22 марта, 18:56

"A Perfect Storm": Why Are Stocks Crashing

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With all due respect to Marko Kolanovic, it appears that it was more than just the "severe snowstorm" that spooked stocks yesterday (and certainly today). As Nomura's Charlie McElligott writes this morning, a perfect storm (if not of the snow variety) converged and risk-off catalysts abound as "Growth-Scare" murmurs gain further steam, driving not only the Dow Jones nearly 500 points lower, but also a robust UST bull-flattening as duration is grabbed and as Spooz break-below their 100dma. The Dow has broken below the Fib 38.2% retracement, tested and failed to break its triangle from the February crash, and is at its lowest in almost 6 weeks. The Dow is down 450 points, breaking to the downside of the "triangle formation".... ... and tumbling... ... While the S&P 500 has broken back below its 100DMA: So what's causing this? Here are the details from McElligott: Trump / China tariff-hype ‘realizes,’ trade wars” meme ensues PBoC decision to piggyback the Fed’s hike with their own +5bps reverse repo borrowing-rate increase adds to Asia-ex Japan sentiment swoon An idiosyncratic placing of mega-long momentum name Tencent Holdings which saw the stock close -5% and dragged-down HSI (a 9.9% weighting) and will negatively impact EEM (largest holding at 5.9%) While Fed and PBoC hike, the data continues to soften as “growth slowdown” fears mount: Japan PMI miss; French Composite PMIs dropped to a seven-month low; German Composite PMIs missed for the second consecutive month while all three IFO measures of German sentiment fell for March as well; EZ Composite PMIs grew at the slowest pace in 14 months with misses in Manu and Service Then there was the just announced resignation of Trump's head Mueller-probe lawyer, John Down, which has reignited Trump impeachment jitters, and suggests that the president is becoming increasingly nervous what Mueller can and will do next. Turning back to Fed, the Nomura derivatives guru reiterates his belief that there was a “high bar” for the market to interpret this meeting as a “hawkish hike” was spot-on. Powell then actually delivered a de facto “dovish” message, as the optically “hawkish” ’19 / ’20 dots and terminal rate views were based off of “unprecedented at best” economic projections from the Fed--which Powell himself downplayed as low-confidence forecasts with negligible “predictive” power Equities instead focused on the near-term “tangibles”: by communicating “3 dots only” in ’18; by focusing on a willingness to “overshoot on inflation”; by not committing to press conferences at every meeting; by talking-down the neutral-rate etc--equities instead heard a “dovish pivot” from the HH version of Powell and didn’t get that “growth confirmation” I believe that many were actually looking-for Remember, equities bulls have remained of the view that we can handle higher interest rates if “growth” is driving a higher “neutral rate” in conjunction—so in that sense, his lack of “growth conviction” was interpreted as a disappointment However what the equities audience DID hear was a very pro-cyclical / pro-inflation “dovish” message which helped facilitate the extension of the rally in crude and S&P sector leadership from Energy, Materials, Industrials and Financials This move in “Deep-Value Cyclicals”—in conjunction with the idiosyncratic Tech sector negative drivers which are being exacerbated by asymmetrically ‘crowded’ positioning—created a number of outlier “factor” moves below the index-level. Putting it all together, this fits with the long-term view McElligott has been espousing: a medium-term (3-6m) “cyclical melt-up” as inflation “realizes” (higher commods and breakevens while “Value” outperforms “Growth”) before ultimately forcing the Fed to “tighten” at a pace which exceeds market expectations, driving higher UST term premium and “spilling-over” into higher cross-asset vol / lower risk-assets / wider spreads by end of year. Additionally, some observations on the short-end/funding markets, where tactically-speaking, the “short-squeeze” potential remains a focal-point going-forward, as hawkish Fed expectations were not met, which in conjunction with the scale of the short-positioning and ongoing “softening” in global data COULD set the table for bull-steepening. Furthermore, today’s “disappointing” LIBOR set (was pricing 1.6 yday, fixed today at 1.45--below mkt expectations) may further add to this “squeeze” pressure, especially as recent foreign buying “could embolden” further purchases in the front-end, as well as “lead to the re-emergence of domestic real money buying” Today we see this acceleration of the rates rally getting folks pretty nervous, along with the USD rallying back near flat—in turn pressuring / reversing some of yday’s gains in corresponding “short USD” trades.  The good news is that EU and Japan equities longs have been very reduced; the SPX / NDX exposure however remains very high within the macro universe—albeit hedged. Tactically within equities, the rally in fixed-income should continue the equities ‘pain-trade’ that is the MTD rally in ‘duration-sensitives’—while ‘growth’ feels tired and crowded right now. With mega-underweights Energy (best two-month seasonality since ’94 = March and April) and Utilities leading S&P performance against Tech’s fade, this has been a rough two-week stretch for equities funds, especially heading into the April “momentum unwind” seasonality. * *  * Finally, some troubling observations on April seasonals from McElligott, who notes the April performance of ‘momentum’ when it comes into the seasonality with top decile of performance (currently we sit at this +14% band)... ... as both longs and shorts get hit hard:

