Diary of a Financier

Top Newsstuffs (October 10-16)

In Bookshelf on Sun 16 Oct 2016 at 06:41

Top reads from across this week…

Macro

Retail sales (September 2016)
by US Government Census

Great report beats expectations even with upward revisions to prior months; regardless, yoy growth re-accelerates higher above trend GDP, as the growth leadership from US consumers should be waning while headline data sheds energy’s yoy comp tailwind…Retail sales (%change yoy & $gross, 2016.09)
Core (ex-autos): +0.7pp @ +2.7% yoy, +0.5% mom (beat +0.4e); prior months revised higher
Core-core (ex-gas & autos): +0.2pp @ +3.3% yoy, +0.5% mom
Headline: +0.6pp @ +2.7% yoy, +0.6% mom (meet +0.6e); prior months revised higher
Retail sales account for ~31% of US GDP (~45% of the Consumption component).
[Previously: Income & consumption remain bullish signals & Consumption boom or depression babies?]
#Bullish $XLY

Sentiment

Retail investor sentiment survey (2016.10.13)
by The American Association of Individual Investors (AAII)

Sentiment settles back down in extreme lows, regaining a bullish signal; in addition, there’s no better manifestation of investors’ postcrisis PTSD than the massive Neutral cohort…
Bull/Bear ratio: -27bps wow @ 0.76 (below 1.30 historical average & 1.00 – 1.80 extremes)Retail sentiment- bulls vs bears 2016.10.13
Bullish: -3.3pp @ 25.5% (below 39 avg & 30 – 45 extremes)
Bearish: +5.8pp @ 33.7% (above 30 avg & between 25 – 40 extremes)
Neutral: -2.5pp @ 40.8% (above 31 avg)
Measures respondents’ expectation for equity performance over next 6 months (through 4/2017).
[Previously: Institutional allocations remain a bullish signal & Net speculative futures positioning normalizes after extremes]
#Bullish #Contrarian

Technicals

Technical study: S&P 500 long term regression & standard deviation (September 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: -2pp mom @ +88% (near cycle high @ +91%)
    Panic of 1907: +85%SPX long term regression & standard deviation (2016.09)
    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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