Portfolio Manager's Commentary on Investing and Trading in the U.S. Financial Markets
Saturday, April 28, 2012
Weekly Scoreboard*
Indices
- S&P 500 1,403.36 +1.80%
- DJIA 13.228.31 +1.53%
- NASDAQ 3,069.20 +2.29%
- Russell 2000 825.47 +2.66%
- Value Line Geometric(broad market) 366.64 +2.03%
- Russell 1000 Growth 665.50 +1.99%
- Russell 1000 Value 685.58 +1.67%
- Morgan Stanley Consumer 811.02 +.78%
- Morgan Stanley Cyclical 990.60 +1.50%
- Morgan Stanley Technology 706.21 +2.44%
- Transports 5,267.39 +.63%
- Utilities 469.46 +1.89%
- Bloomberg European Bank/Financial Services 76.56 +1.12%
- MSCI Emerging Markets 42.24 -.23%
- Lyxor L/S Equity Long Bias 1,021.44 -.88%
- Lyxor L/S Equity Variable Bias 814.66 -.61%
- Lyxor L/S Equity Short Bias 539.09 unch.
- NYSE Cumulative A/D Line 146,525 +2.32%
- Bloomberg New Highs-Lows Index 189 +219
- Bloomberg Crude Oil % Bulls 32.0 +39.1%
- CFTC Oil Net Speculative Position 212,386 -.55%
- CFTC Oil Total Open Interest 1,539,257 -1.99%
- Total Put/Call .84 -3.45%
- OEX Put/Call 2.01 +74.78%
- ISE Sentiment 77.0 -31.86%
- NYSE Arms 1.39 -1.42%
- Volatility(VIX) 16.32 -6.42%
- S&P 500 Implied Correlation 63.0 -4.54%
- G7 Currency Volatility (VXY) 8.87 -8.84%
- Smart Money Flow Index 11,147.93 +1.19%
- Money Mkt Mutual Fund Assets $2.582 Trillion unch.
- AAII % Bulls 27.64 -11.35%
- AAII % Bears 37.40 +10.52%
- CRB Index 305.51 +1.43%
- Crude Oil 104.93 +.86%
- Reformulated Gasoline 320.62 +1.68%
- Natural Gas 2.19 +8.38%
- Heating Oil 318.07 +1.33%
- Gold 1,664.80 +1.31%
- Bloomberg Base Metals Index 219.63 +3.09%
- Copper 382.50 +3.43%
- US No. 1 Heavy Melt Scrap Steel 402.67 USD/Ton unch.
- China Iron Ore Spot 145.40 USD/Ton -2.02%
- Lumber 284.70 +3.53%
- UBS-Bloomberg Agriculture 1,513.14 +.79%
- ECRI Weekly Leading Economic Index Growth Rate .60% -60 basis points
- Philly Fed ADS Real-Time Business Conditions Index -.3179 +6.14%
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 110.33 +.49%
- Citi US Economic Surprise Index -8.0 -13.0 points
- Fed Fund Futures imply 58.0% chance of no change, 42.0% chance of 25 basis point cut on 6/20
- US Dollar Index 78.71 -.55%
- Yield Curve 168.0 -1 basis point
- 10-Year US Treasury Yield 1.93% -3 basis points
- Federal Reserve's Balance Sheet $2.849 Trillion -.31%
- U.S. Sovereign Debt Credit Default Swap 37.0 +21.2%
- Illinois Municipal Debt Credit Default Swap 215.0 -.85%
- Western Europe Sovereign Debt Credit Default Swap Index 275.31 -2.56%
- Emerging Markets Sovereign Debt CDS Index 286.94 -1.56%
- Saudi Sovereign Debt Credit Default Swap 120.50 +1.26%
- Iraqi 2028 Government Bonds 83.41 -.55%
- China Blended Corporate Spread Index 628.0 -19 basis points
- 10-Year TIPS Spread 2.27% +2 basis points
- TED Spread 38.0 -2.0 basis points
- 2-Year Swap Spread 30.25 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -45.0 +2.5 basis points
- N. America Investment Grade Credit Default Swap Index 94.76 -3.91%
- Euro Financial Sector Credit Default Swap Index 242.17 -4.99%
- Emerging Markets Credit Default Swap Index 253.42 -4.47%
- CMBS Super Senior AAA 10-Year Treasury Spread 162.0 -25 basis points
- M1 Money Supply $2.248 Trillion +.40%
- Commercial Paper Outstanding 925.90 -.70%
- 4-Week Moving Average of Jobless Claims 381,800 +7,000
- Continuing Claims Unemployment Rate 2.6% unch.