21 марта, 16:55

The US Stock Market's Flight To Fantasy

Authored by Pater Tenebrarum via Acting-Man.com, Divergences Continue to Send Warning Signals The chart formation built in the course of the early February sell-off and subsequent rebound continues to look ominous, so we are closely watching the proceedings. There are now numerous new divergences in place that clearly represent a major warning signal for the stock market. For example, here is a chart comparing the SPX to the NDX (Nasdaq 100 Index) and the broad-based NYA (NYSE Composite Index). The tech sector is always the last one to get the memo – we have dubbed this the “flight to fantasy” – and it is always seen near major market peaks. Incidentally, the Nasdaq was the last index to peak in 1987 as well (the DJIA topped out in late August of that year, the Nasdaq on October 5). So this is a well-worn tradition. The divergences that have been established between these indexes in the recent rebound from the early February are a big red flag in our opinion. The Urge to Burn Money As mentioned in the annotations on the chart above, investors are now paying 10 times revenues for more stocks than at any time since early 2000. We discovered the following gem via Jesse Felder’s latest report (well worth reading in its entirety). A few years after the peak of the tech mania, former Sun Microsystems CEO Scott McNealy was interviewed by Bloomberg. He said the following about Sun’s peak valuation in 2000 (it was one of the stocks trading at more than ten times sales at the time):   “At 10 times revenues, to give you a 10-year payback, I have to pay you 100% of revenues for 10 straight years in dividends. That assumes I can get that by my shareholders. That assumes I have zero cost of goods sold, which is very hard for a computer company. That assumes zero expenses, which is really hard with 39,000 employees. That assumes I pay no taxes, which is very hard. And that assumes you pay no taxes on your dividends, which is kind of illegal. And that assumes with zero R&D for the next 10 years, I can maintain the current revenue run rate. Now, having done that, would any of you like to buy my stock at $64? Do you realize how ridiculous those basic assumptions are? You don’t need any transparency. You don’t need any footnotes. What were you thinking?”   (emphasis added) The answer is of course that nobody did much thinking at the time – and the same is evident recently as well. Also via Mr. Felder, here is a chart that shows the number of S&P 500 companies trading at 10 times revenues over time – currently there are 28 such stocks; at the peak of the mania in 2000 there were 36 (for a very brief moment). The number of S&P 500 stocks trading at ten times revenues: “investors” are going crazy again.   It is quite ironic that companies trading at such lofty multiples are often characterized by the ability to burn cash at astonishing rates. For example, the above mentioned NFLX  – which is a great company with great subscriber growth rates – reported free cash flows of a negative $2 billion last year and plans to burn through $3 to $4 billion in the current year. However, to paraphrase Mr. McNealy, what are people who pay ten times revenues for the stock thinking? That there will be some luxury miracle? Hint: there won’t be; investors are going to see their money burn as well, even under the most generous assumptions about the undoubtedly glorious future.   Investors Tripping Over Each Other to Get In Remember when bitcoin exchanges could no longer keep up with all the new customers trying to open accounts? That happened in the two months before BTC peaked – it has since then declined by 55% (and was down by 70% at one point).  Guess what happened in terms of equity fund inflows over the past several months. Inflows into technology equity funds – left hand side, annual flows (in 2018 until March 07 they reached $5 billion, which as far as know is a record for such a short time); right hand side, 8-week rolling flows into tech funds, which shows the recent massive acceleration in inflows in greater detail. They sure love them when they’re expensive. Tech company CEOs are probably happy, since they are selling hand over fist (admittedly, they almost always do – it rarely happens that insiders at these firms do anything else, sincea lot of their compensation comes in the form of stock options).   For some reason investors tend to fall in love with tech stocks as soon as they are outrageously expensive. They don’t want to have anything to do with them when they are on sale (which happens rarely enough). The main point is though that whenever investors are getting this impatient to buy something that has gone up in price for many years, it is high time to get out of Dodge, because a financial accident is usually just around the corner. Plot twist: it’s not going to be different this time. It is also noteworthy that the market rally has become ever more concentrated in a handful of names. There are two reasons for this: 1. diminishing liquidity – it is no longer possible for the tide to lift all boats (this is also the message sent by the divergences in the first chart and by the market’s weak internals) and 2. the popularity of passive investing tends to boost the market caps of stocks that already sport the largest market caps, as new inflows into ETFs are invested according to the weightings of stocks in the underlying indexes. Obviously, this investment technique involves no analysis of the merits of buying these stocks at current levels. The following chart shows the proportion of the Nasdaq represented by the market cap of just five stocks (the FAANG stocks, i.e., Facebook, Amazon, Apple, Netflix and Google): The combined market cap of the FAANG stocks represents 26% of the total Nasdaq by now. This is traditionally also a major warning sign.   Conclusion: The stock market remains in dangerous waters just as the next rate hike approaches. At such junctures one should keep in mind that it is actually irrelevant whether the economy is doing well, or “forward” earnings estimates are strong, or confidence is high, and so forth. These data points always look great near market tops and conversely look awful near major lows. The decisive factors for the stock market are liquidity (i.e., money supply growth rates, which have collapsed), valuations (extremely high valuations will eventually be corrected, often violently) and market internals & technical divergences (which are a reflection of liquidity and risk appetites). With respect to the latter, here is an updated chart of the comparison of US and European stocks we frequently show in these pages. The bearish long term divergence between these markets has now been rounded out with a series of bearish short-term divergences: Since the Euro-Stoxx index has never regained its 2015 peak, there are now both long term and short term bearish divergences in place vs. the US stock market.  

20 марта, 20:48

Trading Legend Reveals How He Will Know "When The Real Bear Market Starts"

