Stock Market Indicators: Fundamental, Sentiment, & Technical December 6, 217 Dr. Edward Yardeni 516-972-7683 eyardeni@ Joe Abbott 732-497-536 jabbott@ Debbie Johnson 48-664-1333 djohnson@ Mali Quintana 48-664-1333 aquintana@ Please visit our sites at www. blog. thinking outside the box
Table Of Contents Table Of Contents Fundamental Stock Market Indicator 1-2 Global Growth Barometer 3 Economic Surprise Index 4 Investors Intelligence Sentiment 5 Bull/Bear Ratio Over 3. 6 Bull/Bear Ratio Under 1. 7 Bull/Bear Ratio Under 1. & Over 3. 8 AAII Sentiment 9 Bull/Bear Ratio vs. Consumer Confidence 1 S&P 5 Put Call Ratio 11 Volatility 12 Volume 13 Dow Theory 14 S&P 5 Moving Averages 15-16 S&P 5 Sectors Stock Price Index & 2-dma 17 S&P 5 Sectors Stock Price Index Minus 2-dma 18 S&P 5 Sectors Stock Price Index Relative to S&P 519 December 6, 217 / Stock Market Sentiment & Technical Indicators www.
Fundamental Stock Market Indicator 28 26 Figure 1. YRI FUNDAMENTAL STOCK MARKET INDICATOR and S&P 5 INDEX 16 24 22 2 YRI Fundamental Stock Market Indicator* 12/31 14 12 18 16 1 14 12 8 1 6 8 6 S&P 5 Index 4 4 2 92 93 94 95 96 97 98 99 1 2 3 4 5 6 7 8 9 1 11 12 13 14 15 16 17 18 19 2 * Average of Consumer Comfort Index and Boom-Bust Barometer, which is CRB raw industrials spot price index divided by initial unemployment claims, four-week moving average. Source: Bloomberg, Commodity Research Bureau, Department of Labor, and Standard & Poor s Corporation. 7 6 5 4 3 2 Figure 2. YRI BOOM-BUST BAROMETER & CONSUMER COMFORT INDEX 11/25 Boom-Bust Barometer* Consumer Comfort Index 11/11 2 21 22 23 24 25 26 27 28 29 21 211 212 213 214 215 216 217 218 219 22 21 2 19 18 17 16 15 14 13 12 11 1 9 8 7 6 5 4 * CRB raw industrials spot price index divided by initial unemployment claims, four-week moving average. Source: Bloomberg, Commodity Research Bureau, Department of Labor. Page 1 / December 6, 217 / Stock Market Indicators: Fundamental, Sentiment, & Technical www.
Fundamental Stock Market Indicator 85 Figure 3. S&P 5 INDEX & INDUSTRIAL COMMODITY PRICES 28 26 75 S&P 5 Index 24 65 CRB Raw Industrials Spot Index 22 2 55 45 18 16 14 12 35 1 8 25 25 26 27 28 29 21 211 212 213 214 215 216 217 218 219 Source: Thomson Reuters I/B/E/S and Commodity Research Bureau. 6 1 2 3 Figure 4. S&P 5 INDEX & INITIAL UNEMPLOYMENT CLAIMS S&P 5 Index Initial Unemployment Claims (thousands, sa, four-week moving average, inverted scale) 11/25 28 26 24 22 2 4 18 16 5 14 12 6 1 8 7 2 21 22 23 24 25 26 27 28 29 21 211 212 213 214 215 216 217 218 219 Source: US Department of Labor and Standard & Poor s. 6 Page 2 / December 6, 217 / Stock Market Indicators: Fundamental, Sentiment, & Technical www.
Global Growth Barometer 265 Figure 5. YRI GLOBAL GROWTH BAROMETER (on S&P 5 basis) & S&P 5 265 245 245 225 25 YRI Global Growth Barometer* (13.9) S&P 5 Index (2629.3) 225 25 185 185 165 165 145 145 125 125 15 15 85 85 65 28 29 21 211 212 213 214 215 216 217 218 219 65 * Average of Brent crude oil and CRB raw industrials spot price index times 2 and divided by 1. Average then multiplied by 1 and 2 added. Source: Standard & Poor s Corporation and Commodity Research Bureau. 2 175 Figure 6. US STOCK PRICES vs. BRENT CRUDE OIL PRICE 28 26 24 15 22 2 125 18 1 16 75 S&P 5 Index 14 12 5 Brent Crude Oil Price* (dollars per barrel) 12/5 1 8 25 28 29 21 211 212 213 214 215 216 217 218 219 6 * Nearby futures price. Source: Financial Times and Standard & Poor s Corporation. Page 3 / December 6, 217 / Stock Market Indicators: Fundamental, Sentiment, & Technical www.
