Portfolio Manager's Commentary on Investing and Trading in the U.S. Financial Markets
Saturday, June 27, 2015
Weekly Scoreboard*
Indices
- S&P 500 2,101.49 -.40%
- DJIA 17,946.68 -.38%
- NASDAQ 5,080.50 -.71%
- Russell 2000 1,279.79 -.38%
- S&P 500 High Beta 34.32 -.72%
- Goldman 50 Most Shorted 147.02 -1.85%
- Wilshire 5000 20,033.58 -.47%
- Russell 1000 Growth 1,009.71 -.45%
- Russell 1000 Value 1,028.77 -.48%
- S&P 500 Consumer Staples 497.52 -.63%
- Solactive US Cyclical 133.98 -1.98%
- Morgan Stanley Technology 1,033.72 -1.04%
- Transports 8,242.47 -2.01%
- Utilities 555.12 -2.56%
- Bloomberg European Bank/Financial Services 121.25 +4.2%
- MSCI Emerging Markets 40.23 -1.13%
- HFRX Equity Hedge 1,227.58 +.59%
- HFRX Equity Market Neutral 991.86 -.04%
Sentiment/Internals
- NYSE Cumulative A/D Line 237,043 +.25%
- Bloomberg New Highs-Lows Index 170 +173
- Bloomberg Crude Oil % Bulls 19.5 -50.1%
- CFTC Oil Net Speculative Position 327,133 +.39%
- CFTC Oil Total Open Interest 1,652,013 +.62%
- Total Put/Call .91 -13.33%
- OEX Put/Call 1.08 +18.68%
- ISE Sentiment 84.0 -26.96%
- NYSE Arms 1.80 -3.23%
- Volatility(VIX) 13.96 +1.31%
- S&P 500 Implied Correlation 63.40 +3.71%
- G7 Currency Volatility (VXY) 9.86 -4.73%
- Emerging Markets Currency Volatility (EM-VXY) 8.99 -3.95%
- Smart Money Flow Index 17,498.44 +.71%
- ICI Money Mkt Mutual Fund Assets $2.602 Trillion +.10%
- ICI US Equity Weekly Net New Cash Flow -$3.450 Billion
- AAII % Bulls 35.6 +39.9%
- AAII % Bears 21.7 -36.8%
Futures Spot Prices
- CRB Index 224.87 +1.24%
- Crude Oil 59.63 +.44%
- Reformulated Gasoline 204.85 -.18%
- Natural Gas 2.77 -1.77%
- Heating Oil 186.28 +.15%
- Gold 1,173.20 -2.22%
- Bloomberg Base Metals Index 162.27 +.45%
- Copper 264.45 +2.76%
- US No. 1 Heavy Melt Scrap Steel 249.33 USD/Ton unch.
- China Iron Ore Spot 62.01 USD/Ton +1.06%
- Lumber 292.20 -2.37%
- UBS-Bloomberg Agriculture 1,122.65 +5.71%
Economy
- ECRI Weekly Leading Economic Index Growth Rate 1.2% +20.0 basis points
- Philly Fed ADS Real-Time Business Conditions Index -.1117 +6.21%
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 125.47 +.14%
- Citi US Economic Surprise Index -30.6 +5.4 points
- Citi Eurozone Economic Surprise Index 7.4 +10.2 points
- Citi Emerging Markets Economic Surprise Index -20.9 -3.8 points
- Fed Fund Futures imply 56.0% chance of no change, 44.0% chance of 25 basis point cut on 7/29
- US Dollar Index 95.40 +1.43%
- Euro/Yen Carry Return Index 144.38 -.73%
- Yield Curve 177.0 +13.0 basis points
- 10-Year US Treasury Yield 2.47% +21.0 basis points
- Federal Reserve's Balance Sheet $4.457 Trillion +.16%
- U.S. Sovereign Debt Credit Default Swap 16.18 -3.58%
- Illinois Municipal Debt Credit Default Swap 217.0 +.25%
- Western Europe Sovereign Debt Credit Default Swap Index 22.76 -21.2%
- Asia Pacific Sovereign Debt Credit Default Swap Index 57.42 -6.22%
- Emerging Markets Sovereign Debt CDS Index 303.52 -4.93%
- Israel Sovereign Debt Credit Default Swap 64.77 -.23%
- Iraq Sovereign Debt Credit Default Swap 655.02 -2.46%
- Russia Sovereign Debt Credit Default Swap 329.04 -7.04%
- iBoxx Offshore RMB China Corporates High Yield Index 120.86 +.22%
- 10-Year TIPS Spread 1.94% +6.0 basis points
- TED Spread 28.0 unch.
- 2-Year Swap Spread 23.25 -2.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap 20.5 -1.25 basis point
- N. America Investment Grade Credit Default Swap Index 66.91 -1.32%
- America Energy Sector High-Yield Credit Default Swap Index 1,114.0 -29.1%
- European Financial Sector Credit Default Swap Index 76.74 -14.61%
- Emerging Markets Credit Default Swap Index 303.78 -2.18%
- CMBS AAA Super Senior 10-Year Treasury Spread to Swaps 88.50+1.0 basis point
- M1 Money Supply $2.999 Trillion +1.25%
- Commercial Paper Outstanding 980.60 +.6%
- 4-Week Moving Average of Jobless Claims 273,750 -3,000
- Continuing Claims Unemployment Rate 1.7% unch.