One month ago, we wrote an article laying out i) what we thought was the most important correlation in the market, namely that between the 10Y yield and the S&P500, and also ii) explaining why in the aftermath of the February 5 vol explosion, it had flipped. Specifically, we said that "the 90-day correlation between stock (SPY) and bond (TLT) markets has surged ominously in the last few weeks." Today, none other than fixed income derivatives trading legend, Harley Bassman, picks up on this especially relevant topic, to explain why it really is all about the correlation. For those who may be unfamiliar, after building out Merrill's mortgage trading floor basically from scratch, then moving to the buyside at Pimco, last summer Harley Bassman, more familiar to many traders as the "Convexity Maven" - a legend in the realm of derivatives - he designed the MOVE Index, better known as the VIX for government bonds - decided to retire (roughly one year after his shocking suggestion that the Fed should devalue the dollar by buying gold). But that did not mean he would stop writing, and just a few months after explaining why "a decline of as little as 4% in one day could start a critical crash", a prediction which was confirmed by last month's volocaust, today Bassman provides the answer to a question which virtually every trader is asking: when should one worry, and when will the real bear market start? While the full - and detailed answer is provided in the full report below - his summarized answer, "for the record", is that "the real bear market will start once the long-term correlation between stocks and bonds flips for good." As he explains, the reasons for this correlation quake are manifold, but would likely involve ten-year Treasuries rising above 3.25%. Such would require a domino effect of the Fed raising rates three or four times, which of course would be precipitated by rising inflationary expectations. He also points out that there is a risk of a "friendly fire" scenario "of inadvertently stumbling into a Trade War, which is suddenly no longer a Black Swan event. While China cannot reduce its Treasury holdings without elevating its own currency, it certainly could threaten to sell Treasuries. Since provocative political bluster is now de rigueur, a few tweets from the Bank of China could be quite effective." And while we would go a little further, and say that one should keep a close eye on the USD and funding markets, the current state of the tech bubble, vol gamma, the Libor-OIS, the 10Y yield, and of course, overall market liquidity, which as Goldman yesterday finally admitted is "the new leverage", we fully agree that perhaps the most important "reversal" indicator would be the bond-stock correlation, and specifically the moment when it no longer reverts. Bassman's full thoughts below (pdf link): “How will I know…..” Last summer, in “Rambling near the Edge” (July 10, 2017), I highlighted that a combination of Risk Parity and Volatility Targeting strategies had contributed to a negatively convex market profile; and that such portfolios governed by a rules-based risk management process (similar to a Value at Risk – VAR paradigm) could become quite unstable in a slightly more volatile environment. An extension of this observation led me to suggest that one could synthetically model this risk profile as long an Index portfolio plus short a +/- 4% out-of-the-money strangle (on the Index). Thus, the quotable notion that as little as a 4% decline of the SPX in a single day could be enough to create the critical mass needed to shake portfolio managers out of their FED-induced somnambulance. I suppose better lucky than smart………. I doubt you need reminding, but on February 2nd the SPX closed down 2.1%, which elevated the VIX from 13.5 to 17.3; a level last visited in August 2017 and still well below its ‘forever average’ of 19.3. The next day, February 5th, as shown below, the SPX experienced a late day tumble that clipped down 4.5% from the prior close before the bell rang to record a 4.1% daily decline. The VIX crossed 20 soon after lunch, and closed the day at 37.3, up 116%. Portfolio managers governed by tight stops or reliant upon short-term signals had to close out positions as the VIX breached 50 (overnight) for only the second time since the Lehman collapse. The jump in the VIX, and the schadenfreude-laced news that the best investment strategy of 2017 (XIV) collapsed by 95% overnight, has been well documented by the press and other pundits. What has not been detailed are the contributing factors and what may presage a much greater drawdown. Expanding upon a notion detailed on page 6 of “It’s Never Different This Time” (January 29, 2018), the level of Implied Volatility is important for quantitative portfolio management as more than just a scalar measure of risk, i.e., VIX as the infamous “Fear Gauge”. Implied Volatility also generates the Greeks (delta, gamma, theta and vega) that define trading parameters and trigger stop-outs.  Hence, unanticipated market movements can force indiscriminant hedging activity as risk managers suddenly outrank their CIOs. Whipping out a pen from my plastic pocket protector, an (annual) Implied Volatility of 19.3% (the VIX average) can statistically be reduced to a single-day standard deviation (often called the daily breakeven) of 1.21%. [19.3 / 15.9 = 1.21; where 15.9 = square root of 252 trading days] The line below is the VIX for the prior year, which averaged about 11.25. Playing a bit fast and loose with Stat 101, this would impute a daily volatility of 0.71%. That makes the 4.1% close-to-close change on February 5th a 5.78-Sigma event (4.1 / 0.71), which should occur about once every 2 million years. A fairer proposition would be to use the VIX close on February 2nd of 17.3. By that measure, the February 5th drawdown was a mere 4-Sigma event, which should only occur once every 31,560 days, or 126 years. My purpose here is to highlight how totally unprepared much of the investment community was for what in hindsight was a rather pedestrian correction. After an extended period of low (but not unprecedented) volatility, many risk  models dialed-down such that an annual July 4th fireworks display suddenly was treated like a once-in-a-lifetime visit from Halley’s comet. In the more common environment of the VIX at 21, a 4% move would be expected to occur  about once every three years, which sounds about right. The point of this rather long preamble is to explain how quantitative investment management can be problematic. Specifically, strategies that rely upon short-term signals and have narrow loss limits can be forced to transact at unfavorable times; thus were many managers shaken out of otherwise fine investments. I believe the main reason February’s convulsion was relatively contained, with almost a full recovery of the SPX and a return of the VIX to a more normal 17ish, is that ‘short-signal’ managers control only a relatively small portion of investment capital. The ‘big money’ tends to make decisions using longer observation periods to reduce both the statistical noise as well at the transaction costs associated with increased activity. Hence, there is no need for position adjustments until there is a more sustained decline. Let’s segue to the topic at hand. Among the most successful macro portfolio managers have been those engaged in the Risk Parity strategy. Using a broad brush, a Risk Parity portfolio owns both stocks and bonds in statistical proportion to their volatility and correlation. The trick is that, instead of a standard unlevered 60/40 construct (60% equity + 40% bonds), leverage is employed to take advantage of the relationship between these two assets. For example, an ordinary passive investment portfolio of $100 might buy $60 of the SPX and $40 of US 30-year bonds. Alternatively, a Risk Parity portfolio of $100 might own $70 of SPX and $130 of bonds. On its face, this may seem imprudent since $200 of assets have been purchased with only $100 of capital; but in fact, this sort of portfolio has proved less volatile over the recent past. This is because stocks and bonds have exhibited a significant negative performance correlation over the past decade. (Well, actually they are positively correlated when measuring changes in the SPX’s price and the Bond’s yield.) Above is the three-month moving average of the three-month correlation between the SPX price change and the Sw30yr yield change. What is most salient to note is how this correlation was close to zero in the decade prior to the Great Financial Crisis (GFC) but has since clocked in near 40%. There are two common explanations for this shift to a stronger correlation. The first postulates that this is the result of the heavy hand of Financial Repression. The obvious support for this notion is the lurch to correlation soon after the start of Quantitative Easing (QE) by the Fed. The alternative explanation is that the stock-to-bond correlation has been observed to be well associated with the level of Inflation. During times of low inflation, a rate decline can signal economic weakness, which is negative for stocks (bonds prices up / stock price down - positive correlation). However, at times of higher inflation, rising rates would presage a Fed tightening of monetary policy, which could pressure equities lower (bond prices down / stock prices down - negative correlation). While it is possible that the presently elevated positive correlation could be related to a low and steady CPI, it is unquestionable that QE is a direct result of low inflation. Its purpose was to raise Inflation to the Fed’s target level. Notwithstanding the above, I see no reason to untangle the chicken from the egg; QE will revert to QT (Quantitative Tightening) as inflation begins to rise. Thus, we arrive at a truly strange anomaly, the result of a well-intentioned public policy that seems to have inadvertently contributed to our disruptive politics.   As noted, since the GFC in 2008-09 there has been a high correlation between the daily changes in stock prices and bond yields – when stock prices go up, bond prices go down, and vice versa. As such, one should suspect that if stock prices are near a record high, bond prices might be approaching some sort of nadir. Instead, both asset classes are near the upper edge of a decade’s performance. This is possible because of the different time periods used to measure correlation. On a daily basis these assets have been self-hedging as they have wiggled in opposite directions as buffeted by the news of the day. But over the longer-term horizon, they have both been elevated via Central Bank monetary expansion; a key contributor to rising income inequality. Risk Parity’s tremendous success is revealed via the SPX price in the chart above and the price of a constant 30-year treasury bond. Risk Parity portfolios have been ‘levered long’ assets that have both increased in value. (We used to call this a Texas-hedge.) Here is the bottom line: If this correlation turns negative so that both stock and bond prices decline, Risk Parity portfolios will be modified to reflect these new correlations and volatilities. In simple terms, they will sell. Risk Parity portfolios will not remain levered long if both assets are declining. So you want to know when to worry ? For the record: The real bear market will start once this correlation flips. Reasons this could occur are manifold, but it likely would involve ten-year Treasuries rising above 3.25%. Such would require a domino effect of the Fed raising rates three or four times, which of course would be precipitated by rising inflationary expectations. Of course, there is also the ‘friendly fire’ scenario of inadvertently stumbling into a Trade War, which is suddenly no longer a Black Swan event. While China cannot reduce its Treasury holdings without elevating its own currency, it certainly could threaten to sell Treasuries. Since provocative political bluster is now de rigueur, a few tweets from the Bank of China could be quite effective. Your comments are always welcome at: [email protected] Harley S. Bassman March 19, 2018

