degraaf s Weekly Survival Guide to the Markets September 11, 2012

Transcription

1 degraaf s Weekly Survival Guide to the Markets 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 Jeffrey degraaf, CMT, CFA technical@renmac.com Rob Ginsberg rginsberg@renmac.com Alex Meintel, CMT ameintel@renmac.com Chetan Jain cjain@renmac.com Important legal disclaimer on page 29 sales@renmac.com

2 Trend Has Been Best Call 2

3 Improvement But Still Light S&P 500 (SP50) Price - Close or Current Intraday 1,450 1,400 1,350 1,300 1,250 1,200 1,150 1,100 1,050 Apr-10 Jul-10 Oct-10 Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 1, DAY NEW HIGHS AS A % OF ISSUES 9/10/2012 = 25.80% 100% 80% 60% 40% 20% Apr-10 Jul-10 Oct-10 Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 Renaissance Macro Research - Technical Analysis 3 0%

4 Now Overbought Does it Matter? S&P 500 (SP50) Price - Close or Current Intraday 1,450 1,400 1,350 1,300 1,250 1,200 1,150 1,100 1,050 Apr-10 Jul-10 Oct-10 Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 1,000 % OF ISSUES ABOVE THE 50 DAY MOVING AVERAGE 9/10/2012 = 78.40% 100% 80% 60% 40% 20% Apr-10 Jul-10 Oct-10 Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 Renaissance Macro Research - Technical Analysis 0% 4

5 Historical Momentum Days S&P 500 Normal Returns Days Fwd 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 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% S&P 500 Returns Post-Momentum Signal Days Fwd 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 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% 5

6 11/4/2010 Similar Signal QE2 6

7 Resurrection of the Convergence Trade 7

8 Inflation Expectations at Upper Boundary 8

9 Gold Improving, New High in Euros 9

10 Copper Improving 65-day breakout 10

11 All Industrial Metals Bouncing 11

12 Copper/China Copper violated downtrend line, China has not. 12

13 Would You Buy or Sell This Chart? 13

14 Percent Change (%) Percent Change (%) Percent Change (%) Percent Change (%) Apple Product Announcements Month Leading into Announcement Day of Announcement iphone iphone 3G iphone 3GS iphone 4 iphone 4S ipad ipad 2 New ipad -4.0 iphone iphone 3G iphone 3GS iphone 4 iphone 4S ipad ipad 2 New ipad 1 Month Post Announcement 3 Months Post Announcement iphone iphone 3G iphone 3GS iphone 4 iphone 4S ipad ipad 2 New ipad iphone iphone 3G iphone 3GS iphone 4 iphone 4S ipad ipad 2 New ipad 14

15 Volatility and Valuation are Working Last Last Day Day Of Of Of The The Year Year Last Day Of The Year Last Day Of The Year 15

16 Materials Close to Neutral Bar Width: Higher Ranks Thicker Lower Ranks - Thinner Color Coding: Overweight- GREEN Underweight RED New entrants highlighted in green Optimal entry points outlined in blue Top Technically Ranked S&P 500 Names Healthcare: Discretionary: Staples: Financials: 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 16

17 Equal Weight Industry Ranking Red bars denote deterioration by intensity Green bars denote improvement by intensity 17

18 Bonanza Creek Energy Inc. Price 50 Day Mov ing Av erage 200 Day Mov ing Av erage Bullish New Issues C&J Energy Services Inc. Price 50 Day Mov ing Av erage 200 Day Mov ing Av erage Relativ e Strength to S&P Composite Relativ e Strength to S&P Composite Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug 10/10 1/11 4/11 7/11 10/11 1/12 4/12 7/12 LinkedIn Corporation Price 50 Day Mov ing Av erage 200 Day Mov ing Av erage Michael Kors Holdings Ltd. Price 50 Day Mov ing Av erage 200 Day Mov ing Av erage Relativ e Strength to S&P Composite /10 1/11 4/11 7/11 10/11 1/12 4/12 7/ Relativ e Strength to S&P Composite 1500 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug

19 S&P 500 / Commercial Banks -IND (SP629) Price - Close or Current Intraday Commercial Banks Strong internal trends 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 % OF ISSUES WITH 50 DAY M.A. > 200 DAY M.A. 9/11/2012 = 92.31% 100% 80% 60% 40% 20% 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 Renaissance Macro Research - Technical Analysis 19 0%

