Diary of a Financier

Top Newsstuffs (July 20-26)

In Bookshelf on Sun 26 Jul 2015 at 06:14

Top reads from the week that was…


NYSE margin debt & balances (June 2015) | Doug Short (dshort.com)
All measures reach new records, spiking higher into extreme levels; stark juxtaposition to neutral investor sentiment surveys (see below); next month’s data should show signs of abatement due to Fed’s explicit intent to raise rates:NYSE margin debt vs SPX (real gross & net, 2015.06)
Nominal margin debt: +8.8% yoy, +1.2% mom @ $505.0B; just off April’s record high
Real margin debt: +0.8% mom; 1.3% off record high, but still far above prior highs from 3/2000 & 7/2007′s before those bear markets
Net margin balances (“buying power”): -1.9% mom @ -$223.3B debit; recovers from record low, but still crushes prior records from 2000, 2007 & 2011)
[See also: Margin debt isn’t that bearish (it’s stayed as a constant % of NYSE market cap since 2007)]
#Bearish #Leverage #Latent indicator


Retail investor sentiment survey (2015.07.22) | American Association of Individual Investors (AAII)
Sentiment remains a neutral signal; neutral cohort stays outsized — an indication of healthy uncertainty:
Bull/Bear ratio: -6bp wow @ 1.27 (below 1.30 historical average & 1.80 extreme high)
Bullish: +1.7pp @ 32.5% (under both 39.0 avg & 45 extreme high)
Bearish: +2.4pp @ 25.6% (between 25 extreme low & 30.0 avg)
Neutral: -4.1pp @ 41.9% (over 31.0 avg)
Measures respondents’ expectation for equity performance over next 6 months (through 12/2015).
[Previously: Retail allocations neutral, Fund manager allocations neutral & Strategist allocations are bullish signal]
#Neutral #Contrarian

Global fund manager allocation survey (July 2015) | Bank of America Merrill Lynch (BAML)
Risk allocations remain a neutral signal after March’s extremes, with safe assets slowly clawing-back from extreme lows; the record flight of capital out of US into International markets continues to slowly revert:
Equity: +4pp @ +42% OW (between +15 to +50% extremes); still OW highest beta/cyclical sectors too
Bonds: -2pp @ -60 UW (meets -60 extreme low)BAML fund manager allocation survey- equity/fixed income/cash 2015.07
Cash: +0.6pp @ +5.5 OW (above +4.5 extreme high); highest since 12/2008
Commodities: -11pp @ -22 UW
    US: +13pp @ -7 UW
    Europe: -6pp @ +40 OW; falls again alltime high
    Japan: -3pp @ +37 OW
    Emerging Markets: -2pp @ -20 UW; a 16-month low
Surveys a sample of 200+ PMs with $700B+ in AUM, asking for portfolio positioning (overweight/underweight) relative to 60/30/10 benchmark.
#Bearish: $XLF $XLY $EWJ $FEZ
#Neutral: $SPY $AGG
#Bullish: $XLE $EEM $XLB $DBC $XLP




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