18 марта, 13:15

S&P 500 неделя заседания ФРС

                Приветствую всех своих читателей!                В прошлое воскресенье рассматривал различные варианты движения индекса, но глобально с большей степенью вероятности смотрел вверх. Кто не читал стоит освежить начать от туда, а кто читал, освежить в памяти.                Собственно в понедельник и вторник рынок еще продолжал некий рост, но потом прошла коррекция, которая по моему мнению является iv в 3 волной.                Но для начала стоит еще посмотреть на старый график мартовского контракта, в котором рисовал локальную «перевернутую голову с плечами» IH&S. Как видим реализация первой цели практически получилась, и пошел ретест уровня шеи.                Ну а сейчас хочется немного поразмышлять о фактах на текущий момент и попробовать понять куда движемся дальше:                1. Rollover 8 марта прошел в диапазоне 2724,25-2745,5 и после этого был выход вверх аж до 2807,25 по уже рабочему июньскому контракту                2. Экспирация прошла на отметке 2752,75 по мартовскому контракту;                3. Прошлый Rollover декабря 2017 года прошел 2629-2643,75. Иными словами мартовский контракт как не крути закрыли в плюс (см. пункт 2)                4. На этой неделе заседание ФРС и вероятнее всего учитывая предыдущие повышения ставок, в этот раз ставку не поднимут или сделают это чисто символически на 0,25 базовых пункта, тем самым успокоив рынок до июньского заседания, а то и до сентябрьского.                На мой взгляд, если бы июньский контракт готовили к движению вниз, то старались бы провести и Rollover и экспирацию, хотя бы в диапазоне 2811-32.                По этому предполагаю, что июньский контракт так же у больших парней лонговый и как следствие росту быть, тем более у спот рынка (индекс SPX) есть проблемы с незакрытыми гэпами вверху, да и максимум исторический поставлен без него.                По SPX максимум равен 2872,87, а по ES 2878,5 и это по мартовскому контракту, уже не говорю про июньский, который все время был в контанго к мартовскому и его максимум по ES равен 2883,25 — НЕПОРЯДОК!!!                Все вышесказанное надо исправлять!                На новой неделе, конечно могут высадить лоу прошлой, ибо под ним полагаю очень много стоп приказов стоит у быков.                Кроме того, как видно из графика (красная горизонтальная линия) — уровень 2739,5 — это первая январская коррекция и вокруг нее не раз уже плясала цена и в мартовском контракте.                 По этому не исключаю, что могут пройтись даже до уровня 2723-10 и уже от туда начать движение вверх выше 2800 и к новым историческим максимумам.                Стоит не забывать, что Наздак еще на прошлой неделе в пятницу их у себя установил и уже закрепился там. То есть коррекция этой недели у него лишь ретест бывших максимумов в отличие от SPX. Но надо не забывать что S&P всегда тяжелее идет и ему нужно время.                Разумеется надо держать руку на пульсе и реагировать по ситуации.                 Все свои актуальные мысли ежедневно выкладываю у себя в Канале и в Чате.                                 На текущий момент:                 Уровни сопротивлений: 2768, 2772, 2784, 2789, 2802, 2808-11, 2821-27, 2846                 Уровни поддержек: 2751-48, 2745, 2736, 2722-20 2716, 2709-07, 2702-698, 2672, 2663                 Всем удачных торгов!                Итоги работы Чата за 2017 год по фьючерсу ES (в пунктах на один контракт) — 696 пунктов:                           Общий январь-февраль 264,75                 Март на текущий момент 80 пунктов на 1 контракт.                 Подробная информация помесячно за прошлый год по ссылке                Для желающих присоединиться к чату, координаты ниже.                  Для связи:                   Whatsapp +792827944 ( ноль девять )                   skype: ivandashkov                   instagram: idashkov                  Напоминаю, что помимо своего Чата, где транслирую ежедневно все свои сделки онлайн, еще открыт канал в Telegram где ежедневно пару тройку раз даю свое видение по рынку, но без рекомендаций и конкретики по сделкам.                  Telegram @I_Dashkov                  P.S. Ну и раз у нас в стране сегодня «великий» день, то хочется немного и про это поговорить!                  К сожалению, как обычно альтернативы нет и все это уже больше напоминает Фарс. Куча кандидатов ежедневно ведут дебаты: по 1 минуте вступительные слова, по 4.40 болтовни, и по 30 секунд завершающие, а главный кандидат даже не появляется на них — типа не надо. А за чем? Можно несколько часов трендеть по всем основным каналам как действующий.                  Нет — реально я не против Путина, кроме того его внешняя политика мне нравится (можно даже и жестче), но блин внутри страны бардак как был так и есть и все «Правительство» на мой взгляд куча воров и непрофессиональных людей. И при этом он их продолжает держать на местах уже какой год. А следовательно — это как минимум лицемерие.                  По этому, лучше всего подходит только вот это фото по ситуации                  С улыбкой наблюдаю за этим Цирком, и думаю, а что же будет через 6 лет, какую идею нам предложат.                  Попробую быть пророком и предложу свои варианты:                  1. За 6 лет к РФ решат присоединиться например ЛНР и ДНР, и скажем еще какие-нибудь мелкие банановые республики из состава бывшего ЧИ-ЧИ-ЧИ-ПИ.                  А возможно даже не откажутся и Белоруссия с Казахстаном.                   Только все они войдут не как республики или края, а как независимые Государства и это будет Конфедерация, а ей как мы прекрасно все понимаем нужен новый Глава! :)                  Единственное, надо бы сменить тогда название с Россия на Росс и Я — так будет правильнее.                  2. Этот вариант хуже. Если первый он мирный, то второй может просто пойти не известно по каким сценариям, но когда у государства просто не будет вариантов кроме как военных конфликтов и при этом раскладе, господина Путина просто оставят у руля, как в свое время в США оставили Франклина Делано Рузвельта во время Второй Мировой Войны, на третий срок.

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16 марта, 17:04

Update On Our Global 2018 Views

Nikko AM's Global Investment Committee meets quarterly to predict trends for the next year. Our updated view remains positive on the global economy and equity markets even as global bond yields rise a bit further. Our SPX target remains near 3,000 by year end, with impressive gains elsewhere too.

13 марта, 23:53

Gain Exposure to Industrial Machinery with These 5 Stocks

Healthy domestic demand and strong export orders is important in determining the demand for industrial machineries. Gain exposure with Rexnord, Applied Industrial, Roper, Zebra and SPX FLOW.

