Diary of a Financier

Top Newsstuffs (September 5-11)

In Bookshelf on Sun 11 Sep 2016 at 05:02

Top reads from the last week…

Macro

Rail traffic monthly (August 2016)
by The Association of American Railroads (AAR)

Although the collapse decelerated a bit, the decline in railroad volume still manifests the collapse in manufacturing activity, led lower by energy & materials amidst the commodity supercycle’s bust…
Monthly traffic: +2.2pp @ -5.7% yoy
Growth rate: +0.2pp @ -7.2% ytd
Carload groups: 8 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.
#Irrelevant? $IYT $XLB $XLE $DBC

Credit

Loans & leases in bank credit, all commercial banks (2016.09.02)
by St. Louis Federal Reserve (FRED)

Lending growth remained at a healthy velocity, although it’s decelerated down near ytd lows…
Weekly loan growth: -0.1pp @ +7.3% yoy (meets 7.3% historical average)Loans & leases in bank credit, all commercial banks (weekly, %yoy, 2016.08.03)
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.
[Previously: Consumer indebtedness returns to bullish signal, Loan officer survey remains a bearish signal & Depression Babies’ PTSD]
#Bullish #Releveraging #Credit cycle $XLF $KBE $KRE

Sentiment

Retail investor sentiment survey (2016.09.08)
by The American Association of Individual Investors (AAII)

Sentiment waffles just back above extremes, maintaining a bull signal due to the persistently outsized Neutral cohort; there’s no better manifestation of investors’ postcrisis PTSD…
Bull/Bear ratio: +13bp wow @ 1.04 (below 1.30 historical average & between 1.00 – 1.80 extremes)
Bullish: +1.1pp @ 29.7% (below 39 avg & 30 – 45 extremes); off the lowest level since Brexit
Bearish: -3.0pp @ 28.5% (below 30 avg & between 25 – 40 extremes)
Neutral: +1.9pp @ 41.8% (above 31 avg)
Measures respondents’ expectation for equity performance over next 6 months (through 2/2017).
[Previously: Institutional sentiment remains a bullish signal & Net speculative futures positioning send bearish signals]
#Bullish #Contrarian

Technicals

Technical study: S&P 500 long term regression & standard deviation (August 2016) | Doug Short (dshort)
The inflation-adjusted SPX moves even higher above 2 sigmas over its LT trend, which level has historically marked a market top…
Historical variances:
    Currently: +10pp mom @ +90% (near 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

–Romeo

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