degraaf’s weeklyweb1.amchouston.com/flexshare/002/cfa/affiniscape/091212 slides.pdfgtgt sold fti...
TRANSCRIPT
Jeffrey deGraaf, CMT, CFA 212-537-8822 [email protected] Rob Ginsberg 212-537-8819 [email protected] Alex Meintel , CMT 212-537-8820 [email protected] Chetan Jain 212-537-8818 [email protected] [email protected]
deGraaf’s Weekly
Survival Guide to
the Markets
Important legal disclaimer on page 29
September 11, 2012
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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-121,000
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-120%
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-121,000
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-120%
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 iPhone3G
iPhone3GS
iPhone 4 iPhone4S
iPad iPad 2 NewiPad
Pe
rce
nt
Ch
ange
(%
)
Month Leading into Announcement
-4.0
-2.0
0.0
2.0
4.0
6.0
8.0
10.0
iPhone iPhone3G
iPhone3GS
iPhone4
iPhone4S
iPad iPad 2 NewiPad
Pe
rce
nt
Ch
ange
(%
)
Day of Announcement
-15.0
-10.0
-5.0
0.0
5.0
10.0
15.0
20.0
25.0
iPhone iPhone3G
iPhone3GS
iPhone 4 iPhone4S
iPad iPad 2 NewiPad
Pe
rce
nt
Ch
ange
(%
)
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 iPhone3G
iPhone3GS
iPhone 4 iPhone4S
iPad iPad 2 NewiPad
Pe
rce
nt
Ch
ange
(%
)
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
24Bonanza 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
35C&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
100Relat iv e Strength to S&P Composite 1500
60
70
80
90
100
110
120
LinkedIn CorporationPrice 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
60Michael 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-1250
100
150
200
250
300
350
400450
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-120%
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-1250
100
150
200
250
300
350
400450
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-120%
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
50
60
70
80
90
STI-US RenMac Rank: 1SunTrust Banks Inc. Regional Banks
Price 50 Day Moving Average 200 Day Moving Average
'08 '09 '10 '11 '12
20
30
40
50
60
70
80
90
100
Bullish Commercial Bank
22
3
4
5
6
7
8
9
10
20
30
40
KEY-US RenMac Rank: 1KeyCorp Regional Banks
Price 50 Day Moving Average 200 Day Moving Average
'08 '09 '10 '11 '12
20
30
40
50
60
70
80
90
100
Bullish Commercial Bank
23
10
20
30
40
50
60
CMA-US RenMac Rank: 1Comerica Inc. Diversified Banks
Price 50 Day Moving Average 200 Day Moving Average
'08 '09 '10 '11 '12
50
60
70
80
90
100
Bullish Commercial Bank
24
30
40
50
60
70
80
90
100
110
120
MTB-US RenMac Rank: 1M&T Bank Corp. Regional Banks
Price 50 Day Moving Average 200 Day Moving Average
'08 '09 '10 '11 '1260
70
80
90
100
110
120
Big Base in Pharma
25
20
25
30
35
40
45
50
55
60
65
MRK-US RenMac Rank: 1Merck & Co Inc Pharmaceuticals
Price 50 Day Moving Average 200 Day Moving Average
'08 '09 '10 '11 '1270
80
90
100
110
120
130
ABT Back to Top Rank
26
40
45
50
55
60
65
70
ABT-US RenMac Rank: 1Abbott Laboratories Pharmaceuticals
Price 50 Day Moving Average 200 Day Moving Average
'08 '09 '10 '11 '12
100
120
140
160
180
200
Base
Materials Play
27
15
20
25
30
35
40
45
50
LYB-US RenMac Rank: 1LyondellBasell Industries N.V. Cl A Specialty Chemicals
Price 50 Day Moving Average 200 Day Moving Average
'08 '09 '10 '11 '12
80
100
120
140
160
180
200
Top-25 Portfolio
28
Sold COG Sold TSN
Sold APOL
Sold GT
EL PM PSA ROST WYN GWW HP
KLAC HRB SE CTAS HD DF
Sold FTI
Current Holdings: PLL OKE PFE CBS FAST WMB ISRG
EL PM PSA ROST WYN GWW
KLAC HRB SE CTAS HD DF
Sold COG Sold TSN
Sold APOL
Sold GT
Sold FTI
Sold HP
Sold COG Sold TSN
Sold APOL
Sold GT
Sold FTI
Sold HP
Current Holdings: PLL PFE CBS FAST WMB ISRG
EL PM PSA ROST WYN GWW
KLAC HRB CTAS HD DF
Sold COG Sold TSN
Sold APOL
Sold GT
Sold FTI
Sold HP
Sold OKE, SE Sold COG
Sold TSN
Sold APOL
Sold GT
Sold FTI
Sold HP
Sold OKE, SE
Current Holdings: PLL PFE CBS FAST WMB ISRG
EL PM PSA ROST WYN GWW
KLAC HRB CTAS HD DF
Sold COG Sold TSN
Sold APOL
Sold GT
Sold FTI
Sold HP
Sold OKE, SE
Sold HRB
Sold COG Sold TSN
Sold APOL
Sold GT
Sold FTI
Sold HP
Sold OKE, SE
Sold HRB
Sold PLL, FAST
Sold GWW
Sold COG Sold TSN
Sold APOL
