Wall Street Model
  • Welcome
  • Model Fundamentals
  • Blog
  • Stock Screen
  • Market Timer
  • Contact Me

Momentum Still Working

10/27/2013

0 Comments

 
Picture
  Once again the momentum of the market carried it higher last week.  The only timing strategy that has worked so far this year has just been to buy on any dip.  With complacency very high, the correction could be very painful when it comes but seems like the market has a bit farther to run.

Earnings:
Estimates for both 2013 and 2014 are now in clear downtrends but the fact that I am shifting
weight from this year to next is allowing my first earnings indicator to remain positive.
Looking at earnings 52 weeks ahead, estimates are still in an upward trend as optimistic analysts stay very positive.  The trend is slowing, however.
With both earnings indicators positive, my maximum earnings exposure is 100%.
Looking at the gap between last twelve month earnings and future 52 week projections, the gap is very large and is now growing again.
I subtract 25% to account for this growing gap.
Total earnings factor exposure and maximum total exposure is therefore 75%, same as last week.

Sentiment: 
Odd lot investors remain in a neutral position.
Exposure remains at 50%, same as last week.
Small option buyers remained very bullish last week but my indicator just barely edged out of extreme territory. 
Exposure increases to 5%,  up from -10% last week.
NAAIM managers became still more bullish last week and they have also come within a tiny measure of being in extreme territory.
Exposure declines to 5% this week, down from 20% last week.
Average sentiment factor exposure is 20% this week, up from 0% last week. 
 
Valuation:
Percentage of stock prices represented by net current assets remains at the lowest level possible.
Exposure remains at 0%, same as last week.
Comparison of stock earnings yield to ten year treasury yield remained neutral last week.
Exposure remains at 50%, same as last week.
Total valuation exposure is 25%, same as last week.

To combine
these three factors, I multiply them together and then take the cube root.
This week, that number is 33%, up from 0% last week.

Technicals:
My comparison of yields on treasury bonds compared to lower quality corporates remained positive last week.
I add 10% to account for this factor.
New highs - new lows on the Nasdaq are still positive.
I add 20% to account for this factor.
My trend indicator for new highs - new lows on the Nasdaq remained positive last week so there is no reduction in exposure based on this indicator.
Total technical adjustments this week are +30%, same as last week.

After adjustments, total exposure for the week is 63% or, after rounding, 75%.
This level of exposure does not exceed the current earnings cap and is up from 25% last week.




0 Comments

Government Reopening Is A Positive?

10/20/2013

0 Comments

 
Picture
  I've got to admit that the market has a tremendous amount of momentum but it is very hard to see the rationale for this move.  Yes, the government reopened - but it was a short-term deal.  None of the substantive factors in my model is really strong and some are downright weak.  I'm going to back off and see if this is a blowoff or not.

Earnings:
Estimates for both 2013 and 2014 are now in a clear downtrend but the fact that I am shifting weight from this year to next is allowing my first earnings indicator to remain positive.
Looking at earnings 52 weeks ahead, estimates are still in an upward trend as optimistic analysts stay very positive.  The trend is slowing, however.
With both earnings indicators positive, my maximum earnings exposure is 100%.
Looking at the gap between last twelve month earnings and future 52 week projections, the gap is very large and is now growing again.   
I subtract 25% to account for this growing gap. 
Total earnings factor exposure and maximum total exposure is therefore 75%, down from 100% last week.
 
Sentiment: 
Odd lot investors remain in a neutral position. 
Exposure remains at 50%, same as last week.
Small option buyers really stepped up their bullishness last week and now in extreme territory. 
Exposure declines to -10%,  down from 20% last week.
NAAIM managers became more bullish last week but not enough to change the indicator's reading. 
Exposure remains at 20% this week, same as last week.
When one sentiment factor is maximum bearish and the other two are neutral or negative, I set the sentiment factor for the week to 0%.  This is down from 30% last week.
 
Valuation:
Percentage of stock prices represented by net current assets remains at the lowest level possible.
Exposure remains at 0%, same as last week.
Comparison of stock earnings yield to ten year treasury yield remained neutral last week.
Exposure remains at 50%, same as last week.
Total valuation exposure is 25%, same as last week.

To combine these three factors, I multiply them together and then take the cube root. 
This week, that number is 0%, down from 44% last week.

Technicals:
My comparison of yields on treasury bonds compared to lower quality corporates
remained positive last week.
I add 10% to account for this factor.
New highs - new lows on the Nasdaq are still positive.
I add 20% to account for this factor.
My trend indicator for new highs - new lows on the Nasdaq turned back positive last week so there is no reduction in exposure based on this indicator.
Total technical adjustments this week are +30%, up from +5% last week.

After adjustments, total exposure for the week is 30% or, after rounding, 25%.
This level of exposure does not exceed the current earnings cap and down from 50% last week.





0 Comments

More Earnings Concerns

10/13/2013

0 Comments

 
Picture
  Sentiment started to improve before the big rally Thursday but I'm afraid it will not last long.  Meanwhile, earnings look poised for a fall given the huge number of companies lowering expectations and the impact of the shutdown.  I am still taking a neutral approach for now but I would anticipate more market volatility:

Earnings:
Estimates for 2013/2014 seem to have stalled but remain in a positive trend.
Looking at earnings 52 weeks ahead, estimates are still in an upward trend as optimistic analysts stay very positive.
With both earnings indicators positive, my maximum earnings exposure is 100%.
Looking at the gap between last twelve month earnings and future 52 week projections, the gap is very large and is now on the verge of starting to grow again.  It is still marginally narrowing this week, though.
There is no adjustment for the earnings gap so the earnings factor exposure is 100%, the same as last 
week.
 
