Top reads from the week that was…
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…
– 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
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)
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
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…
– 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]
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%
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
Housing: Nominal vs real home prices (1987-2016) | Barry Ritholtz (The Big Picture)
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