Diary of a Financier

Top Newsstuffs (February 20-26)

In Bookshelf on Sun 26 Feb 2017 at 05:57

Top reads from across the past week…

Fundamentals

S&P 500 valuation update: Growth rates accelerating off low base (2017.02.19)
by Fundamentalis

Even with earnings expectations rallying, the market is finally enjoying some multiple expansion after Trump’s election; sentiment is clearly improving as SPX enters a seasons’ worth of easy yoy comps due to China’s collapse & the energy crash (respectively)…
EPS (ntm): -11c wow @ $131.39
PE ratio (fw): +4bps wow @ 18.0x
PEG ratio: +6bps wow @ 2.3x; continues compression as forward growth rate accelerates
Earnings yield: -9bps wow @ 5.59%
EPS growth rate (ntm): +5bps wow @ 7.93%

[See also: Modern capital markets warrant higher valuation multiples]
#Neutral #Valuations $SPX $SPY

Sentiment

Retail investor sentiment survey (2017.02.23)
by The American Association of Individual Investors (AAII)

Sentiment rises out of the doldrums, improving to a neutral signal after a month-to-date plunge…
Bull/Bear ratio: +23bps wow @ 1.19 (below 1.30 historical average, between 1.00 – 1.80 extremes)Retail sentiment- bulls & bears 2017.02.23
Bullish: +5.4pp @ 38.5% (below 39 avg, between 30 – 45 extremes)
Bearish: -0.1pp @ 32.3% (above 30 avg, between 25 – 40 extremes)
Neutral: -5.3pp @ 29.2% (below 31 avg); lowest level post-Inauguration
Measures respondents’ expectation for equity performance over next 6 months (through 7/2017).
[Previously: Retail allocations remain neutralQuantifying the “wall of worry”]
#Neutral #Contrarian

Global fund manager allocation survey (February 2017)
by Bank of America Merrill Lynch (BAML)

Risk allocations remain in neutral territory, confirming the end of the 18-month bullish signal that had been a risk tailwind; $DXY is considered the most overvalued since 2006 (historically a high fidelity signal)…
Equity: unch @ +39% OW (neutral signal, between +15 & +50 extremes)BAML fund manager allocation survey- Equity, Fixed income, Cash, Sectors 2017.02; a 14-month high
Bonds: +4pp @ -59% UW (bullish signal, between -60 & -20 extremes)
Cash: -0.2pp @ +4.9% OW (neutral signal, below +5.0 extreme high)
Commodities: +6pp @ +3% OW (neutral signal, between -20 & +12 extremes); back up near a 4-year high
Regions…
    US: -1pp @ +13% OW (neutral signal)
    Europe: +6pp @ +23% OW (neutral signal)
    Japan: -1pp @ +20% OW (neutral signal)
    Emerging Markets: +11pp @ +5% OW (neutral signal)
Sectors…
    Bearish: $XLF $USD
    Bullish: $GBP $EUR $XLP $XLU
Surveys a sample of 200+ PMs with $700B+ in AUM, asking for portfolio positioning (overweight/underweight) relative to 60/30/10 benchmark.
#Neutral #Contrarian

–Romeo

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