Sentiment: 
Odd lot investors started shorting a bit more last week and are now neutral.  
Exposure increases to 50%, up from 35% last week.
Small option buyers continued to buy calls at a pretty high level, but not extreme. 
Exposure remains at 20%,  same as last week.
NAAIM managers got more defensive last week.
Exposure increases to 20% this week, up from 5% last week.
The sentiment factor increases to 35% this week, up from 20% last week.

Valuation:
Percentage of stock prices represented by net current assets remains at the lowest level possible.
Exposure remains at 0%, same as last week.
Comparison of stock earnings yield to ten year treasury yield remained neutral last week.
Exposure remains at 50%, same as last week.
Total valuation exposure is 25%, same as last week.

To combine these three factors, I multiply them together and then take the cube root. 
This week, that number is 44%, up from 37% last week.

Technicals:
My comparison of yields on treasury bonds compared to lower quality corporates
remained positive last week.
I add 10% to account for this factor.
New highs - new lows on the Nasdaq are still positive.
I add 20% to account for this factor.
My trend indicator for new highs - new lows on the Nasdaq remained negative last week in spite of the big rally.
I subtract 25% from my exposure to account for this factor.
Total technical adjustments this week are +5%, same as last week.

After adjustments, total exposure for the week is 49% or, after rounding, 50%.
This level of exposure does not exceed the current earnings cap and is the same as last week.



 

0 Comments

Complacency Rules

10/6/2013

0 Comments

 
Picture
The shutdown goes on but the level of complacency among small investors and speculators is surprisingly high.  The "buying opportunity" mentality persists and could lead to a blowoff if the situation is settled soon.  Meanwhile, market internals are weakening.
Earnings:
Estimates for 2013/2014 seem to have stalled but remain in a positive trend.
Looking at earnings 52 weeks ahead, estimates are still in an upward trend as optimistic analysts stay very positive.
With both earnings indicators positive, my maximum earnings exposure is 100%.
Looking at the gap between last twelve month earnings and future 52 week projections, while the gap
is larger than I would like to see, it is still slowly declining.
There is no adjustment for the earnings gap so the earnings factor exposure is 100%, the same as last 
week.

Sentiment: 
Odd lot investors stayed complacent and modestly bullish last week. 
Exposure remains at 35%, same as last week.
Small option buyers continued to buy calls at a pretty high level, but not extreme. 
Exposure remains at 20%,  same as last week.
NAAIM managers put even more cash to work last week.
Exposure decreases to 5% this week, down from 20% last week.
The sentiment factor declines to 20% this week, down from 25% last week.

Valuation:
Percentage of stock prices represented by net current assets remains at the lowest level possible.
Exposure remains at 0%, same as last week.
Comparison of stock earnings yield to ten year treasury yield remained neutral last week.
Exposure remains at 50%, same as last week.
Total valuation exposure is 25%, same as last week.

To combine these three factors, I multiply them together and then take the cube root.
This week, that number is 37%, down from 40% last week.

Technicals:
My comparison of yields on treasury bonds compared to lower quality corporates
remained positive last week.
I add 10% to account for this factor.
New highs - new lows on the Nasdaq are still positive.
I add 20% to account for this factor.
My trend indicator for new highs - new lows on the Nasdaq remained positive through most of last week but, by Friday, they had gone modestly negative.
I subtract 25% from my exposure to account for this factor.
Total technical adjustments this week are +5%, down from +30% last week.

After adjustments, total exposure for the week is 42% or, after rounding, 50%.
This level of exposure does not exceed the current earnings cap and is down from 75% last week.

 


0 Comments
    Picture
    ​

    With my wife on Aruba
    December 2019

    Categories

    All

    RSS Feed

    Archives

    December 2020
    November 2020
    October 2020
    September 2020
    August 2020
    July 2020
    June 2020
    May 2020
    April 2020
    March 2020
    February 2020
    January 2020
    December 2019
    November 2019
    October 2019
    September 2019
    August 2019
    July 2019
    June 2019
    May 2019
    April 2019
    March 2019
    February 2019
    January 2019
    December 2018
    November 2018
    October 2018
    September 2018
    August 2018
    July 2018
    June 2018
    May 2018
    April 2018
    March 2018
    February 2018
    January 2018
    December 2017
    November 2017
    October 2017
    September 2017
    August 2017
    July 2017
    June 2017
    May 2017
    April 2017
    March 2017
    February 2017
    January 2017
    December 2016
    November 2016
    October 2016
    September 2016
    August 2016
    July 2016
    June 2016
    May 2016
    April 2016
    March 2016
    February 2016
    January 2016
    December 2015
    November 2015
    October 2015
    September 2015
    August 2015
    July 2015
    June 2015
    May 2015
    April 2015
    March 2015
    February 2015
    January 2015
    December 2014
    November 2014
    October 2014
    September 2014
    August 2014
    July 2014
    June 2014
    May 2014
    April 2014
    March 2014
    February 2014
    January 2014
    December 2013
    November 2013
    October 2013
    September 2013
    August 2013
    July 2013
    June 2013
    May 2013
    April 2013
    March 2013
    February 2013
    January 2013
    December 2012
    November 2012
    October 2012
    September 2012
    August 2012
    July 2012
    June 2012

Powered by Create your own unique website with customizable templates.