C. HUYGENS - Sunday, January 12, 2014
Weekly Reputation Index Metrics
At the close of trading January 10, 2014, REPUVART and REPUVAR stood at 3560.38 and 2981.39 respectively. Over the past four weeks, the former has changed by 1.22%, while the latter has changed by 1.12%. The benchmark S&P500 Composite Index stood at 1604.74 (31 Dec 2001=1000) and has changed over the past four weeks by 3.78%. The current calendar year spread between REPUVAR and the S&P500 is -1.93%.
Over the trailing twelve months, REPUVART and REPUVAR have, respectively, changed by 10.58% and 8.09% respectively; the S&P500 Composite Index has changed by 25.15%. The trailing 12-month spread between REPUVAR and the S&P500 is -17.06%.
Over the trailing 36 months, the REPUVART and REPUVAR have changed by 38.98% and 31.98% respectively; the S&P 500 Composite Index has changed by 44.56%.
The 4-week, trailing 12-month, and trailing 36-month returns for REPUSPX are 4.19%, 33.31%, and 89.53% respectively. The trailing 12-month spread between REPUSPX and the S&P500 is 8.16%.
The spreads between the S&P500-only index informed by reputation metrics, REPUSPX, and the broad market index informed by reputation metrics, REPUVAR, for the calendar year and for the trailing twelve months respectively are -0.56% and 25.21%.
Other interval changes in the magnitude of the indices are
shown in the tables and charts below.
The year began with more professionals questioning 2013’s incredible market performance. First, a quick summary of assets performed as summed up by Bloomberg News
, January 1, 2014:
While the Standard & Poor’s 500 Index (SPX) surged to a record in the broadest-ever advance and bonds worldwide lost money for the first time since 1999, it was the 28 percent plunge in gold, the worst in more than three decades, that stunned investors the most…[The market surge fueled a demand for equities which boosted prices further (bubble, anyone?)]…[Investors] deposited $140 billion into U.S. equity exchange-traded funds last year, more than double the total from 2012, according to data compiled by Bloomberg. Inflows to bond ETFs plummeted 78 percent to $10 billion, the data show.
Bond funds simply hemorrhaged money. On January 3, Bloomberg
reported that bond redemptions peaked in 2013.
U.S. bond mutual funds had record investor withdrawals of $80 billion in 2013 through Dec. 23…Bill Gross’s Pimco Total Return Fund (PTTRX), which lost its title as the world’s largest mutual fund in October, had redemptions of $41.1 billion last year [15% of assets under management], its most ever.
At the Financial Times
, skeptics were looking at the booming junk bond market and seeing foam.:
To the sceptics, the market is experiencing the kind of frothiness seen before the 2008 financial crisis. This, too, will end in tears, they warn….“A prolonged period of low interest rates, of the sort we are experiencing today, can create incentives for agents to take on greater duration or credit risks, or to employ additional financial leverage, in an effort to ‘reach for yield’”.
As for the equity markets, also from the Financial Times
This is definitely a melt-up. Prices have moved so far away from earnings it’s started to look ridiculous…I think it’s hard to make any kind of valuation argument for the US market at all. You can look at any valuation measure from ordinary p/e to Cape to Q – they’re all expensive. The only reason to hold US equities is ongoing QE. Look back at markets since the crisis; they’ve only gone up during periods of QE. No QE, no rising market.
If the equity assets in REPUSPX, a portfolio comprising only S&P500 constituent members selected by a quantitative algorithm informed by Steel City Re's
reputation metrics are in a bubble (spread over the S&P500 at 8.16% with a trailing twelve month return of 33.31%), how is the plebian "all-in" portfolio faring? Less well at 8.09%, as shown in the table below.
The greatest gains in the portfolio for 2013 (that will be reconstituted 20 January) are being reported by GameStop Corp (GME), which is still in first place at 83.55% down significantly from its high late last year. Hain Celestial Group (HAIN) is still in second with returns of 59.45%. Wellpoint Inc. (WLP) is in third place with returns of 55.15%. These are three of the 19 firms identified by the RepuStars Variety algorithm at the start of 2013 as value opportunities.
As for those whose reputational value has not panned in 2013, Fusion I-O (FIO) is at an awful -61.21, CGG SA (CGG) is holding at -44.51%, and Royal Gold (RGLD) is up at -35.78%.