6 Figure 7. Economic Surprise Index S&P 5 INDEX vs. CITIGROUP ECONOMIC SURPRISE INDEX (percent) 15 4 1 2 5-2 -5-4 S&P 5 minus its 2 day-moving average -1-6 Economic Surprise Index 24 25 26 27 28 29 21 211 212 213 214 215 216 217 218 219 Source: Wall Street Journal and Citigroup. -15 19 Figure 8. S&P 5 P/E vs. CITIGROUP ECONOMIC SURPRISE INDEX (percent) 11/3 15 1 17 5 15 13-5 11 S&P 5 Forward P/E* Economic Surprise Index -1-15 9 27 28 29 21 211 212 213 214 215 216 217 218 219-2 * Average weekly price divided by 52-week forward consensus expected operating earnings per share. Source: Standard & Poor s, Thomson Reuters I/B/E/S, and Citigroup. Page 4 / December 6, 217 / Stock Market Indicators: Fundamental, Sentiment, & Technical www.
5 Figure 9. Investors Intelligence Sentiment INVESTORS INTELLIGENCE BULLS & BEARS 5 4 3 Ratio Bull/Bear Ratio* Ratio Nov 21 3.99 Nov 28 4.13 Dec 5 4.25 12/5 4 3 2 2 1 1 87 88 89 9 91 92 93 94 95 96 97 98 99 1 2 3 4 5 6 7 8 9 1 11 12 13 14 15 16 17 18 19 2 8 7 6 Percentage Bulls Bears Bulls Bears Nov 21 61.5 15.4 Nov 28 62.3 15.1 Dec 5 64.2 15.1 12/5 8 7 6 5 5 4 4 3 3 2 2 1 5 87 88 89 9 91 92 93 94 95 96 97 98 99 1 2 3 4 5 6 7 8 9 1 11 12 13 14 15 16 17 18 19 2 1 5 45 4 Percentage Correction Camp Correction Nov 21 23.1 Nov 28 22.6 Dec 5 2.7 45 4 35 35 3 3 25 25 2 15 1 5 12/5 87 88 89 9 91 92 93 94 95 96 97 98 99 1 2 3 4 5 6 7 8 9 1 11 12 13 14 15 16 17 18 19 2 Source: Investors Intelligence. 2 15 1 5 Page 5 / December 6, 217 / Stock Market Indicators: Fundamental, Sentiment, & Technical www.
Bull/Bear Ratio Over 3. 28 26 24 22 2 18 16 14 Figure 1. S&P 5 INDEX vs. BULL/BEAR RATIO OF 3. OR MORE* (ratio scale) 28 26 24 22 2 18 16 14 12 12 1 8 6 1 8 6 4 4 2 87 88 89 9 91 92 93 94 95 96 97 98 99 1 2 3 4 5 6 7 8 9 1 11 12 13 14 15 16 17 18 19 2 2 * Red shaded areas indicate Bull/Bear Ratio equal to or greater than 3.. Source: Standard & Poor s and Investors Intelligence. 256 216 176 Figure 11. DOW JONES INDEX vs. BULL/BEAR RATIO OF 3. OR MORE* (ratio scale) 256 216 176 136 136 96 96 56 56 16 87 88 89 9 91 92 93 94 95 96 97 98 99 1 2 3 4 5 6 7 8 9 1 11 12 13 14 15 16 17 18 19 2 16 * Red shaded areas indicates Bull/Bear Ratio equal to or greater than 3.. Source: Wall Street Journal and Investors Intelligence. Page 6 / December 6, 217 / Stock Market Indicators: Fundamental, Sentiment, & Technical www.
Bull/Bear Ratio Under 1. 28 26 24 22 2 18 16 14 Figure 12. S&P 5 INDEX vs BULL/BEAR RATIO OF 1. OR LESS* (ratio scale) 28 26 24 22 2 18 16 14 12 12 1 8 6 1 8 6 4 4 2 87 88 89 9 91 92 93 94 95 96 97 98 99 1 2 3 4 5 6 7 8 9 1 11 12 13 14 15 16 17 18 19 2 2 * Green shaded areas indicate Bull/Bear Ratio equal to or less than 1.. Source: Standard & Poor s and Investors Intelligence. 256 216 176 136 Figure 13. DOW JONES INDEX vs. BULL/BEAR RATIO OF 1. OR LESS* (ratio scale) 256 216 176 136 96 96 56 56 16 87 88 89 9 91 92 93 94 95 96 97 98 99 1 2 3 4 5 6 7 8 9 1 11 12 13 14 15 16 17 18 19 2 16 * Green shaded areas indicates Bull/Bear Ratio equal to or less than 1.. Source: Wall Street Journal and Investors Intelligence. Page 7 / December 6, 217 / Stock Market Indicators: Fundamental, Sentiment, & Technical www.