Sold GT
Sold FTI
Sold HP
Sold OKE, SE
Sold HRB
Sold PLL, FAST
Sold GWW
Sold KLAC, CTAS
Sold EL
Sold COG Sold TSN
Sold APOL
Sold GT
Sold FTI
Sold HP
Sold OKE, SE
Sold HRB
Sold PLL, FAST Sold
GWW
Sold KLAC, CTAS
Sold EL
Sold COG Sold TSN
Sold APOL
Sold GT
Sold FTI
Sold HP
Sold OKE, SE
Sold HRB
Sold PLL, FAST Sold
GWW
Sold KLAC, CTAS
Sold EL
Current Holdings: PFE CBS HD DF
PSA ROST WYN
Sold COG Sold TSN
Sold APOL
Sold GT
Sold FTI
Sold HP
Sold OKE, SE
Sold HRB
Sold PLL, FAST
Sold GWW
Sold KLAC, CTAS
Sold EL
Sold WMB, ISRG, PM
Current Holdings: PFE CBS HD DF
PSA ROST WYN
Sold COG Sold TSN
Sold APOL
Sold GT
Sold FTI
Sold HP
Sold OKE, SE
Sold HRB
Sold PLL, FAST
Sold GWW
Sold KLAC, CTAS
Sold EL
Sold WMB, ISRG, PM
Sold COG Sold TSN
Sold APOL
Sold GT
Sold FTI
Sold HP
Sold OKE, SE
Sold HRB
Sold PLL, FAST
Sold GWW
Sold KLAC, CTAS
Sold EL
Sold WMB, ISRG, PM
Current Holdings: PFE CBS HD DF
PSA ROST WYN
Sold COG Sold TSN
Sold APOL
Sold GT
Sold FTI
Sold HP
Sold OKE, SE
Sold HRB
Sold PLL, FAST
Sold GWW
Sold KLAC, CTAS
Sold EL
Sold WMB, ISRG, PM
Sold COG Sold TSN
Sold APOL
Sold GT
Sold FTI
Sold HP
Sold OKE, SE
Sold HRB
Sold PLL, FAST
Sold GWW
Sold KLAC, CTAS
Sold EL
Sold WMB, ISRG, PM
Sold COG
Sold TSN
Sold APOL
Sold GT
Sold FTI
Sold HP
Sold OKE, SE
Sold HRB
Sold PLL, FAST
Sold GWW
Sold KLAC, CTAS
Sold EL
Sold WMB, ISRG, PM
Sold COG
Sold TSN
Sold APOL
Sold GT
Sold FTI
Sold HP
Sold OKE, SE
Sold HRB
Sold PLL, FAST
Sold GWW
Sold KLAC, CTAS
Sold EL
Sold WMB, ISRG, PM
Sold DF
PSA ROST WYN
Sold COG
Sold TSN
Sold APOL
Sold GT
Sold FTI
Sold HP
Sold OKE, SE
Sold HRB
Sold PLL, FAST
Sold GWW
Sold KLAC, CTAS
Sold EL
Sold WMB, ISRG, PM
Sold DF
Sold COG
Sold TSN
Sold APOL
Sold GT
Sold FTI
Sold HP
Sold OKE, SE
Sold HRB
Sold PLL, FAST
Sold GWW
Sold KLAC, CTAS
Sold EL
Sold WMB, ISRG, PM
Sold DF
Sold COG
Sold TSN
Sold APOL
Sold GT
Sold FTI
Sold HP
Sold OKE, SE
Sold HRB
Sold PLL, FAST
Sold GWW
Sold KLAC, CTAS
Sold EL
Sold WMB, ISRG, PM
Sold DF
Sold COG
Sold TSN
Sold APOL
Sold GT
Sold FTI
Sold HP
Sold OKE, SE
Sold HRB
Sold PLL, FAST
Sold GWW
Sold KLAC, CTAS
Sold EL
Sold WMB, ISRG, PM
Sold DF
Current Holdings: PFE CBS HD
PSA ROST WYN
Sold COG
Sold TSN
Sold APOL
Sold GT
Sold FTI
Sold HP
Sold OKE, SE
Sold HRB
Sold PLL, FAST
Sold GWW
Sold KLAC, CTAS
Sold EL
Sold WMB, ISRG, PM
Sold DF
Analyst Certification: The analyst(s) principally responsible for the preparation of this research report certify that the views expressed in this research report accurately reflect his/her (their) personal views about the subject security (ies) or issuer(s) and that his/her (their) compensation was not, is not, or will not be directly or indirectly related to the specific recommendations or views contained in this research report. Analyst: The analyst does not serve as an officer, director, or advisory board member of the subject company. The analyst or a member of the analyst's household does not have a long position in shares or derivatives of the subject company. The analyst or a member of the analyst's household does not have a short position in shares or derivatives of the subject company. Rafferty Capital Markets, LLC has not acted as an investment banker for the company(s) mentioned in this report in the past or will solicit in the future. The person(s) responsible for preparing this report regularly trade the constituents of the CRB index, currencies, fixed income securities and stock indices. Receipt of Compensation: The research analyst responsible for preparation of this report has not received any compensation from the subject company in the past 12 months. Rafferty Capital Markets, LLC, Member SIPC, FINRA, (the “Firm”) does not perform or seek to perform investment-banking services for these companies in the future. Analysts receive no direct compensation in connection with the firm’s investment banking business. All Rafferty Capital Markets, LLC employees, including the analyst(s) responsible for preparing this research report, may be eligible to receive non-product or service specific monetary bonus compensation that is based upon various factors, including total revenues of Rafferty Capital Markets, LLC and its affiliates as well as a portion