Diary of a Financier

Top Newsstuffs (November 7-13)

In Bookshelf on Sun 13 Nov 2016 at 05:39

Top reads from across this week…

Credit

Senior loan officer survey (2016q4)
by The Federal Reserve (NY Fed)

Credit fundamentals barely maintain a neutral signal, with cheap, plentiful supply trying to rekindle otherwise decelerating demand; on a positive note, a deleveraged household sector is finally starting to releverage, taking take the handoff from the overleveraged corporate sector…C&I loans- demand, supply & cost 2016q4
Commercial & Industrial Loans (C&I): demand dips back into contraction, but costs remain low, and ytd tightening appears to have ended
Commercial Real Estate (CRE/CMBS): demand’s growth continues deceleration, as supply continues to tighten significantly
Residential mortgages (RRE/RMBS): demand continues to increase, and supply loosens proportionally; subprime demand destruction was a notable exception
Consumer loans: demand maintains velocity, and supply remains unchanged
Surveys net respondents’ qoq change in credit demand, spreads & lending standards.
[Previously: Commercial bank lending remains bullish & Total consumer indebtedness accelerates to bullish signal]
#Neutral #Credit cycle #Leading indicator $XLF $KBE $KRE $HYG $JNK

Sentiment

Retail investor sentiment survey (2016.11.10)
by The American Association of Individual Investors (AAII)

Sentiment spikes up into a neutral signal due to Presidential Election (N.B. half of data was collected before Election Night); the  persistently outsized Neutral cohort wanes too — a sign of less uncertainty…
Bull/Bear ratio: +64bps wow @ 1.33 (above 1.30 historical average, but between 1.00 – 1.80 extremes)Retail investor sentiment- bulls & bears 2016.11.10
Bullish: +15.3pp @ 38.9% (under 39 avg, but between 30 – 45 extremes); a 12-month high
Bearish: -5.0pp @ 29.3% (below 30 avg, but between 25 – 40 extremes)
Neutral: -10.3pp @ 31.8% (above 31 avg); lowest since 1/27
Measures respondents’ expectation for equity performance over next 6 months (through 4/2017).
[Previously: Institutional allocations remain an extremely bullish signal & Retail allocations remain neutral]
#Neutral #Contrarian

Technicals

Technical study: S&P 500 long term regression & standard deviation (October 2016) | Doug Short (dshort)
The inflation-adjusted SPX recedes, now resting right above the 2 sigma threshold (relative to its LT trend) — a level that has historically marked a market top…
Historical variances:
    Currently: -3pp mom @ +85% (falling more from the cycle high @ +91%)
    Panic of 1907: +85%SPX long term regression & standard deviation (2016.10)
    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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