12 марта, 18:25

"What Do You Think About The Markets?" - One Trader Says "It's A Good Week To Reconsider"

Trade wars, buy 'em. Slow wage growth, buy 'em. Disappointing economic data, buy 'em... In fact, the last few months (years) have provided endless examples of the delusional 'bad news is good news' narrative as anything potentially harmful to the economy (or markets) is instantly brushed off with a nod to The Eccles Building (or its equivalent in Brussels, Beijing, or Tokyo). However, as former fund manager Richard Breslow warns, it’s a good week to reconsider. Which is a somewhat strange thing to say during a year when we’ve been repeatedly doing exactly that. And in rapid fashion. Via Bloomberg, The answer to the question,“what do you think about the markets” has become, “I’ll let you know after the next move.” That’s some destructive mixture of fatalism and determinism that has no place in trading. So stop it. Equity markets ostensibly want to boom again. After all, the non-farm payroll release was a Goldilocks number for share traders, tariffs are being rolled back even before they’re rolled out, Cohn’s come and Cohn’s go. And let’s face it, the BOJ and ECB hawkish fantasy makes great reading but will be a reality for another day. The BOJ won’t abandon their liquidity provisions because there’s a scandal boiling over in Japan. Stop and think about that as you think of a real reason the currency may challenge 100 to the dollar. And, hey, if you hated the S&P 500 below 2600, you have to love it at 2800. That’s true not because the facts changed, but because of an apparent latent addiction to facial peels. It took a brave (euphemism) trader to want to buy euros in front of the big resistance looming above 1.25 versus the dollar before the ECB meeting. I’m equally impressed with the number of people looking at E-Mini futures this morning at 2800 and willing to assume away all of the recent woes. I guess reading charts really is an art not a science. Ask people in a quiet moment what they think of stocks and you tend to hear, hate them but they go up first. I get the concept for liquid currencies. It’s harder to use that profitably with equities. Which is why I’ve been floored in the last week or so by how many introductions I’ve received to the wonderful concept of getting in on the latest ground floor in frontier markets. I can match the capital cities to the countries, which already puts me clearly in the more up-to-speed category. But it’s a low bar. My thoughts always go back to, if you think the world is ultimately a mess, why should I buy something predicated on that not being so. The carry on Mozambique’s tuna bonds didn’t make them not stink in the end. And is this really the time to get involved in countries you know nothing about? If the answer is yes, then you need to perhaps reconsider what that means for every developed market asset in your portfolio. And where you think they go from here. Beware of the seemingly uncorrelated asset in your portfolio snapping right to one as soon as things go south. And any promised liquidity with it. But if you are secretly bullish, then be bullish, not embarrassed to say so. We have some chunky Treasury auctions coming this week. How they go seems important to me, offering a clue as to what environment investors really think we’re in. As long as the 10-year yield stays in this lousy range, be comforted that there are more people out there just as conflicted. There are also a number of other global equity markets that appear to be at similar technical inflection points as the SPX. You may have better and worse performers, but it’s unlikely to see meaningful divergence. What to follow? Hint, hint, hint: try to find things you think are going to move to trade and don’t seek the comfort of the old low-volatility environment by fixating on an asset that’s just locked in a range. Their, and your, time will come

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12 марта, 15:40

Implied Volatility Surging for SPX FLOW (FLOW) Stock Options

Investors need to pay close attention to SPX FLOW (FLOW) stock based on the movements in the options market lately.

12 марта, 12:02

Why Is CBOE Holdings (CBOE) Up 12% Since Its Last Earnings Report?

CBOE Holdings (CBOE) reported earnings 30 days ago. What's next for the stock? We take a look at earnings estimates for some clues.

12 марта, 01:45

Who Is Lying?

Authored by Sven Henrich via NorthmanTrader.com, It was a good week to be bullish and the buying was ferocious and on the surface it appears that bulls won a major victory and bears look to have flailed again. Correction over. New highs on Nasdaq with $SPX recapturing all key moving averages including the 50MA, the 21MA, the weekly 5EMA and all is looking rosy again. Next week bullish OPEX, a sheepishly dovish Fed again the week after and then mark-ups for the month and quarter end. One can firmly smell the standard bullish seasonal script. Or is it all a big lie? And if so, who is lying? After all, nothing is more ferocious than bear market rallies. Bear market are you nuts? Just look at $AMZN. To the moon Alice, to the moon. Let’s have a look at the larger picture shall we? First off, was the bullish outlook this week a surprise? No, it wasn’t if you paid attention to the signals and charts. Larger market readings were still very oversold at the beginning of the week and I highlighted an example of this on twitter on Monday: If you're still surprised by today's ramp, don't be.... pic.twitter.com/DEX9sYakYE — Sven Henrich (@NorthmanTrader) March 5, 2018 These readings actually were consistent with major recent lows and may well be this time too, but it’s not that simple from what I’m seeing, but I’ll get to that in a minute. But chart structures told us to be bullish, after all we saw very specific bullish structures as I outlined in Fog Monster: “…if you want to be bullish here you can envision a series of inverses to play something like this”: Indeed we saw a similar script unfold throughout the week: The Cohn resignation dip was bought quickly and $ES played a 2nd inverse right back toward end of February highs with $SPX breaking above its trend line: All seems well. But if you zoom out a bit $SPX just managed to get back to its longer term trend line: And right here it gets very interesting. Tech and various components raced to new highs and in doing so repeated a pattern we saw in March 2000. New highs on $NDX but not on $DJIA. I described this coming event this week in Market Paradox. And indeed look at the various other index components, nowhere near new highs: $DJIA: And while $DJIA cracked above its 50MA, look at other indices: $NYSE: $TRAN: These are a very large market divergences we are witness to here. Even small caps, as strong as they were this week, did not make new highs yet and their underlying volatility index tagged their descending trend line: $JNK barely played along: What’s it all mean? Well, from my perch bulls still have a lot to prove here. Lets’s dig a bit deeper into the leader of this rally, the Nasdaq: $NDX is close to its upper trend line dating back to 2015 and new highs came on a very distinct negative divergence. One that is very pronounced on the weekly chart: Why is this relevant? Because it speaks to weakness of new highs underneath. And we can see it in the internals. Nasdaq new highs- new lows are weaker than during previous highs: Fewer components are above their 50 and 200 day moving averages: And even tech’s monster, $AMZN, is showing signs of divergences that have spelled trouble in the past: Check the history: Add that $AMZN is tagging its 2009 trend line it too has a lot to prove here and is risking a revisit to the weekly 50MA based on its weekly negative divergence history. This would constitute a massive drop on the stock and by extension the $NDX itself. What all these charts are saying is that the rally, as strong as it appears, has major problems in internals, something I highlighted in Broken. Here’s the updated chart: And despite the rally the descending trend in equal weight has not improved: Bottomline: From my perspective the rally of last week, while making perfect sense from a technical perspective, has not rung the all clear. Far from it. There are deep internal issues in markets that suggest that further gains, while certainly possible, may find themselves seriously tested by the pull of history. In this case this is a rally that bears wanted and want, to alleviate oversold conditions and bring about the negative divergences that have spelled major trouble in the past. After all yields have not dropped here and the ultimate bear ratio chart still stands unresolved: And $SPX is retesting its 1987 trend line: Volatility has subsided again and the coast is clear. Or is it? That’s a ghost print on the $VIX there seemingly tagging its trend line. Perhaps we will see a proper tag this week, after all its OPEX week, but $VIX remains above the descending trend line and we will soon find out who is lying. Further gains are therefore possible, but without new highs across the board and continued questionable internals the rally is questionable.

