Diary of a Financier

Top Newsstuffs (December 12-18)

In Bookshelf on Sun 18 Dec 2016 at 05:30

Top reads from across this week…

Macro

Retail sales (November 2016)
by US Government Census

Another great report crushes expectations, even with big upward revisions to prior months; yoy growth accelerates even higher above trend GDP, despite headline data lapping energy’s yoy comp tailwind…Retail sales- Headline & Core (% yoy, 2016.11)
Core (ex-autos): -0.1pp @ +3.9% yoy, +0.2% mom (miss +0.4e); prior months’ revisions were mixed
Headline: -0.5pp @ +3.8% yoy, +0.1% mom (miss +0.4e); prior months’ revisions were mixed
Retail sales account for ~31% of US GDP (~45% of the Consumption component).
[Previously: Consumer confidence surges to extremely bullish signal, Income & consumption remain bullish signals & Consumption boom or depression babies?]
#Bullish! $XLY

Housing permits, starts & completions (November 2016)
by US Government Census

An unexpected decline continues a choppy trend; crushed by the multifamily category (-31.7% yoy), as that boom is likely over (as expected)…housing-starts-2016-11
Monthly housing starts:  -30.2pp @ -6.9% yoy, -18.7% mom @ 1.090M saar (miss 1.230e); prior months revised up
Growth rate:  -1.1pp @ +4.8% ytd
[Previously: The future is still so bright; See also: BAML says housing starts will accelerate & return to historical average in 2016/17 & Homebuilder confidence spikes to 11-year high]
#Neutral $XHB $ITB

Inflation: Consumer Price Index (November 2016)
by Bureau of Labor Statistics (BLS)

Perfect report with inflation remaining in the ballpark of the Fed’s 2% target; energy’s drag has officially ended; remember that Yellen has said she’d tolerate higher inflation…
Core CPI (ex food & energy): unch @ +2.1% ttm, +0.2% mom (meet +0.2e)
Headline CPI: +0.1pp @ +1.7% ttm, +0.2% mom (meet +0.2e)Core inflation- PCE, CPI, Median CPI, trimmed mean CPI 2016.11
    Energy: +1.0pp @ +1.1% ttm, +1.2% mom
    Healthcare services: -0.2pp @ +3.9% ttm, +0.2% mom
    Used cars: +0.3pp @ -3.8% ttm, +0.3% mom
[Previously: Yellen’s “Optimal Control Policy” could have Fed target 2.5% inflation]
#Bullish $TIP

Sentiment

Retail investor sentiment survey (2016.12.15)
by The American Association of Individual Investors (AAII)

Sentiment remained a neutral signal, continuing the mean reversion from the post-Election spike; the Neutral cohort plunges deeper below its average, having been persistently outsized throughout the entire post-crisis recovery…
Bull/Bear ratio: -37bps wow @ 1.38 (above 1.30 historical average, but between 1.00 – 1.80 extremes)
Bullish: +1.5pp @ 44.7% (over 39 avg, but between 30 – 45 extremes)Retail investor sentiment- bulls & bear 2016.12.15
Bearish: +5.8pp @ 32.3% (above 30 avg, but between 25 – 40 extremes)
Neutral: -7.4pp @ 23.0% (below 31 avg); a 2-year low
Measures respondents’ expectation for equity performance over next 6 months (through 6/2017).
[Previously: Retail allocations remain neutral]
#Neutral #Contrarian

Global fund manager allocation survey (December 2016)
by Bank of America Merrill Lynch (BAML)

Risk allocations jump into neutral territory after 18-months in bearish extremes — ending the bullish signal that had been a risk tailwind; inflation expectations are the highest since 2003; yield curve steepening expectations are the highest since 2012q3…
Equity: +23pp @ +31% OW (neutral signal, between +15 & +50 extremes)BAML fund manager allocation survey- Equity, Fixed income, Cash, Sectors 2016.12; a 12-month high
Bonds: -10pp @ -58% UW (neutral signal, between -60 & -20 extremes)
Cash: -0.2pp @ +4.8% OW (neutral signal, below +5.0 extreme high); descends to normal after 18-months in extreme territory
Commodities: +7pp @ +5% OW (neutral signal, between -20 & +12 extremes); a 4-year high
Regions…
    US: +22pp @ +15% OW (neutral signal)
    Europe: -9pp @ -1% UW (neutral signal)
    Japan: +26pp @ +21% OW (neutral signal)
    Emerging Markets: -1pp @ +3% OW (neutral signal)
Sectors…
    Bearish: $XLF $XLY $XLI
    Bullish: $GBP $EWU $EUR $IYZ $XLI
Surveys a sample of 200+ PMs with $700B+ in AUM, asking for portfolio positioning (overweight/underweight) relative to 60/30/10 benchmark.
#Neutral #Contrarian

Technicals

Commitment of Traders (COT): S&P 500 net speculative positioning (2016.12.06) | Commodity Futures Trading Commission (CFTC)
Despite the post-Election “Trump Rally,” speculators have swung to a net short positioning that’s nearing an extreme bullish signal…SPX futures- net speculative positions (non-commercial longs less shorts) 2016.12.06
Net speculative positioning: +6k wow @ -133.3k contracts long (between -150k & +100k extremes)
Measures difference between non-commercial longs & shorts in SPX futures (# contracts) as of Tuesday’s trade date.
[Previously: Net speculative futures positionings send bearish signals]
#Neutral $ES_F $SP_F $SPY

–Romeo

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