- Average 30-Year Mortgage Rate 3.88% -2 basis points
- Weekly Mortgage Applications 697.70 -3.82%
- Bloomberg Consumer Comfort -35.8 -4.4 points
- Weekly Retail Sales +3.30% -30 basis points
- Nationwide Gas $3.82/gallon -.06/gallon
- U.S. Cooling Demand Next 7 Days 38.0% above normal
- Baltic Dry Index 1,156 +8.34%
- Oil Tanker Rate(Arabian Gulf to U.S. Gulf Coast) 40.0 +6.67%
- Rail Freight Carloads 239,276 +2.19%
- Small-Cap Growth +2.84%
- Large-Cap Value +1.67%
- Homebuilders +6.46%
- Road & Rail +4.69%
- Internet +4.51%
- Education +3.99%
- Oil Tankers +3.90%
- Papers +.01%
- Coal -.21%
- Gaming -.32%
- Steel -1.57%
- HMOs -6.80%
- CRAY, RDEA, CRUS, HZO, EXPE, SKX, GEOI, INCY, HK, HTWR, NEU, ABMD, ALGN, TKR, DFT, JJSF, TCBI, CSL, ARBA, ONXX, HVB, WPI, USNA, UMBF, ETH, PH, CGI, STMP and AVEO
- WMT, WAT, ODFL, MSM, CR, VAR, HES, K, N, LXK, INFA, HURN, VCI, CROX, ICON, ZIP, HSTM, CHRW, AKAM, NANO, RSG, IDCC, CTCT, SLAB, BIG, CRDN, NFLX, DECK, IPHI, NIHD and MDRX
ETFs
Stocks
*5-Day Change
Friday, April 27, 2012
Stocks Rising into Final Hour on Earnings Optimism, Euro Bounce, Short-Covering
Broad Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
- VIX 15.98 -1.60%
- ISE Sentiment Index 74.0 -28.16%
- Total Put/Call .84 +2.44%
- NYSE Arms 1.23 +27.48%
- North American Investment Grade CDS Index 94.02 -2.22%
- European Financial Sector CDS Index 242.23 -2.12%
- Western Europe Sovereign Debt CDS Index 275.25 +.46%
- Emerging Market CDS Index 253.02 -1.05%
- 2-Year Swap Spread 30.25 +.5 basis point
- TED Spread 38.0 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -45.0 -.5 basis point
- 3-Month T-Bill Yield .09% unch.
- Yield Curve 167.0 -2 basis points
- China Import Iron Ore Spot $145.40/Metric Tonne +1.11%
- Citi US Economic Surprise Index -8.0 -6.0 points
- 10-Year TIPS Spread 2.27 -2 basis points
- Nikkei Futures: Indicating a +19 open in Japan
- DAX Futures: Indicating +14 open in Germany
- Higher: On gains in my Tech, Medical, Biotech and Retail sector longs
- Disclosed Trades: Covered all of my (IWM)/(QQQ) hedges and some of my (EEM) short
- Market Exposure: Moved to 100% Net Long
Bear Radar
Style Underperformer:
- Mid-Cap Value +.01%
- 1) Disk Drives -2.92% 2) HMOs -2.91% 3) Coal -2.05%
- WDC, KEG, NUS, STX, WCG, CNC, PG, PTEN, MXWL, NANO, SIMO, DECK, HMSY, CTCT, ITMN, ABFS, BJRI, INFA, SBUX, SYNA, VPRT, HBHC, QLIK, RSG, NVO, LEG, CVH, GT, FPO, IDCC, AET, WM, AXL, PFG, N, SYNA and RSG
- 1) DECK 2) ALL 3) LO 4) DNKN 5) CALL
- 1) MDRX 2) DECK 3) LEG 4) SBUX 5) GT
Bull Radar
Style Outperformer:
- Large-Cap Growth +.35%
- 1) Internet +2.32% 2) Communications +1.12% 3) Homebuilding +1.10%
- AMZN, CRAY, NWL, ORLY, EXPE, CRBC, JAZZ, CPTS, WCRX, SAIA, WOOF, CPSI, CALL, ARBA, CERN, TRIP, SWKS, MOG, MAG, AEM, RMD, CODE, OIS, SHFL, MXIM, VCI, TRW, SPN, RNF, LL, ASGN and RYL
- 1) XCO 2) DECK 3) GNW 4) AMZN 5) CSTR
- 1) MXIM 2) EXPE 3) UPS 4) AMZN 5) PG
Thursday, April 26, 2012
Friday Watch
Night Trading
- Asian equity indices are -.25% to +.25% on average.
- Asia Ex-Japan Investment Grade CDS Index 167.0 +5.5 basis points.
- Asia Pacific Sovereign CDS Index 136.50 +2.0 basis points.
- FTSE-100 futures +.03%.
- S&P 500 futures -.38%.
- NASDAQ 100 futures -.07%.
Earnings of Note
Company/Estimate
- (AXL)/.63
- (B)/.44
- (CVX)/3.22
- (COV)/1.03
- (F)/.36
- (GT)/.09
- (IP)/.51
- (MRK)/.98
- (NWL)/.31
- (NEM)/1.14
- (PG)/.93
- (SPG)/1.67
- (SUP)/1.25
- (VFC)/1.87
- (WY)/.00
8:30 am EST
- The 1Q Employment Cost Index is estimated to rise +.5% versus a +.4% gain in 4Q.
- Advance 1Q GDP is estimated to rise +2.5% versus a +3.0% gain in 4Q.
- Advance 1Q Personal Consumption is estimated to rise +2.3% versus a +2.1% gain in 4Q.
- Advance 1Q GDP Price Index is estimated to rise +2.1% versus a .9% gain in 4Q.
- Advance 1Q Core PCE is estimated to rise +2.1% versus a +1.3% gain in 4Q.
9:55 am EST
- Final Univ. of Mich. Consumer Confidence for April is estimated at 75.7 versus a prior estimate of 75.7.
Upcoming Splits
- (SCVL) 3-for-2
Other Potential Market Movers
- The Italian bond auction and the BOJ rate announcement could also impact trading today.
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