09 марта, 20:24

US Stocks Suffered "Massive" Outflows As The S&P Jumped

Add one more paradox to a market that seemingly refuses to follow any logic. In a week in which the S&P did not suffer one down day despite the "Cohn Gone" scare and Trump's trade war announcement, US stocks suffered "massive" - in Reuters' words - outflows, according to BofA analysts and EPFR data, which found that investors rushed into government bonds and other safer assets. Yet while investors bailed on stocks, someone else was clearly buying, as seen by the S&P's weekly performance.  How is this possible? Two words - stock buybacks. Looking at the past week, as investors allocated modest capital to European, Japanese and EM funds (+0.1$BN, +$4.1BN and +$0.8BN respectively), they pulled money out of the US at a frantic pace, redeeming $10.3 billion from U.S. equity funds. The risk-off mood drove investors to put money into the safest of venues, money market funds, whose assets jumped to $2.9 trillion, the highest level since 2010. Gold also saw inflows of $0.4 billion. Confirming that retail investors were spooked by trade war fears, U.S. small caps "were sheltered from the storm" and enjoyed a tiny $0.03 billion in inflows, offset by $10.1 billion in large-cap outflows. That said, Trump's backing down and exempting of Canada and Mexico from the final tariffs announced late on Thursday eased investors fears, while news the U.S. president would meet with North Korean President Kim Jong Un caused crude prices to rise. "US-DPRK detente suggests protectionism can remain at "bark" not "bite" stage," argued strategists. Still, BofA's Michael Hartnett is less sanguine, pointing out that "as QE ends, protectionism begins." He adds that the upcoming "war on Inequality" will be fought via Protectionism, Keynesianism, Redistribution, and warns that with "monetary & fiscal policy now spent" it leaves markets to discount Protectionism, even as global tariffs are very low (for now as shown below). This is offset by the US-DPRK détente, which suggests that "protectionism can remain at “bark” not “bite” stage." Furthermore, as we noted earlier another latent risk is the imminent end of QE: with just 116 trading days until SPX enters the longest bull market all-time, "bullish QE is peaking as Fed/ECB/BoJ have bought $11tn of financial assets since LEH" while in 2018 the Fed will sell $400bn in assets, the ECB tapers in Sept, and by year-end Fed/ECB/BoJ asset purchases turn -ve YoY. The approaching end to quantitative easing also caused outflows from rate-sensitive credit markets, driving BAML's "Bull & Bear" indicator of market sentiment down to 6.8, down from 7.6 in the previous week. The indicator's 10-point scale ranges from most bearish at zero to most bullish at 10. It's not just equities: junk bond outflows are also accelerating, with redemptions for eight straight weeks and $3.1BN redeemed in the latest week, while investment grade inflows continue to lose momentum as IG bonds remain some of the worst YTD performers amid rising rates. Yet nothing appears able to dent what is going on in the tech sector: while global tech funds did slip last week, losing $0.2 billion, they have drawn in record inflows of $42 billion so far this year, even as the market cap of U.S. tech stocks already dwarfs the combined market cap of emerging markets' and euro zone equities. Finally, going back to the growing risk of protectionism, here Hartnett writes that the ideal fund to capitalize on global trade war would be: "long “stagflation”…long cash, commodities, real estate, equity volatility, growth defensive sectors e.g. health care " There was some good news for long-suffering carbon-based fund managers: the silver lining was that active management continued its comeback, if only for the time being - actively managed funds saw their biggest inflows year-to-date since 2013.

07 марта, 18:50

Cboe Global Markets (CBOE) Gains on Record February Volumes

Cboe Global's (CBOE) February ADV reflects record volumes in VIX futures, VIX options and SPX options plus a record trading in Cboe Options Exchange and Cboe Futures Exchange to name a few.

07 марта, 10:12

Финансовый крах 2009 года: девять лет спустя

Девять лет назад в разгар финансового кризиса было обозначено так называемое дно, когда большинство фондовых активов протестировали минимальные отметки. Какие активы принесли инвесторам больше всего прибыли?

07 марта, 10:12

Финансовый крах 2009 года: девять лет спустя

Девять лет назад в разгар финансового кризиса было обозначено так называемое дно, когда большинство фондовых активов протестировали минимальные отметки. Какие активы принесли инвесторам больше всего прибыли?

07 марта, 00:01

9 Years "Off The Lows": World Stocks +200%, Central Banks +170%, Dollar Unchanged

More chaotic swings in stocks today... It's been 9 years since President Obama called the bottom in the S&P 500 at 666 and there has been one asset that has crushed everyone else... But away from crytpocurrencies... Global Stocks are up 200%, Global central bank balance sheets up around 170%... and the Dollar is unchanged... As a reminder, the Bank of England launched its QE program on March 5, the day before US stocks hit their lows. The SPX rallied 14% between the close on the 5th and that of the day before the Fed launched its own asset purchase program. Perhaps, as Bloomberg's Cameron Crise notes, the UK still has a few things to teach its younger, larger cousin... *  *  * Since Trump dropped the "T" word last week, gold is the best performer with today's bounce in stocks pulling The Dow green, bonds are unch and the dollar is weaker... Small Caps, Nasdaq, and the S&P are all green post-Trump Tariffs, The Dow and Trannies are unchanged... On the day, stocks chopped around on headline roulette around North Korea hope and tariff hype...   The Dow ended at exactly 50% retracement levels from the record high to Feb lows... (350 point swing in The Dow today)   Bank stocks surged once again, extending the gains off Friday lows...   And FANG stocks are up almost 9% from Friday's lows...   VIX tagged a 17 handle intraday again...   With rate-locks lifting ahead of CVS' massive issuance, Treasuries flatlined on the day   The Dollar Index tumbled again today (extending the post-Trump-Tariff drop), erasing   Gold and Silver surged today as the dollar weakened but crude ended unch ahead of API inventory data tonight...   The silver/crude divergence got some chattering about the ratio's seeming resistance...   Ugly day for cryptocurrencies (for no good reason)... As Bitcoin caught down to Nasdaq...

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05 марта, 16:28

US 30 and Nasdaq 100 Analysis – March 05, 2018

Global stock markets saw frenetic trading last week, amid concerns of a trade war and a more aggressive Federal Reserve. A broad sell-off began on Thursday after Trump announced that his administration would impose tariffs on steel and aluminium imports. Although the Dow (US30) initially fell nearly 400 points on Friday, most of the losses were recovered by the close. The Nasdaq 100 (NDX) and the S&P 500 (SPX) both closed with small gains, after declining 1% earlier in the day. Moreover, a weaker U.S Dollar has been supportive for U.S equities. In recent sessions, the Dollar Index was rejected from the key 91.0 level and further declines may help boost U.S. equity indices. US 30 Index In the daily timeframe, the US30 index found strong support on the trend line from the lows of February. While above 24300, the index could trade with a bullish bias, with resistance at 24830, 25000 and then 25200. If there is a reversal and a break of 24300, downside support can be found at 24070 and 23730. Nasdaq 100 Index The Nasdaq has been the strongest U.S. equity index, as the decline from the highs at 7002 have been quite shallow, with just a 38.2% Fibonacci level retracement to 6680. A shallow decline can lead to strong gains if the index can break to highs above 7002. In the daily timeframe, NDX needs to trade above 6680 to maintain a bullish bias, with resistance at 6820 and 6865. On the flip-side, a reversal and break below 6680 would change the outlook, with support at 6639 and then 6600.

