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  • Jeffrey deGraaf, CMT, CFA 212-537-8822 technical@renmac.com Rob Ginsberg 212-537-8819 rginsberg@renmac.com Alex Meintel , CMT 212-537-8820 ameintel@renmac.com Chetan Jain 212-537-8818 cjain@renmac.com sales@renmac.com

    deGraaf’s Weekly

    Survival Guide to

    the Markets

    Important legal disclaimer on page 29

    September 11, 2012

    Click here for Video

    Click here for Video on iPad (link enabled after you download and open this report on a PDF reader on iPad)

    Click here for Audio Only

    mailto:technical@renmac.com mailto:technical@renmac.com mailto:rginsberg@renmac.com mailto:ameintel@renmac.com mailto:cjain@renmac.com mailto:sales@renmac.com http://www.renmac.com/09112012_WSG.html http://www.renmac.com/09112012_WSG-Apple.html https://renmac.bluematrix.com/sellside/EmailDocViewer?encrypt=f5095333-62d0-480c-ba98-02c602bd5b24&mime=video&co=Renmac&id=replaceme@bluematrix.com&source=mail&attachmentType=video&attachmentName=1653_f6743095-41b7-4952-9100-c07fc0d6f6a1.mp3 https://renmac.bluematrix.com/sellside/EmailDocViewer?encrypt=f5095333-62d0-480c-ba98-02c602bd5b24&mime=video&co=Renmac&id=replaceme@bluematrix.com&source=mail&attachmentType=video&attachmentName=1653_f6743095-41b7-4952-9100-c07fc0d6f6a1.mp3

  • Trend Has Been Best Call

    2

  • Improvement But Still Light

    3

    Apr-10 Jul-10 Oct-10 Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 1,000

    1,050

    1,100

    1,150

    1,200

    1,250

    1,300

    1,350

    1,400

    1,450

    S&P 500 (SP50)

    Price - Close or Current Intraday

    Apr-10 Jul-10 Oct-10 Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 0%

    20%

    40%

    60%

    80%

    100%

    Renaissance M acro Rese arch - Te chnic al Analy sis

    9/10/2012 = 25.80%

    20 DAY NEW HIGHS AS A % OF ISSUES

  • Now Overbought…Does it Matter?

    4

    Apr-10 Jul-10 Oct-10 Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 1,000

    1,050

    1,100

    1,150

    1,200

    1,250

    1,300

    1,350

    1,400

    1,450

    S&P 500 (SP50)

    Price - Close or Current Intraday

    Apr-10 Jul-10 Oct-10 Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 0%

    20%

    40%

    60%

    80%

    100%

    Renaissance M acro Rese arch - Te chnic al Analy sis

    9/10/2012 = 78.40%

    % OF ISSUES ABOVE THE 50 DAY MOVING AVERAGE

  • Historical Momentum Days

    5

    Days Fwd 10 20 40 65 125 250

    Average 0.3% 0.6% 1.1% 1.9% 3.7% 7.5%

    Median 0.5% 0.9% 1.4% 2.4% 4.2% 8.4%

    % Up 58% 60% 62% 65% 70% 76%

    % Down 42% 39% 38% 35% 30% 24%

    Count 6011 6001 5981 5956 5896 5771

    Max 21.6% 23.5% 33.6% 38.8% 48.3% 68.6%

    Min -25.9% -30.0% -36.7% -41.2% -46.6% -48.8%

    Days Fwd 10 20 40 65 125 250

    Average 0.8% 1.1% 3.4% 6.3% 11.9% 8.7%

    Median 0.6% 0.5% 1.4% 4.9% 9.7% 12.5%

    % Up 64% 64% 70% 80% 90% 67%

    % Down 36% 36% 30% 20% 10% 33%

    Count 11 11 10 10 10 9

    Max 12.0% 13.3% 27.8% 31.3% 41.2% 59.2%

    Min -2.9% -3.8% -7.8% -9.7% -4.8% -39.6%

    S&P 500 Normal Returns

    S&P 500 Returns Post-Momentum Signal

  • 11/4/2010 Similar Signal

    6

    QE2

  • Resurrection of the Convergence Trade

    7

  • Inflation Expectations at Upper Boundary

    8

  • Gold Improving, New High in Euros

    9

  • Copper Improving

    10

    65-day breakout

  • All Industrial Metals Bouncing

    11

  • Copper/China

    12

    Copper violated downtrend line, China has not.

  • Would You Buy or Sell This Chart?

    13

  • Apple Product Announcements

    -2.0

    0.0

    2.0

    4.0

    6.0

    8.0

    10.0

    12.0

    14.0

    iPhone iPhone 3G

    iPhone 3GS

    iPhone 4 iPhone 4S

    iPad iPad 2 New iPad

    P e

    rc e

    n t

    C h

    an ge

    ( %

    )

    Month Leading into Announcement

    -4.0

    -2.0

    0.0

    2.0

    4.0

    6.0

    8.0

    10.0

    iPhone iPhone 3G

    iPhone 3GS

    iPhone 4

    iPhone 4S

    iPad iPad 2 New iPad

    P e

    rc e

    n t

    C h

    an ge

    ( %

    )

