Archive for the ‘Interesting Charts’ Category

Put/Call Ratio Indication of Investor Sector Expectations

Wednesday, January 6th, 2016
  • Materials, Industrials, Utilities and Russell 200 high PUT/CALL ratios show investor concern about price vulnerability
  • Financials, Staples and Russell 2000 have recently elevated PUT/CALL ratios that show a negative change in investor sentiment toward them

The ratio of PUTs-to-CALLs on a security may be an indicator of aggregate investor negative-to-positive sentiment or expectations for that security.

A review of PUT/CALL ratios over the past year for the SPDR S&P 500 sectors (and also ETFs for the S&P 500, S&P 100 and the Russell 1000) give a glimpse of where the most caution or concern lies in the minds of investors.

Materials, Industrials, Staples, Utilities and the Russell 2000 have the highest PUT/CALL ratios.  Financials, Staples and the Russell 2000 have the most apparent recent elevation in their PUT/CALL ratios.

The higher ratio ETFs and the recently elevated may be more vulnerable to adverse price movements than other ETFs in the group and deserve close observation for potential adverse price movements.

This table presents the current PUT/CALL ratio for sector and index ETFs as of mid-day January 6, 2015.

 

2015-01-06_PCR_LIST

Each of the next three chars show the PUT/CALL ratio in yellow in the bottom panel over the trailing 252 market days.  The upper panel plots the price (with SPY in white plotted behind the security price), and with the 200-day average in orange, and the 50-day average in white.

(Click Images to Enlarge)

FINANCIALS

2015-01-06_PCR_XLF

STAPLES

2015-01-06_PCR_XLP
RUSSELL 2000

2015-01-06_PCR_IWM

The next three 1-year “noise cancelling” Renko charts plot the price only when the price moves by more than 14-day average daily price change — note that in such a plot the horizontal axis of time is not linear, because sometimes the price moves rapidly and sometimes slowly.

Financials look vulnerable to a price decline.  Staples appear strong, but investors in PUTs and CALLs must feel the price is overdone or the sector is too crowded.  The Russell 2000 is visibly in decline.

FINANCIALS

2015-01-06_renko_XLF

STAPLES

2015-01-06_renko_XLP

RUSSELL 2000

2015-01-06_renko_IWM

The next three 10-year charts plot price in the traditional way, with an overlay of the dividends paid shown in red.

The Financials price has grown faster than dividends in the past couple of years, after a disastrous price decline and set of dividend cut in 2008-2009.  Staples price and dividends have essentially moved steadily higher together.  The price of the Russell 2000 has also outpaced its dividend growth in the past couple of years.

FINANCIALS

2015-01-06_div_XLFSTAPLES

2015-01-06_div_XLP

RUSSELL 2000

2015-01-06_div_IWM

PUT/CALL ratios should not be used in isolation, but are one data point that may be of use in assessing short-term implications for a security.

Sector, Dividend and International Stocks Performance vs S&P 500

Sunday, September 29th, 2013

These charts plot the percentage performance of 10 sector ETFs (and 4 industry ETFs) versus the S&P 500 (represented by SPY).  They also show the relative performance of key dividend ETFs, international ETFs versus SPY.

The black line is the subject ETF.  The green line is SPY .  The red line is the ratio of the performance of the subject ETF to SPY.

US industrials, healthcare and cyclicals appear to be the strongest relative sector performers. Biotech is particularly strong as an industry.  Insurance is holding its own versus the S&P 500, and is stronger relative to the S&P 500 than the financial sector overall.

Utilities are the weakest relative performers, and pipelines and equity REITs are weak relative performance industries.

Dividend ETFs have been favorable relative performers until just recently when QE taper was suggested; and they are now flat to slightly down in relative performance.

High quality stocks gain an advantage in the past which they have held steady in the past few years, neither gaining nor losing relative performance.  Low volatility has underperformed and recently has lost relative performance as more volatile stocks gains favor.

Europe and the U.S. were moving up together until later in 2011. Europe had its big credit scare and declined.  It found footing and traded sideways until mid-2012 and since then has been trading parallel with the U.S.

Japan had a spurt of favorable relative performance in the first part of 2013 due to enthusiasm for “Abenomics”, but has since traded sideways, losing relative ground to the U.S.

AsiaPacific ex Japan fell away in the second quarter of 2013, and is recovering recently, resulting in short-term stronger relative performance.

Emerging markets have been trading flat within a range for the past approximate two years, creating substantial relative under-performance.

China’s volatile under-performance shows a slight tilt toward improvement.  Brazil’s under-performance is severe and continuing.

TEN S&P 500 SECTORS

XLB

xle

XLF

XLI

XLP

XLU

XLV

XLY

VGT

VOX

TWO REAL ASSET CATEGORIES

VNQ

AMJ

SOME CURRENTLY INTERESTING INDUSTRIES

IBB

KIE

DIVIDEND ETFs

SDY

VIG

VYM

FDL

FVD

S&P 500 HIGH QUALITY AND LOW VOLATILITY

SPHQ

SPLV

INTERNATIONAL ETFs

VGK

EWJ

EPP

VWO

GXC

EWZ

 

 

 

Growth, Growth Growth

Sunday, August 4th, 2013

There is a good deal of concern these days about stalled revenue growth and implications for earnings, and possibly some dividends.

Consequently, it seems reasonable to pay special attention to stocks that have historical revenue growth equal to or greater than that of the S&P 500; and earnings and dividend growth equal to or greater than the S&P 500 or the market median; and that have a current yield greater than or equal to the S&P 500; and that have a PEG ratio less than or equal to that of the market median.