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05 марта, 13:05

The S&P 500 Is Internally Broken

Authored by Sven Henrich via NorthmanTrader.com, The S&P 500 is internally broken. You don’t see it in price yet, but you can see it in the internals. For weeks I’ve been outlining my concerns of narrow leadership in markets including in late January before the big correction in The Narrow Rally  and even this week in Tech Cracks before the resumption of weakness this week. The correction and subsequent bounces have deepened these concerns. Why? Because despite rallies that, for now, have saved the trend in price they have utterly failed to repair the damage in internals and I can show you this with one key chart: The cumulative-advance-decline mix versus the $SPX. See for yourself, the price advance early in the week rejected precisely at the underbelly of the broken trend line: While $SPX barely saved its 2016 trend line into the close on Friday we can observe that the cumulative $NYAD trend remains technically busted. Until this trend is repaired all rallies are to be regarded with technical suspicion. If the trend can’t be repaired the signal is structurally bearish for the S&P 500. [ZH: We also note that Hindenburg-style action is very prominent in the markets over the last month as highs/lows and advances/declines "disagree" with the market's short-term momentum swings] This does not preclude further rallies, but represents a big fat warning sign that things are not quite right under the hood, a message further supported by the message I outlined in The Market has a Junk Problem. It appears the market’s problems are mounting.

03 марта, 00:45

Nomura: What Is Happening Is The Fed Unloading Their "Short Vol Position"

Two months ago, we detailed what the current Fed Chair (then a mere mortal) Jay Powell said during the October 23-24, 2012 FOMC meeting - just one month after the Fed announced QE3, as exposed by recently released FOMC transcripts: I have concerns about more purchases. As others have pointed out, the dealer community is now assuming close to a $4 trillion balance sheet and purchases through the first quarter of 2014. I admit that is a much stronger reaction than I anticipated, and I am uncomfortable with it for a couple of reasons. And then the punchline: [W]hen it is time for us to sell, or even to stop buying, the response could be quite strong; there is every reason to expect a strong response. So there are a couple of ways to look at it. It is about $1.2 trillion in sales; you take 60 months, you get about $20 billion a month. That is a very doable thing, it sounds like, in a market where the norm by the middle of next year is $80 billion a month. Another way to look at it, though, is that it’s not so much the sale, the duration; it’s also unloading our short volatility position. Ah yes, unloading the Fed's "short volatility position". Fed's VIX trading aside, here is perhaps the most fascinating part of Powell's speech, one which contains some truly unprecedented - for a future Fed chairman - admissions: I think we are actually at a point of encouraging risk-taking, and that should give us pause. Investors really do understand now that we will be there to prevent serious losses. It is not that it is easy for them to make money but that they have every incentive to take more risk, and they are doing so. Meanwhile, we look like we are blowing a fixed-income duration bubble right across the credit spectrum that will result in big losses when rates come up down the road. You can almost say that that is our strategy. Almost? "And I think there is a pretty good chance that you could have quite a dynamic response in the market. " And now, as Nomura's Charlie McElligott explains, that is where we find ourselves in this market noting that this week's volatility (think downside pressure) was much-more than a "tariff trade" in stocks, as we have noted. McElligott details that this move was also about an escalation of buy-side risk management in a “new era” of volatility, as global central banks - led by the Fed - are now committed to trying to de-leverage investors from the perverse risk-taking incentives that they have built into the market through their GFC-response. Without question, the USD reversed its earlier squeeze and traded meaningfully lower again on the Trump “protectionist” concerns “actualizing” was real and continued overnight... and BELIEVE ME, any potential for a “301 tariff” (intellectual property) “trade war” escalation (Trump stated this morning on Twitter - “trade wars are good, and easy to win.”) into the consumer electronics space would cause SERIOUS pressure in the ultra-overweighted Tech sector, instance... and with it, US stocks would get smoked, as Tech is 25% of SPX nowadays. Recent weeks since the “idiosyncratic” equity vol spike (which without question was rooted in a number of “real” macro inputs), fund risk-management of exposure / leverage has looked pretty “ textbook” in the sense of the “buy-the-dip” era where “taking down net (exposure)” during market selloffs has killed your performance on the “V-shaped” snapback recoveries.  So instead, you rotate your length into a “liquidity” focus. Let’s use the equity hedge fund space as an example, where with the exception of the most extreme “risk-down” days, clients have by-and-large rotated into their “highest conviction” / “core” mega cap names due-to their LIQUIDITY (stuff you can “get out of when you need to”), while reducing exposure to names and trades that screens the wrong way from a risk manager’s perspective—illiquid / high implied- and realized- volatility / small cap / high beta stuff. Thursday however saw that trend reverse with actual and significant “gross-down” style de-risking - meaning accounts selling-down their favorite longs (in this case, “crowded” large-cap names in the most popular “momentum” sectors (Industrials, Financials, Tech and Healthcare make up 64% of the overall S&P weighting which have become the aforementioned “hiding place”), while at the same time covering shorts / underweights in the “worst” risk-manager stuff (illiquid and volatile) - as such, the S&P’s five worst sector performers YTD (IRONICALLY, the what used to be considered the “defensives”- / “bond-proxy”- / “low volatility” sectors: REITS, Energy, Telco, Utes, Consumer Staples) just so happened to be the S&P’s five best-performing sectors on the session yesterday.  A similar expression, illiquid and high-beta small cap (IWM) outperformed the liquid and lower-vol large cap (SPY) by ~120bps yesterday—the third-largest “small over large” outperformance of the past year, on account of this “pure” de-risk. Futures flows were just massive yday, which again speaks to a purging of recent exposure-grabbing.  Seriously... look at the amount of net $ S&P futures that asset-managers have added over the last 12 years in SPX (while also noting that leveraged-funds recently turned NET POSITIVE in an vehicle that they traditionally are “short” in as a portfolio hedge!): Source: Nomura And seriously - look at the  net $ EM exposure-grab through futures for BOTH asset-managers AND leveraged-funds since the start of 2016: Source: Nomura THIS is the “new normal,” as “lazy longs” are no longer a “thing”... index, asset-class, or single-name - because the entire post-crisis period built upon the edifice of “low nominals, flat curves, and suppressed volatility” in order to incentivize investor moves out onto the risk-curve to create a wealth effect from financial asset inflation is in the process of being unwound. You simply have to trade much more dynamically now. THE END OF ‘LAZY LONGS,’ AS HIGH-SHARPE RATIO TRADES COME UNGLUED:Look-back to start of ’17 shows the 20d rolling-return of “high sharpe-ratio” equities trades melting-down, as “low vol / high return” trades are “no more.” Source: Bloomberg Yesterday’s trade was further representation of institutional investors evolving their risk-management approach in the “new normal” of volatility. Both buy- and sell- side desks are trying to understand “risk-sizing” and volatility-allocation with this reintroduction of honest-to-goodness price-movement, after the past 5+ years of trading behavior which required negligible concern and created tremendous complacency and incentivized “negative convexity”- / “short vol”- / “leveraged-carry”- strategy proliferation, as central banks and investor thirst for yield facilitated the massively vol suppressing “debt for buybacks” binge.  Now, with rates forced-higher by central bank normalization and inflation “escape velocity,” tightening financial conditions are driving higher cross-asset vols as the term-premium is reset higher. Circling back to where we started, the “full reset” of the “Fed Put” concept from new Chair Powell is occurring AND very importantly investors are being forced to derisk and deleverage into this “new normal” vol world that we find ourselves in. McElligott concludes by pointing out that the Fed Put isn’t gone...but it certainly has been “struck lower,” and the market is looking for the price in light of this recently wobble in the collective risk-psyche.

