Roman Chuyan, CFA's  Instablog

Roman Chuyan, CFA
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Frank Donovan, Vice President, Performance Analytics Inc. I am responsible for business development for Performance Analytics Inc., an independent firm based in Boston, which delivers actionable, results-driven asset allocation research to investment management clients. Our research reports are... More
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Performance Analytics
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Active Equity Allocation - Latest Model Results
  • PAR Model Mid-Month Update - SPY Forecast Improves, Still Negative 0 comments
    Jun 22, 2012 10:39 AM | about stocks: SPY

    Based on the June mid-month update, the expected six-month return for the S&P 500 is -1.9%, a further improvement from -4.4% given by the model at the end of May.

    Largest negative changes in factor contributions: Price/Book ratio -4.8%; P/E ratio -1.5%.

    Largest positive changes in factor contributions: Oil 1.8%; Momentum, 7.7%. The latter was due to the fact that the speed of deterioration in the indicator contributions to the model slowed.

    Given that the expected index return is still negative, we continue to recommend an Underweight to public equities, though perhaps smaller than in April and May.

    Goldman's Noah Weisberger made a short call yesterday, siting the bad print of the Philly Fed surgery. Goldman is now consistent with our recommendation, which was much more timely back in March and April, and the signal from the PAR Model has actually improved a bit since then.

    Disclosure: I have no positions in any stocks mentioned, and no plans to initiate any positions within the next 72 hours.

    Stocks: SPY
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