Side Note: A description of the portfolio constituents and historical returns data from December 31, 2001 can be obtained on request from Technology Option Capital, its manager. Click Here
The RepuStars® Variety Corporate Reputation Index calculated by S&P/Dow Jones Indexes is the first-ever composite equity index based on a quantitative value strategy informed by the Steel City Re Reputational Value Metrics.
The metrics comprise non-financial indicators of reputational value (RVM) and ranking (CRR). These are the same metrics that power the reputation controls provided by Consensiv
, and the league table of reputational value, the Consensiv 50
, published periodically, and most recently January 1, 2014, by CFO.com.
The RepuStars Variety Corporate Reputation Index has two versions: a total returns index and a price index, whose ticker symbols are, respectively, REPUVART
Click on the ticker names for real time quotes.
The RepuStars Variety Corporate Reputation Index tracks up to 57 company stocks that appear to be underpriced relative to Steel City Re’s proprietary Reputational Value Metrics™, which track 7400 companies weekly. The principles behind measuring reputational value are described in the book, Reputation, Stock Price, and You: Why the market rewards some companies and punishes others (2012, Apress).
The RepuStars indices are reconstituted annually in the first week
of January and posted by S&P/Dow Jones Indexes in the third week. The Indices were last reconstituted 20 Jan 2013.
REPUSPX is a pocket index with portfolio constituents being selected algorithmically by the same criteria as the constituents for REPUVAR and REPUVART, except that the field of eligible companies is limited to constituents of the S&P500 composite equity index.
The strategy used to pick the constituent members of REPUSPX, REPUVAR and REPUVART is discussed in the book, Reputation, Stock Price and You: Why the market rewards some companies and punishes others
(Apress, 2012). (Link below)
Reputation, Risk and Finance
Reputation management through superior control of a company's
intangible assets may be one of the best paths to value creation
today. If it is not on your agenda, perhaps it should be. Here are
several things you can do right now to start creating value for your
1. Become better informed. Participate in our regular Mission Intangible Monthly Briefings
the second Friday of every month, read the book, Reputation, Stock Price and You: Why the market rewards some companies and punishes others (2012)
or its predecessor, Mission: Intangible. Managing risk
and reputation to create enterprise value (2010)
, available at
the IAFS Store
, specialty finance sector retailers
or other leading online book retailers
2. Become a member
of the Intangible Asset Finance
Society and engage.
3. Join our community on Linked-In
and stay in the information
S&P Dow Jones Indices is a registered trademark of S&P Dow Jones Indices LLC, a part of McGraw Hill Financial; RepuStars and Steel City Re” are registered trademarks of C. Huygens & Co. LLC. The method underpinning the RepuStars Variety indexes is subject to a pending patent assigned to C. Huygens & Co. LLC. S&P McGraw Hill Financial and its affiliate (S&P Dow Jones Indices) makes no representation or warranty, express or implied, as to the ability of any index to accurately represent the asset class or market sector that it purports to represent and McGraw Hill Financial shall have no liability for any errors, omissions, or interruptions of any index or the data included therein. Past performance of an index is not an indication of future results. All information provided by S&P Dow Jones Indices is general in nature and not tailored to the needs of any person, entity or group of persons. S&P Dow Jones Indices receives compensation in connection with licensing its indices to third parties. It is not possible to invest directly in an index. Exposure to an asset class represented by an index is available through investable instruments offered by third parties that are based on that index. S&P Dow Jones Indices does not sponsor, endorse, sell, promote or manage any investment fund or other investment vehicle that seeks to provide an investment return based on the performance of any Index. Investment products based on the RepuStars Variety Corporate Reputation Indexes are not sponsored, endorsed, sold or promoted by Technology Option Capital, LLC, C. Huygens & Co, LLC, Steel City Re, LLC, or their respective affiliates and none of Technology Option Capital, LLC, C. Huygens & Co, LLC, Steel City Re, LLC and their respective affiliates make any representation regarding the advisability of investing in such products. Inclusion of a company in any of the indexes in this piece does not in any way reflect an opinion of Technology Option Capital, LLC, C. Huygens & Co, LLC, Steel City Re, LLC or any of their respective affiliates on the investment merits of such company. None of Technology Option Capital, LLC, C. Huygens & Co, LLC, Steel City Re, LLC or any of their respective affiliates is providing investment advice in connection with these indexes.