Diary of a Financier

Top Newsstuffs (March 6-12)

In Bookshelf on Sun 12 Mar 2017 at 05:42

Top reads from across the past week…

Macro

Trade balance (January 2017)
by US Department of Commerce

Report meets expectations, but the deficit increases, which will weigh on Q1 GDP; in broader context, gross trade volumes continue to accelerate and the deficit is cyclically repairing thanks to slower trade with China & declining petroleum imports…
Net exports: -11.8% yoy, -9.4% mom @ -$44.3B deficit (meet -$48.5B exp)
    Exports: +7% yoy, +0.6% mom @ $192.1B; +16% above the precrisis peak
    Imports: +8% yoy, +2.3% mom @ $240.6B; +4% above the precrisis peak
The net balance of trade accounts for ~3 – 5% of US GDP (seasonally adjusted).
#Neutral #EX #IM #NX #Globalization

Rail traffic monthly (February 2017)
by The Association of American Railroads (AAR)

Another expansionary month continues the upward trend after years of uninterrupted declines — although it’s still attributable to easy yoy comps; while petroleum shipments are still collapsing (-19.5% yoy), coal has at least steadied (+11.9%)…
Monthly traffic: +3.7pp @ +4.2% yoy
Growth rate: +1.7pp @ +2.3% ytd
Carload groups: 11 of 20 posted gains for the month yoy; led by coal (+15.5% ytd), which rallied off a low yoy base
In particular, the secular decline of coal volumes (~40% of carloads makes it the largest category) has been negatively skewing the data.
#Bullish $IYT $XLB $XLE $DBC

Sentiment

Retail investor sentiment survey (2017.03.09)
by The American Association of Individual Investors (AAII)

Sentiment plummets into a contrarian buy signal, with respondents citing uncertainty over Trump tax policy and the rally being “long in the tooth”…
Bull/Bear ratio: -13bps wow @ 1.06 (below 1.30 historical average, between 1.00 – 1.80 extremes)
Bullish: -7.9pp @ 30.0% (below both 39 avg & 30 – 45 extremes)
Bearish: +10.9pp @ 46.5% (above both 30 avg & 25 – 40 extremes); a 12-month high
Neutral: -3.0pp @ 23.5% (below 31 avg); another post-Inauguration low
Measures respondents’ expectation for equity performance over next 6 months (through 7/2017).
[Previously: Retail allocations remain neutral, Institutional allocations remain neutral & Quantifying the “wall of worry”]
#Bullish #Contrarian

Technicals

Technical study: S&P 500 long term regression & standard deviation (February 2017)
by Doug Short (dshort)

The inflation-adjusted SPX is still resting right above the 2 sigma threshold (relative to its LT trend) — a level that has historically marked a market top…
Historical variances:
    Currently: +6pp mom @ +98%; a new cycle high
    Panic of 1907: +85%
    Great Depression: +81%
    Tech Bubble: +149%
    Great Recession: +88%
– Mean: +1.8% 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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