to cap upside. Many other indexes and Sectors are also testing important resistance levels dating back...

Vermilion Research

TSMC (TSM/2330 TT): Berkshire Buying Could Push ADR Premium Higher

Berkshire buying 60m TSM US will reduce supply. A rising SOX could increase demand for TSM US at the same time. The ADR premium to the local shares...

Brian Freitas

Dr. Semiconductor

Dr. Copper has the moniker of the global economy's health as the essential metal used in almost every fixed asset investment (FAI) and...

Untying The Gordian Knot