There are only 9 stocks that met the filter criteria we used. They are:

QUALCOMM ORD (QCOM)
BLACKROCK ORD (BLK)
TAL INTL ORD (TAL)
COMPUTER PROGRAMS AND SYSTEMS ORD (CPSI)
WADDELL REED FINANCIAL CL A ORD (WDR)
AMERIPRISE FINANCE ORD (AMP)
TUPPERWARE BRANDS ORD (TUP)
CH ROBINSON WORLDWIDE ORD (CHRW)
FOOT LOCKER ORD (FL)

Here are the specific filter criteria and the hurdle values we used. For projected earnings growth rates we required a minimum of 5%:

click any of the following images to enlarge

img_2403

The values for each stock for the filter criteria are:

img_2404

Here are the ratings issued for these stocks by Standard and Poor’s and by Wright Investor’s Service (click here for explanation of ratings scales):

ratings

These key valuation metrics are from Yahoo Finance:

Valuation

Here are 10 year charts for those stocks, showing the percent change of the price, revenue, earnings and dividends (source: YCharts.com):

QCOM

BLK

TAL

img_2408CPSI

WDR

img_2410AMP

Untitled

CHRW

FL

Here are the percentage price rate of change data for 5-days (1 week), 21-days (1 month), 63-days (1 quarter) and 252-days (1 year):

TechCheck2

This table shows several technical data points, as follows:

  • Z-score (# of standard deviations  of price from the 200-day moving average)
  • Price ratio to the 200-day moving average
  • 50-day average ratio to the 200-day average
  • % by which price trails 1-year high price
  • Position of the price within the 63-day price range
  • 14-day RSI indicator

We have shaded those Z-scores greater than +/-  2 standard deviations to indicate that those stocks are at a distance from their moving average that is unusual (justified strong trend, or overextended above or below the average with strong reversion risk).

TechCheck1

Here are the short term technical ratings from BarChart.com.  “Short-Term” relates to an evaluation time frame in the vicinity of 20-days.  “Medium-Term” relates to an evaluation time frame in the vicinity of 50 days.  “Long-Term” relates to an evaluation time frame in the vicinity of 100-days.

Barchart

The distance of the current prices from the “Street” estimates of 12-month price targets; and the number of analysts providing each rating from Strong Buy to Strong Sell are provided in this table:

Street

Yahoo Finance provides summary business descriptions, company web address, as well as physical address and phone number for each company at this URL (just substitute the symbol [displayed in red] in this URL for the company of interest to you):

http://finance.yahoo.com/q/pr?s=FL+Profile

Not all companies are likely to be of interest to you, but you may find this list an interesting point of departure for a more thorough examination of the stocks.

We currently own TUP.  For our own specific purposes and situation, we find BLK most interesting among the other stocks in this list.

 

Price Action vs Central Bank Speak Since Bernanke Taper Talk

Thursday, July 11th, 2013

Benjamin Graham once said that markets are voting machines in the short-term and weighing machines in the long-term — sentiment vs fundamentals.

These days, the primary driver of sentiment tends to be central bank statements and actions — with mere statements having huge impact.

If you have doubts about the market impact of central-bank-speak, just take a gander at this calendar of central bank statements compared to market price action:

  • 05/22  Federal Reserve president Ben Bernanke said that a tapering of quantitative easing could begin later this year if conditions warrant
  • 06/18  European Central Bank president Mario Draghi said he had an open mind to doing what was necessary
  • 06/19  Bank of Japan president Haruhiko Kuroda said they are taking steps and felt things would work out
  • 06/20  Peoples Bank of China governor Zhou Xiaochuan added liquidity to their banking system to relieve a liquidity crunch
  • 06/21  St. Louis Fed president James Bullard said QE could actually be increased if inflation slows
  • 07/10  Federal Reserve president Ben Bernanke said the economy needs the Fed’s easy-money policy “for the foreseeable future.”

Now let’s look at price movements on the day after each of those statements/actions:

US Stocks

_US

European Stocks

_Europe

Japanese Stocks

_Japan

Chinese Stocks

_China

Bernanke frightened the markets, and other central banks stepped in with voice and cash to stem the decline, followed by a dovish “clarification” by Bernanke yesterday.

It appears that all is well for now, at least as far as central bank driven sentiment is concerned.

Healthcare SubSector Relative Peformance, 5 yrs, 1 yr and 3 mo

Thursday, July 4th, 2013

Healthcare providers (IHF) and biotech (IBB) have outperformed the overall healthcare sector (IYH) over 5 years, 1 year and 3 months. Pharmaceuticals (IHE) underperformed over 1 year. Medical devices (IHI) have underperformed over 3 months, 1 year and 5 years..

These charts plot the performance of each security divided by the performance of IYH (the overall healthcare sector), producing the relative performance of each.

Five Years Monthly

HC_5yr

One Year Weekly

HC_1Yr

Three Months Daily

HC_3mo

TOP TEN HOLDINGS OF EACH ETF

IYH

IYH

IHF

IHF

IHE

IHE

IBB

IBB

IHI

IHI

 

Emerging Markets Index In Bear Territory Now

Thursday, June 20th, 2013

The MSCI emerging markets index has reached bear market territory (20% below trailing 1-year high).  Of the top 10 countries in the index, only 2 are not in bear territory. The other 8 are in bear markets.

(click images to enlarge)

EEM

Top 10 Country Holdings:

EEM holdings

These two are down, but not near bear territory:

Taiwan

ewt

Malaysia

ewm

These 8 countries are all in bear territory:

China

China has been in bear territory since mid-2011.  One could debate whether they got out of bear territory in early 2013.  They are well below the 2013 trailing high, but not yet 20% below that level.  However, in the context to price since 2011, we call the price a continuation of the long running bear.

SSEC

Brazil

EWZ

South Korea

ewy

South Africa

eza

India

pin

Russia

rsx

Mexico

eww

Indonesia

idx