Small Cap Macro Mosaic

01/31/12 -

Small & Large. The Russell 2000 posted a 4.6% return for the 2 weeks ended January 27, 2012 while the S&P 500 posted a 2.2% return. The R2000 closed at 799, while the S&P 500 closed at 1,316.  The Russell 2000 is posting 7.9% QTD returns, compared with the S&P 500, which is posting 4.8% returns for the quarter.

Growth & Value. The R2000 Growth posted a 5.0% return for the past 2 weeks, while the R2000 Value posted a 4.2% return.  Growth is posting 8.4% QTD returns while Value is posting 7.4% returns for the quarter.

Sentiment & Commodity Prices. The VIX ended the week at 19. The CME S&P 500 put/call ratio was 1.87.  Near-term contract closes were as follows: Copper $3.89, WTI Crude Oil $99.56 and Natural Gas $2.76.  The CRB ended the week at 596.  The Dollar Index ended the week at 79.01.

Valuation.  The 10-year U.S. bond yield is 1.90%.  S&P 600 estimated earnings (NTM) are $28.61, producing a 6.43% earnings yield with the S&P 600 at 445.