- Average 30-Year Mortgage Rate 4.02% +2 basis points
- Weekly Mortgage Applications 384.50 +1.59%
- Bloomberg Consumer Comfort 42.6 +1.7 points
- Weekly Retail Sales +1.30% +10.0 basis points
- Nationwide Gas $2.78/gallon -.02/gallon
- Baltic Dry Index 829.0 +6.4%
- China (Export) Containerized Freight Index 811.09 -1.80%
- Oil Tanker Rate(Arabian Gulf to U.S. Gulf Coast) 37.50 -6.25%
- Rail Freight Carloads 276,907 -2.28%
Best Performing Style
- Large-Cap Growth -.4%
Worst Performing Style
- Mid-Cap Value -.8%
Leading Sectors
- Hospitals +9.8%
- HMOs +3.6%
- Homebuilders +3.0%
- I-Banks +1.6%
- Agriculture +1.2%
Lagging Sectors
- Semis -3.3%
- Computer Hardware -3.7%
- Road & Rail -3.7%
- Gaming -4.3%
- Coal -6.5%
Weekly High-Volume Stock Gainers (25)
- DMRC, GDOT, VTAE, NKTR, NVAX, KBH, HQY, PZN, WMB, CYH, CAG, LNN, RAVN, IPCM, PF, LPNT, TMH, IPI, THS, THC, EVDY, UHS, RDUS, AEGN and DPLO
Weekly High-Volume Stock Losers (17)
- PRTY, KMX, SBRA, TAHO, PKE, SONC, MAC, WSR, SNR, PLCM, SEMI, FNSR, NNBR, HWAY, WRLD, BPMC and MEI
Weekly Charts
ETFs
Stocks
*5-Day Change
Friday, June 26, 2015
Stocks Reversing Lower into Afternoon on China Bubble Bursting Fears, Greece Debt Deal Worries, Emerging Markets/US High-Yield Debt Angst, Biotech/Tech Sector Weakness
Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Slightly Below Average
- Market Leading Stocks: Underperforming
- Volatility(VIX) 14.74 +5.21%
- Euro/Yen Carry Return Index 144.31 -.26%
- Emerging Markets Currency Volatility(VXY) 8.78 +1.74%
- S&P 500 Implied Correlation 61.71 +.50%
- ISE Sentiment Index 78.0 -13.33%
- Total Put/Call 1.09 +.93%
- NYSE Arms .84 -32.92%
- North American Investment Grade CDS Index 67.40 +.21%
- America Energy Sector High-Yield CDS Index 1,102.0 +2.81%
- European Financial Sector CDS Index 76.74 -.53%
- Western Europe Sovereign Debt CDS Index 22.18 -2.59%
- Asia Pacific Sovereign Debt CDS Index 58.12 +1.24%
- Emerging Market CDS Index 303.64 +.77%
- iBoxx Offshore RMB China Corporates High Yield Index 120.86 +.04%
- 2-Year Swap Spread 23.25 +.5 basis point
- TED Spread 28.0 +1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -20.50 -1.5 basis points
- 3-Month T-Bill Yield .00% unch.
- Yield Curve 177.0 +6.0 basis points
- China Import Iron Ore Spot $62.01/Metric Tonne -.29%
- Citi US Economic Surprise Index -30.60 +2.1 points
- Citi Eurozone Economic Surprise Index 7.4 -2.1 points
- Citi Emerging Markets Economic Surprise Index -20.80 -.5 point
- 10-Year TIPS Spread 1.94 +1.0 basis point
- Nikkei 225 Futures: Indicating +199 open in Japan
- China A50 Futures: Indicating -629 open in China
- DAX Futures: Indicating -13 open in Germany
- Higher: On gains in my medical/retail sector longs, index hedges and emerging markets shorts
- Disclosed Trades: None
- Market Exposure: 25% Net Long
Bear Radar
Style Underperformer:
- Small-Cap Growth -.92%
- 1) Semis -2.83% 2) Networking -2.06% 3) Biotech -1.71%
- MU, ZTS, MEI, SNX, NTCT, RELY, AZUR, XRS, RMTI, DEO, APOG, XNET, CAF, EVDY, WRLD, HUM, POT, HIFR, CI, VDSI, GPRE, IPGP, ARMH, CMCM, NOAH, HQY, CBPX, AGNC, ANET, DYN, CMO and AVID
- 1) DHR 2) EXEL 3) EWA 4) XME 5) KBH
- 1) SNX 2) APOG 3) LULU 4) PBR 5) FEYE
Bull Radar
Style Outperformer:
- Mid-Cap Value +.07%
- 1) Hospitals +1.87% 2) Agriculture +1.94% 3) Restaurants +.78%
- FINL, WGO, CMC and NKE
- 1) DHR 2) SE 3) NKE 4) NTCT 5) MU
- 1) CYH 2) RH 3) NKE 4) THC 5) LLY
Morning Market Internals
NYSE Composite Index:
- Volume Running 8.7% Below 100-day average
- 6 Sectors Rising, 4 Sectors Declining
- 45.3% of Issues Advancing, 51.7% Declining
- 65 New 52-Week Highs, 140 New Lows
- 49.3% of Issues Above 200-day Moving Average
- Average 14-Day RSI 42.0
- Vix 14.0
- Total Put/Call 1.11
- TRIN/Arms .89
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