    Day of Announcement

    -15.0

    -10.0

    -5.0

    0.0

    5.0

    10.0

    15.0

    20.0

    25.0

    iPhone iPhone 3G

    iPhone 3GS

    iPhone 4 iPhone 4S

    iPad iPad 2 New iPad

    P e

    rc e

    n t

    C h

    an ge

    ( %

    )

    1 Month Post Announcement

    -20.0

    -15.0

    -10.0

    -5.0

    0.0

    5.0

    10.0

    15.0

    20.0

    25.0

    30.0

    iPhone iPhone 3G

    iPhone 3GS

    iPhone 4 iPhone 4S

    iPad iPad 2 New iPad

    P e

    rc e

    n t

    C h

    an ge

    ( %

    )

    3 Months Post Announcement

    14

  • Volatility and Valuation are Working

    Last Day Of The Year

    Last Day Of The Year

    Last Day Of The Year Last Day Of The Year Last Day Of The Year Last Day Of The Year Last Day Of The Year

    15

  • Materials Close to Neutral

    16

    New entrants

    highlighted in

    green

    Optimal entry

    points outlined in

    blue

    Top Technically Ranked S&P 500 Names

    Bar Width: Higher Ranks – Thicker Lower Ranks - Thinner Color Coding: Overweight- GREEN Underweight – RED

    Healthcare: Staples: Telecom: Tech:

    AMGN ROST WHR MKC CINF HBAN S YHOO

    BIIB LTD OMC STZ DFS STI CCI V

    GILD TJX DHI USB KEY AKAM

    ALXN CMCSA NWL WFC CMA Materials: VRSN

    MRK SNI TWX FITB TMK PPG GOOG

    ABT TWC PHM ALL PNC SHW EBAY

    HD LEG RF MTB FMC TSS

    GPS DISCA BBT WY MON TDC

    NWSA CBS SPG LYB

    GCI IPG EMN Industrials:

    LEN WYN MAS

    DIS MHP CBE

    Discretionary: Financials:

  • Equal Weight Industry Ranking

    17

    Red bars denote deterioration by intensity Green bars denote improvement by intensity

  • Bullish New Issues

    18

    12

    14

    16

    18

    20

    22

    24 Bonanza Creek Energy Inc.

    Price 50 Day Mov ing Av erage 200 Day Mov ing Av erage

    Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug

    100

    120

    140Relat iv e Strength to S&P Composite 1500

    15

    20

    25

    30

    35 C&J Energy Services Inc.

    Price 50 Day Mov ing Av erage 200 Day Mov ing Av erage

    10/10 1/11 4/11 7/11 10/11 1/12 4/12 7/12

    60

    80

    100 Relat iv e Strength to S&P Composite 1500

    60

    70

    80

    90

    100

    110

    120

    LinkedIn Corporation Price 50 Day Mov ing Av erage 200 Day Mov ing Av erage

    10/10 1/11 4/11 7/11 10/11 1/12 4/12 7/12

    70

    80

    90

    100

    110

    120Relat iv e Strength to S&P Composite 1500

    25

    30

    35

    40

    45

    50

    55

    60 Michael Kors Holdings Ltd.

    Price 50 Day Mov ing Av erage 200 Day Mov ing Av erage

    Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug

    100

    120

    140

    160

    180

    200Relat iv e Strength to S&P Composite 1500

  • Commercial Banks

    Jan-95 Jan-96 Jan-97 Jan-98 Jan-99 Jan-00 Jan-01 Jan-02 Jan-03 Jan-04 Jan-05 Jan-06 Jan-07 Jan-08 Jan-09 Jan-10 Jan-11 Jan-12 50

    100

    150

    200

    250

    300

    350

    400 450

    S&P 500 / Commercial Banks -IND (SP629)

    Price - Close or Current Intraday

    Jan-95 Jan-96 Jan-97 Jan-98 Jan-99 Jan-00 Jan-01 Jan-02 Jan-03 Jan-04 Jan-05 Jan-06 Jan-07 Jan-08 Jan-09 Jan-10 Jan-11 Jan-12 0%

    20%

    40%

    60%

    80%

    100%

    Renaissance Macro Research - Technical Analysis

    9/11/2012 = 92.31%

    % OF ISSUES WITH 50 DAY M.A. > 200 DAY M.A.

    Strong internal trends

    19

  • 100% of Commercial Banks at 20-day Highs

    Jan-95 Jan-96 Jan-97 Jan-98 Jan-99 Jan-00 Jan-01 Jan-02 Jan-03 Jan-04 Jan-05 Jan-06 Jan-07 Jan-08 Jan-09 Jan-10 Jan-11 Jan-12 50

    100

    150

    200

    250

    300

    350

    400 450

    S&P 500 / Commercial Banks -IND (SP629)

    Price - Close or Current Intraday

    Jan-95 Jan-96 Jan-97 Jan-98 Jan-99 Jan-00 Jan-01 Jan-02 Jan-03 Jan-04 Jan-05 Jan-06 Jan-07 Jan-08 Jan-09 Jan-10 Jan-11 Jan-12 0%

    20%

    40%

    60%

    80%

    100%

    Renaissance Macro Research - Technical Analysis

    9/11/2012 = 38.46%

    20 DAY NEW HIGHS AS A % OF ISSUES

    20

  • Bullish Commercial Bank

    21

    5

    6

    7

    8

    9

    10

    20

    30

    40

    5

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