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02 марта, 23:50

The Market's Junk Problem

Authored by Sven Henrich via NorthmanTrader.com, The market has a big junk problem and it’s very evident when taking a close look at the chart of $JNK, the high yield bond ETF. It’s been a brilliant technical indicator as of late and was one of the signals employed in fading the rally earlier in the week. Note that $JNK has been on a steady uptrend for the better part of a year when suddenly it made a lower high in January while $SPX kept ignoring it and went on to make new highs. Not listening to $JNK was a mistake on the side of market participants.  $JNK signaled troubles was brewing and once markets finally caught on it was all over. In process of the correction $JNK broke a key supporting trend line and this proved to be a key signal this week: Note the 2 attempts to recapture the trend line these past 2 weeks. Both attempts failed precisely at the trend line and each time produced selling in markets including this week. What does this tell us: Firstly, technicals have worked nicely on this chart. The trend line break is bearish and the failure to recapture the trend line is bearish. Doesn’t mean $JNK won’t try again, and it if does it’ll be bullish for markets, but without a recapture it’s not good news for markets and this trend line is moving away, so bull need a solid rally to emerge to race up there. As long as $JNK stays above the 35.70 gap odds for a big rally are improving. Fall below the gap and markets may make new lows or retests lows. But as long as $JNK remains below the broken trend line markets are having a junk problem.

02 марта, 17:30

6 Reasons Why BofA Believes Another $6 Trillion Correction Has Started

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While a week ago, both Goldman and BofA noted that investor euphoria was quick to rebound from the February "Quant Qrash" doldrums, in his latest Flow Show report, BofA CIO Michael Hartnett finds that the scramble to rush into risk assets has moderated over the past week, and BofA's proprietary Bull & Bear Indicator has pulled back modestly, to 7.6 from 8.1 "driven by High Yield bond outflows, less frothy equity & credit technicals." Hartnett also notes that during the 3 weeks this indicator was in the “extreme bull” zone. (i.e. >8) global stocks tumbled -9.0% peak-to-trough, meaning the indicators' “sell” hit ratio is now a perfect 12/12. And while the flush may have already taken place, there is one residual concern: on 8/11 occasions when the indicator fell back below 8, global stocks saw further losses next 3 months (median = 3.2%) Incidentally, that's the bullish side of the latest note from Hartnett. More notable, and as a far bigger threat, the BofA Chief Investment Strategist lays out 6 reasons why he believes that another $6 trillion correction may have begun. First, why $6 trillion? That's how much market cap global equity market cap lost in the February 10% drawdown(to $80.6tn); if Hartnett is right, a fresh $6tn correction implies SPX 2534; So just days after Hartnett said that "3" is the most important number for the market, he doubles down, and lists 6 reasons why the S&P may re-test recent intraday lows: 1. Positioning: peaking optimism…Bull & Bear Indicator still in v bullish territory; big equity inflows this week; GWIM private client asset allocation 61% stocks, 33% cash & bonds 2. Profits: peaking…booming US 12-month forward EPS estimates now +20% (we say “peak”- Chart 4)…booming US consumer confidence 130.8, unemployment rate 4.1%, ISM 60.8…“buy humiliation & busts, sell hubris & booms” 3. Policy: peaking…global central banks have played “whatever it takes” card, by year-end Fed will have hiked 9 times, fiscal card played aggressively…no more stimulus to discount; only policy left to discount is... 4. Protectionism: starting…and market pricing as “deflationary” (yields down, stocks down…and stocks down may be necessary to stop escalation of trade war) 5. Price action: tech not making new highs (e.g. SMH, XLK), credit spreads not making new lows (H0A0, C0A0), homebuilders (XHB) are making new lows; global stocks (ACWI -0.3% YTD) no longer outperforming global government bonds (W0G1 -0.9%) 6. Pain: trough in inflation, rates, volatility (all 9-year drivers of bull in corporate bonds & equities) now challenging bullish consensus. The Bigger picture, according to Hartnett, is that the "topping process" has started (and gives the following 1966/69 analogy as an indicator). d

26 февраля 2013, 17:00

США. Бюджетный секвестр. Подробности.

Итак, если Конгрессмены не договорятся до 1 марта 2013 г., то выглядеть американское бюджетное секвестирование на 2013 фин. год будет следующим образом.Общий объем автоматического сокращения госрасходов = -$85,4 млрд.Из них:- оборонная промышленность: -$42,7 млрд. - не связанные с оборонной промышленностью дискреционные расходы: -$27,6 млрд. - не связанные с оборонной промышленностью обязательные расходы: -$15 млрд.Здесь еще вопрос в мультипликативном эффекте, т.е. эти $85 млрд. на самом деле обернутся куда большими потерями для экономики.Если все останется как есть после 1 марта 2013 г., то на 2014 фин. год. госрасходы ужмут уже на $109 млрд. На текущий момент настроения по поводу достижения компромисса во властных структурах Вашингтона не очень оптимистичные:Как видно, наибольший удар при секвестре понесет оборонная промышленность. При этом, 40% из $42,7 млрд. урезаний расходов на оборонку в 2013 фин. году. приходятся на 1 марта, т.к. шесть месяцев секвестра (сентябрь-март) ужимаются в один.Сокращения госраходов также коснутся следующих отраслей:Так ведет себя SPX при упоминании слова "Sequester"....хотя надо отметить, что скорее движения рынка пытаются объяснить этим словом, т.е. сначала есть движение в SPX, а потом уже СМИ раздувают эту тему.Show must go on....