Diary of a Financier

Top Newsstuffs (October 5-11)

In Bookshelf on Sun 11 Oct 2015 at 05:13

Top reads from the week that was…

Macro

Rail traffic monthly (September 2015) | Association of American Railroads (AAR)
After pent-up demand recovery failed to materialize in Q2, Q3 perpetuates the disappointing trend:Railtraffic monthly 2015.09
Monthly traffic: -1.2pp @ -2.0% yoy
Growth rate: -0.1pp @ -1.1% ytd
Carload groups: 6 of 20 posted gains for the month yoy
China’s economic slowdown is impacting all energy & basic materials; in particular, the secular decline of coal volumes (~40% of carloads makes it the largest category) is negatively skewing the data.
#Bearish $IYT $XLB $XLE $DBC

Fundamentals

Q3 earnings outlook: Consensus estimates (2015q3e) | Bank of America Merrill Lynch (BAML)
Street analysts consensus forecasts for Q3 EPS & revenues, by sector:SPX consensus- EPS & Revenues 2015q3e
EPS (ex-Energy): +2.9% yoy, -2.3% qoq
Sales (ex-Energy): +2.8% yoy, +1.8% qoq
$XLE is expected to report -62% yoy decline in EPS, which is theoretically offset by $XLY +8%; Energy’s Q4 yoy comps will lap the high base.
[Previously: The surge in consumption nets-out the collapse in energy]
#Bullish

Sentiment

Retail investor sentiment survey (2015.10.07) | American Association of Individual Investors (AAII)
Sentiment spikes from a screaming buy signal at extreme lows to netural levels amidst the undulations of a market correction:AAII retail investor sentiment survey- bulls/bears 2015.10.07
Bull/Bear ratio: +63bp wow @ 1.33 (near 1.30 historical average)
Bullish: +9.4pp @ 37.5% (between 30 extreme low & 39 avg); spikes up from near postcrisis low
Bearish: -11.7pp @ 28.2% (between 25 extreme low & 30 avg); falls from extreme high
Neutral: +2.3pp @ 34.3% (above 31 avg)
Measures respondents’ expectation for equity performance over next 6 months (through 4/2016).
[Previously: Institutional allocations neutral]
#Neutral #Contrarian

Technicals

Technical study: S&P 500 long term regression & standard deviation (September 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:
– Mean: +1.78% average annual real return
Standard deviation (σ): ±40.6%SPX long term regression & standard deviation (2015.09)
Variances:
    Currently: -7pp mom @ +77%
    Panic of 1907: +85%
    Great Depression: +81%
    Tech Bubble: +149%
    Great Recession: +88%
Uses $SPX real (inflation-adjusted) prices with exponential regression starting in 1871.
#Bearish #Mean reversion #Secular

Interests

Japan’s Abenomics is doing better than you think | The Wall Street Journal (WSJ)
The Japanese economy’s vital signs are tepid, but healthy — especially compared to their flagging before Abe’s implementation…Japanese economic vital signs 2015.10
“Why hasn’t Abenomics had more bang? Partly, bad luck:
“China’s slowdown… falling oil prices… Last year’s consumption-tax increase… and the government has delivered few structural reforms to speed up underlying growth…
“That could be about to change. [Abe hopes] this week’s completion of the Trans-Pacific Partnership… [will] expose inefficient parts of Japan’s economy to greater competition.”
$DXJ $EWJ #TPP

–Romeo

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