20 100% of Commercial Banks at 20-day Highs 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 DAY NEW HIGHS AS A % OF ISSUES 9/11/2012 = 38.46% 100% 80% 60% 40% 20% 0% 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 Renaissance Macro Research - Technical Analysis 20

21 Bullish Commercial Bank STI-US RenMac Rank: 1 SunTrust Banks Inc. Price 50 Day Moving Average 200 Day Moving Average Regional Banks '08 '09 '10 '11 '12 21

22 Bullish Commercial Bank KEY-US RenMac Rank: 1 KeyCorp Price 50 Day Moving Average 200 Day Moving Average Regional Banks '08 '09 '10 '11 '

23 Bullish Commercial Bank CMA-US RenMac Rank: 1 Comerica Inc. Price 50 Day Moving Average 200 Day Moving Average Diversified Banks '08 '09 '10 '11 '12 23

24 Bullish Commercial Bank MTB-US RenMac Rank: 1 M&T Bank Corp. Price 50 Day Moving Average 200 Day Moving Average Regional Banks '08 '09 '10 '11 '

25 Big Base in Pharma MRK-US RenMac Rank: 1 Merck & Co Inc Price 50 Day Moving Average 200 Day Moving Average Pharmaceuticals '08 '09 '10 '11 '

26 ABT Back to Top Rank ABT-US RenMac Rank: 1 Abbott Laboratories Price 50 Day Moving Average 200 Day Moving Average Pharmaceuticals 70 Base '08 '09 '10 '11 '12 26

27 Materials Play LYB-US RenMac Rank: 1 LyondellBasell Industries N.V. Cl A Price 50 Day Moving Average 200 Day Moving Average Specialty Chemicals '08 '09 '10 '11 '12 27

28 Top-25 Portfolio Current Current Current Holdings: Holdings: PFE PFE PLL Current EL Holdings: Current PFE PSA PSA PSA KLAC OKE PLL PM EL Holdings: CBS CBS HRB KLAC PLL CBS ROST ROST EL ROST KLAC HD HD HD PFE PSA PM SE HRB PFE HD WYN WYN PM WYN HRB DF DF CBS ROST PSA CTAS CBS DF PSA CTAS FAST WYN ROST HD FAST ROST HD WMB GWW WYN DF HRB WMB WYN DF ISRG GWW HP HRB HRB GWW HRB HRB ISRG GWW HRB HRB HRB HRB HRB HRB HRB HRB HRB HRB HP HP HP HP HP HP HP HP HP HP HP HP GWW HP HP HP HP GWW GWW HP FTI PLL, PLL, GWW PLL, PLL, GWW GWW HP HP FTI FTI PLL, PLL, FTI FTI PLL, FTI HP FAST GT FTI FTI PLL, FTI FTI FTI FTI FTI FTI FTI PLL, GWW FTI FTI FTI FTI FAST FAST FAST GWW PLL, FAST PLL, GT GT FAST FAST FAST GT GT GWW GWW FAST PLL, FAST GT GT GT GT GT GT FAST PLL, GT GT GT GT FTI GT GWW FAST GT GWW FAST DF APOL GT GT DF DF DF GWW DF DF GT APOL APOL APOL GWW APOL OKE, SE APOL APOL APOL GT COG APOL APOL APOL APOL APOL APOL OKE, SE APOL SE SE OKE, OKE, SE SE COG APOL OKE, OKE, APOL SE OKE, SE OKE, SE OKE, SE OKE, SE SE OKE, OKE, SE OKE, SE SE COG COG COG COG COG OKE, OKE, SE SE COG COG COG COG OKE, SE COG COG COG COG TSN TSN WMB, TSN TSN TSN WMB, WMB, TSN WMB, ISRG, TSN TSN TSN TSN TSN TSN TSN KLAC, WMB, WMB, WMB, KLAC, WMB, WMB, WMB, KLAC, KLAC, KLAC, KLAC, WMB, KLAC, KLAC, TSN KLAC, KLAC, ISRG, ISRG, ISRG, KLAC, CTAS ISRG, ISRG, TSN ISRG, CTAS PM TSN CTAS CTAS ISRG, ISRG, ISRG, CTAS CTAS CTAS ISRG, TSN CTAS CTAS PM EL CTAS PM PM PM PM PM CTAS PM PM KLAC, EL PM PM EL KLAC, KLAC, EL PM EL EL EL EL EL CTAS EL EL CTAS CTAS EL EL EL 28

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31 Legal Disclaimer 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. 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