of the proceeds from a broad pool of investment vehicles consisting of components of the compensation generated by directors, analysts or employees and may effect transactions in and have long or short positions in the securities (options or warrants with respect thereto) mentioned herein. Analysts are not eligible for bonus compensation. Although the statements of fact in this report have been obtained from and are based upon recognized statistical services, issuer reports or communications, or other sources that the firm believes to be reliable, we cannot guarantee their accuracy. All opinions and estimates included constitute the analyst’s judgment as of the date of this report and are subject to change without notice. The firm may effect transactions as agent in the securities mentioned herein. This report is offered for information purposes only, and does not constitute an offer or solicitation to buy or sell any securities discussed herein in any jurisdiction where such would be prohibited. Additional information available upon request. Additional Significant Risk Factors and Investment Considerations: The securities or trading strategies discussed in this report may not be suitable for some investors. Investors must independently evaluate each issuer, security, or instrument discussed in this report and consult independent advisors where necessary. 1. Past Performance is not indicative of future results. 2. Market Risk: Securities may decline in value due to factors affecting securities markets generally or particular industries. The value of a security may be worth less than the original investment. 3. Concentration risk: Investing a substantial portion of assets in securities within a single industry or sector of the economy may be subject to greater price volatility or adversely affected by the
performance of securities in that particular sector or industry. 4. Leverage Risk: Fluctuations in interest rates on borrowings or the dividend rates on preferred shares as a result of changes in short-term interest rates may reduce the return to common shareholders or
result in fluctuations in the dividends paid on the common shares. There is no assurance that a leverage strategy will be successful. 5. Foreign Investment Risk: Investment in foreign securities (both governmental and corporate) may involve a high degree of risk. In regards to debt securities, such risks may impair the timely payment of
principal and/or interest. 6. Short selling involves an inordinate amount of risk including the theoretical potential for unlimited losses and losses that can greatly exceed the principal amount invested. In contrast, the potential gain
from short selling is generally limited to the principal amount invested. Short sellers can have their stock called away by the lender of the shares shorted, subjecting the short seller to incremental risk. Short sellers by definition must borrow shares, subjecting short sellers to margin risk. The risks cited here with respect to short selling are not all inclusive and investors should consult with their independent advisors prior to engaging in any recommended short selling strategies, including, if applicable, the short sale recommended in this report.
The risks detailed above are not inclusive. Other significant risk factors not identified here may be equally or more important to any particular investor in terms of assessing the overall risks associated with these securities. The information contained herein is illustrative and is not intended to predict actual results, which may differ substantially from those reflected herein. Investors should consider this report as only a single factor in making their investment decision. Copyright © Renaissance Macro Research, LLC. 2011. All rights reserved. All material presented in this document, unless specifically indicated otherwise, is under copyright to Renaissance Macro Research, LLC. None of the material, nor its content, nor any copy of it, may be altered in any way, or transmitted to or distributed to any other party, without the prior express written permission of Renaissance Marco Research, LLC.
Legal Disclaimer
29