Diary of a Financier

Top Newsstuffs (June 6-12)

In Bookshelf on Sun 12 Jun 2016 at 05:02

Top reads from the week that was…

Macro

Rail traffic monthly (May 2016) | Association of American Railroads (AAR)
The decline in railroad volume maintains velocity; the collapse in manufacturing activity remains a dumpster fire, led lower by energy & materials amidst the commodity supercycle’s bust…Railtraffic monthly 2016.05
Monthly traffic: +5.0pp @ -6.8% yoy
Growth rate: +0.2pp @ -7.6% ytd
Carload groups: 10 of 20 posted gains for the month yoy
In particular, the secular decline of coal volumes (~40% of carloads makes it the largest category) is negatively skewing the data.
#Bearish #Irrelevant? $IYT $XLB $XLE $DBC

Credit

Loans & leases in bank credit, all commercial banks (2016.05.25) | St. Louis Federal Reserve (FRED)
Lending growth remained at a healthy velocity, continuing to defy sentiment surveys’ concerns that credit cycle may be turning lower…
Weekly loan growth: unch @ +7.6% yoy (beat 7.3% historical average)Loans & leases in bank credit, all commercial banks (weekly, %yoy) 2016.05.25
This is a key indicator, as I’d expect continued expansion due to household & corporate balance sheets being most deleveraged as any point since the 1970s, signalling whether or not the private sector is suffering from post-traumatic stress — a hangover from the crisis (i.e. “Depression Babies”).
[Previously: Consumer indebtedness returns to bullish signal & Loan officer survey remains a bearish signal]
#Bullish #Releveraging #Credit cycle $XLF $KBE $KRE

Sentiment

Retail investor sentiment survey (2016.06.09) | American Association of Individual Investors (AAII)
Sentiment continues mean reversion, maintaining a neutral signal; the neutral cohort remains excessive relitive to its historical average…Retail investor sentiment survey- bulls & bears 2016.06.09
Bull/Bear ratio: +43bp wow @ 1.04 (between 1.30 historical average & 1.00 – 1.80 extremes)
Bullish: -2.3pp @ 27.8% (between 39 avg & 30 – 45 extremes), up from a 11-year low
Bearish: -1.2pp @ 27.8% (between 30 avg & 25 extreme low)
Neutral: +3.6pp @ 44.3% (above 31 avg)
Measures respondents’ expectation for equity performance over next 6 months (through 11/2016).
[Previously: Retail allocations are neutral, Institutional allocations are neutral & Strategist sentiment still a buy signal]
#Neutral #Contrarian

Technicals

Technical study: S&P 500 long term regression & standard deviation (May 2016) | Doug Short (dshort)
The inflation-adjusted SPX remains just above 2 sigmas over its LT trend, but it’s still down from the cycle high, which level has historically marked a market top…
Historical variances:
    Currently: +1pp mom @ +80% (down fm cycle high @ +91%)
    Panic of 1907: +85%SPX long term regression & standard deviation (2016.03)
    Great Depression: +81%
    Tech Bubble: +149%
    Great Recession: +88%
– Mean: +1.79% average annual real return
Standard deviation (σ): ±40.6%
Uses $SPX real (inflation-adjusted) prices with exponential regression starting in 1871.
#Bearish #Mean reversion #Secular

Interests

Housing: Nominal vs real home prices (1987-2016) | Barry Ritholtz (The Big Picture)Home prices- Case Shiller National Price Index (nominal vs real, 1987-2016)
While nominal house prices are at 2005-levels, nearing 2007’s alltime high (4.5% higher) inflation-adjusted prices are still down at 2003 levels (23% below the alltime high).
#nothing to see here #anti-housing bubble $ITB

–Romeo

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