Diary of a Financier

Top Newsstuffs (March 2-8)

In Bookshelf on Sun 8 Mar 2015 at 06:09

Top reads from the week that was…

Macro

Rail traffic weekly (Week 8, 2015) | Association of American Railroads (AAR)
Another terrible report drags ytd growth into contration and shows little pent-up demand after last week’s collapse; record snowfall in the Northeast & California port closures are still denting the data, but next week really needs to show a snap-back as both issues are being resolved; easy yoy comps are starting to roll-off, since pent-up demand started to manifest in 3/2014 data (after 2014q1’s severe winter weather):
Weekly traffic: +4.8pp @ -6.7% yoy
Growth rate: -0.9pp @ -0.1% ytd
Carload groups: 3 of 10 posted gains for the week yoy
    Petroleum: +6.5
    Grain: +3.8
    Motor vehicles/parts: +2.0, mean reversion after last week’s collapse
    Forestry: -5.7
    Minerals: -10.9
    Coal: -12.4, crisis continues
    Metals: -13.2
#Bearish $IYT

Purchasing Managers Index (February 2015) | Markit Economics
Global expansion persists with US stabilizing after a multi-month deceleration; China remains stagnant, but Europe continues to be an overwhelming counterbalance, with its sovereign QE  asymmetrically benefiting periphery over core; more comments mention the manufacturing benefits from a decline in global energy prices:
Global PMI (Composite): +0.9 @ 53.9 (meets 53.9 LT average); continues recovery from 14-month low
Global PMI (Services): +1.1 @ 54.0; “stage is for solid output growth in the near-term”
Global PMI (Manufacturing): +0.2 @ 51.7; recovers from 16-month low, and remains in expansion for 26th straight month
– US ISM (Services): +0.2 @ 56.9 (beat 56.5e); “corresponds to a 3.5% increase in GDP”
US ISM (Manufacturing): -0.6 @ 52.9 (miss 53.0e); “West Coast port issue has been a problem… [but] business in general is staying its course”:
    New orders: -0.4 @ 52.5
    Production: -2.8 @ 53.7
    Inventories: +1.5 @ 52.5
    Deliveries: +1.4 @ 54.3
    Exports: -1.0 @ 48.5
    Employment: -2.7 @ 51.4
Australia: -3.6 @ 45.4; still trying to recover from YE13 crash amidst commodity price collapses
Japan: -0.6 @ 51.6
China: official +0.1 @ 49.9 (beat 49.7e); unofficial +1.0 @ 50.7 (beat 50.1e)
Rest of Asia: positive
    India: -1.7 @ 51.2, falls again from 2-year high
    South Korea: unch @ 51.1
    Taiwan: +0.4 @ 52.1
Eurozone (Services): +1.0 @ 53.7 (miss 53.9e)
Eurozone (Manufacturing): unch @ 51.0 (miss 51.1e), “pockets of robust growth”
    Germany: +0.2 @ 51.1
    Netherlands: -1.9 @ 52.2
    Italy: +2.0 @ 51.9, continues recovery from 19-month low
    France: -1.6 @ 47.6, “only country seeing a steepening downturn”
    Spain: -0.5 @ 54.2, down from post-crisis high
    Greece: +0.1 @ 48.4
UK: +1.0 @ 54.1
Brazil: -1.1 @ 49.6
#Bullish

Credit

NYSE margin debt & balances (January 2015) | Doug Short (dshort.com)
Finally, growth rate descends into healthy contraction after flirting with mere deceleration for months; hopefully, the steady moderation continues so this margin bubble doesn’t pop as we come closer to rising Fed Funds Rates (2015q3e):NYSE net margin balances vs SPX (inverted)
Nominal margin debt: -1.43% yoy, -2.51% mom @ $444.8B; falls further from alltime high ($465.7B in 2/2014)
Real margin debt: -2.0% mom; falls to 4.0% below 2/2014 alltime high, but still far above prior highs in 3/2000 & 7/2007′s before those bear markets
Net margin balances (“buying power”): -4.23% @ -$157.92B debit; reverting from a record low, but still crushes prior records from 2000, 2007 & 2011
SPX didn’t crash until 3-5 months after real margin debt peaked in 2000 & 07, at which time margin levels had already receded.
[Previously: Margin debt growth rate decelerating & Household debt/credit is healthy]
#Bearish #Improving #Latent indicator

Technicals

Technical study: S&P 500 long term regression & standard deviation (inflation-adjusted, 1871-2015) | Doug Short (dshort)
SPX trading over 2 sigmas from its LT trend, which has historically marked a top — a sign of excess where bull markets turn into bears:SPX long term regression & standard deviation (1870-2015)
– Mean: +1.75% (average annual real return)
Standard deviation (σ): ±40.6%
Variances:
    Currently: +96%, reversion to trend is -50% @ 1060
    Panic of 1907: +85%
    Great Depression: +81%
    Tech Bubble: +149%
    Great Recession: +88%
#Bearish #Mean reversion #Secular

Sentiment

Investor sentiment survey (2015.03.04) | American Association of Individual Investors (AAII)
Sentiment dips from above exuberant extremes, with a swelling neutral cohort even more indicative of healthy uncertainty:
Bull/Bear ratio: -117bps wow @ 1.70 (over 1.28 historical average, under 1.8 extreme high)
Bullish: -5.6 @ 39.8% (over 39.0 avg, under 45 extreme high)
Bearish: +3.1 @ 23.4% (under 30.5 avg & 25 extreme low)
Neutral: +2.5 @ 36.8% (over 30.5 avg)
Measures respondents’ expectation for equity performance over next 6 months (through 8/2015).
[Previously: Fund manager sentiment extremely bullish US equities & Strategist sentiment remains a bullish signal]
#Bullish #Noisy

Asset allocation survey (February 2015) | American Association of Individual Investors (AAII)
Asset class allocations remain at neutral levels:
– Stocks: +1.1pp @ 68.3% (between 60% average & 70% extreme high); remains above average for 23nd consecutive month (longest post-crisis streak)
Bonds: -1.1 @ 16.4% (above 16% avg & 10% extreme low); 7th consecutive month back above average
Cash: unch @ 15.3% (below 24% avg, above 15% extreme low); below avg for 39th consecutive month
#Neutral $AGG #QE tapering

–Romeo

Advertisements
  1. […] expectation for equity performance over next 6 months (through 8/2015). [Previously: Retail allocations are neutral, Fund manager sentiment extremely bullish US equities & Strategist sentiment remains a bullish […]

  2. […] expectation for equity performance over next 6 months (through 9/2015). [Previously: Retail allocations are neutral & Strategist sentiment remains a bullish signal] #Bullish! […]

  3. […] expectation for equity performance over next 6 months (through 9/2015). [Previously: Retail allocations are neutral & Strategist sentiment remains a bullish signal] #Netural […]

  4. […] expectation for equity performance over next 6 months (through 10/2015). [Previously: Retail allocations are neutral & Strategist sentiment remains a bullish signal] #Bullish […]

  5. […] expectation for equity performance over next 6 months (through 10/2015). [Previously: Retail allocations are neutral & Strategist sentiment remains a bullish signal] #Bullish […]

  6. […] expectation for equity performance over next 6 months (through 10/2015). [Previously: Retail allocations are neutral & Strategist sentiment remains a bullish signal] #Neutral […]

Comment

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s