public0

Technically Speaking, July/August 2016

What's Inside...

RRG WEIGHTS

by Mathew Verdouw, CMT, CFTe

Editor’s note: This article was originally published at Optuma’s research site and can be downloaded there. Since I was introduced to Relative Rotation Graphs, I have been constantly playing...

WHERE THE BLACK SWANS HIDE & THE 10 BEST DAYS MYTH

by Mebane Faber, CMT, CAIA

Editor’s note: This paper was originally published at SSRN and is available for download at that site. Below we examine market outliers in financial markets. How much effect do these outliers have...

THE P/E REPORT: QUARTERLY REVIEW OF THE PRICE/EARNINGS RATIO

by Ed Easterling

Editor’s note: This was originally published on July 5, 2016 at CrestmontResearch.com. CURRENT STATUS (Second Quarter 2016) The second quarter was another period of vulnerability and resilience....

YOU CAN POLISH ANYTHING, BUT YOU CAN’T MAKE IT SHINE

by Jared Dillian

Editor’s note: This article was originally published on July 14, 2016 at MauldinEconomics.com and is reposted here with permission. In today’s issue, you’ll read how desperately Japan has been...

RRG WEIGHTS

RRG WEIGHTS

Editor’s note: This article was originally published at Optuma’s research site and can be downloaded there. Since I was introduced to Relative Rotation Graphs, I have been constantly playing with them and trying to see how they can give me insights into what is happening in the market. I love looking at different Asset Classes, Currencies and Portfolios. My favorite group however will always be the SP500 GICS Level 1 sectors with the SP500 as the benchmark, because I know that the total of the ten sectors must be fully encompassed by the benchmark. The ten sectors embody all the elements that can contribute to the SP500 itself. When I look at the RRG, which measures trends in relative performance of each Sector against the Index, there has to be balance in each of the axis. Consider Figure 1; we can see the ten sectors based on their relative strength against

To view this content you must be an active member of the CMT Association.
Not a member? Join the CMT Association and unlock access to hundreds of hours of written and video technical analysis content, including the Journal of Technical Analysis and the Video Archives. Learn more about Membership here.

Contributor(s)

Mathew Verdouw

Mathew Verdouw, CMT, CFTe

Back to top
WHERE THE BLACK SWANS HIDE & THE 10 BEST DAYS MYTH

WHERE THE BLACK SWANS HIDE & THE 10 BEST DAYS MYTH

Editor’s note: This paper was originally published at SSRN and is available for download at that site. Below we examine market outliers in financial markets. How much effect do these outliers have on long term performance? Can the investor prepare for these anomalies, or are they truly ‘black swans’ that cannot be managed? In this issue we examine numerous global financial markets on daily and monthly time frames. We find that these rare outliers have a massive impact on returns. However, these outliers tend to cluster and the majority of both good and bad outliers occur once markets have already been declining. We critique the “missing the 10-best-days” argument proffered by advocates of buy and hold investing, as we demonstrate that a significant majority of the 10 best days and the 10 worst days occur in declining markets. We continue to advocate that investors attempt to avoid declining markets where most

To view this content you must be an active member of the CMT Association.
Not a member? Join the CMT Association and unlock access to hundreds of hours of written and video technical analysis content, including the Journal of Technical Analysis and the Video Archives. Learn more about Membership here.

Contributor(s)

meb faber

Mebane Faber, CMT, CAIA

Back to top
THE P/E REPORT: QUARTERLY REVIEW OF THE PRICE/EARNINGS RATIO

THE P/E REPORT: QUARTERLY REVIEW OF THE PRICE/EARNINGS RATIO

Editor’s note: This was originally published on July 5, 2016 at CrestmontResearch.com. CURRENT STATUS (Second Quarter 2016) The second quarter was another period of vulnerability and resilience. The net effect of the stock market’s gyration added 1.9% to the year’s total. As a result, normalized P/E increased slightly to 26.7—well above the level justified by low inflation and interest rates. The current status remains “significantly overvalued.” The level of volatility stalled over the past quarter, yet the trend appears to remain upward. The trend in actual and forecast earnings continues to slide. Earnings and volatility should be watched closely and investors should remain cognizant of the risks confronting a vulnerable market. NOTE: Crestmont Research does not analyze the stock market or interest rates with a perspective about near-term direction or trends; Crestmont Research focuses on a longer-term, bigger picture view of market history and its fundamental drivers. Occasionally, the analysis indicates that a

To view this content you must be an active member of the CMT Association.
Not a member? Join the CMT Association and unlock access to hundreds of hours of written and video technical analysis content, including the Journal of Technical Analysis and the Video Archives. Learn more about Membership here.

Contributor(s)

Ed Easterling

Back to top
YOU CAN POLISH ANYTHING, BUT YOU CAN’T MAKE IT SHINE

YOU CAN POLISH ANYTHING, BUT YOU CAN’T MAKE IT SHINE

Editor’s note: This article was originally published on July 14, 2016 at MauldinEconomics.com and is reposted here with permission. In today’s issue, you’ll read how desperately Japan has been trying to shed the “deflationary curse” it’s been haunted by for decades. Well, the US doesn’t have that problem. In fact, I think our period of deflation has just ended. Japan: It’s Getting Interesting. Shinzo Abe scored a decisive victory in the upper house elections a few nights ago. Let me explain why that is not boring. Abenomics was conceived in 2012 as a way to combat Japan’s never-ending deflation and pseudo-depression. It included a truly massive program of quantitative easing, which involved the printing of yen to buy all sorts of assets—including stocks! Abenomics has continued for four years, with mixed results. Stocks are up about 150%, interest rates are negative, and the yen is appreciably weaker. But there is still no economic growth. Hence the title of this

To view this content you must be an active member of the CMT Association.
Not a member? Join the CMT Association and unlock access to hundreds of hours of written and video technical analysis content, including the Journal of Technical Analysis and the Video Archives. Learn more about Membership here.

Contributor(s)

Jared Dillian

Jared Dillian

Back to top

New Educational Content This Month

Back to top