4 Figure 14. Bull/Bear Ratio Under 1. & Over 3. S&P 5 % FROM 2-DMA vs. BULL/BEAR RATIO OF 3. OR MORE* 4 2 2-2 -2-4 87 88 89 9 91 92 93 94 95 96 97 98 99 1 2 3 4 5 6 7 8 9 1 11 12 13 14 15 16 17 18 19 2-4 * Red shaded areas indicates Bull/Bear Ratio equal to or more than 3.. Source: Standard & Poor s Corporation. 4 Figure 15. S&P 5 % FROM 2-DMA vs. BULL/BEAR RATIO OF 1. OR LESS* 4 2 2-2 -2-4 87 88 89 9 91 92 93 94 95 96 97 98 99 1 2 3 4 5 6 7 8 9 1 11 12 13 14 15 16 17 18 19 2-4 * Green shaded areas indicates Bull/Bear Ratio equal to or less than 1.. Source: Standard & Poor s Corporation. Page 8 / December 6, 217 / Stock Market Indicators: Fundamental, Sentiment, & Technical www.
1 Figure 16. AAII SENTIMENT INDEX FOR STOCKS AAII Sentiment 1 75 AAII Bull Ratio* 75 5 11/29 5 25 25 5 25 26 27 28 29 21 211 212 213 214 215 216 217 218 219 5 4 3 AAII Bull/Bear Ratio 4 3 2 2 1 11/29 1 8 7 6 5 4 3 2 1 25 26 27 28 29 21 211 212 213 214 215 216 217 218 219 Latest Readings Bulls Bears Nov 22 35.5 29. Nov 29 36. 31.6 Bulls Bears 25 26 27 28 29 21 211 212 213 214 215 216 217 218 219 * AAII Bull Ratio is the percent of bulls over the percent of bulls plus percent of bears. Source: American Association of Individual Investors (AAII). 11/29 8 7 6 5 4 3 2 1 Page 9 / December 6, 217 / Stock Market Indicators: Fundamental, Sentiment, & Technical www.
Bull/Bear Ratio vs. Consumer Confidence 4.5 4. Figure 17. BULL/BEAR RATIO & CONSUMER CONFIDENCE 12/5 14 12 3.5 3. 1 2.5 8 2. 1.5 6 1. Bull/Bear Ratio (4-week average).5 Consumer Confidence Expectations Index 4. 2 21 22 23 24 25 26 27 28 29 21 211 212 213 214 215 216 217 218 219 Source: New York Board of Trade, Commodity Futures Trading Commission, and the Conference Board. 2 4.5 4. Figure 18. BULL/BEAR RATIO & CONSUMER COMFORT INDEX 12/5 7 3.5 6 3. 2.5 5 2. 4 1.5 1. Bull/Bear Ratio (4-week average) 3.5 Consumer Comfort Index. 2 21 22 23 24 25 26 27 28 29 21 211 212 213 214 215 216 217 218 219 Source: New York Board of Trade, Commodity Futures Trading Commission, and Bloomberg. 2 Page 1 / December 6, 217 / Stock Market Indicators: Fundamental, Sentiment, & Technical www.
3.75 3.5 3.25 3. 2.75 2.5 2.25 2. 1.75 Figure 19. S&P 5 PUT/CALL (weekly data) S&P 5 Put Call Ratio 3.75 3.5 3.25 3. 2.75 2.5 2.25 2. 1.75 1.5 1.25 1..75.5 Average = 1.616 (1996-21) 96 97 98 99 1 2 3 4 5 6 7 8 9 1 11 12 13 14 15 16 17 18 19 Source: Chicago Board of Options Exchange. 12/1 1.5 1.25 1..75.5 2.5 2.25 Figure 2. S&P 5 PUT/CALL (4-week ma) 2.5 2.25 2. 2. 1.75 12/1 1.75 1.5 1.5 1.25 1. Average = 1.624 (1996-21) 1.25 1..75 96 97 98 99 1 2 3 4 5 6 7 8 9 1 11 12 13 14 15 16 17 18 19 Source: Chicago Board of Options Exchange..75 Page 11 / December 6, 217 / Stock Market Indicators: Fundamental, Sentiment, & Technical www.
9 8 Figure 21. VIX: S&P 5 Volatility 9 8 7 7 6 6 5 5 4 4 3 3 2 2 1 21 22 23 24 25 26 27 28 29 21 211 212 213 214 215 216 217 218 219 Source: Chicago Board Options Exchange. 1 1 Figure 22. VIX: NASDAQ 1 1 8 8 6 6 4 4 2 2 21 22 23 24 25 26 27 28 29 21 211 212 213 214 215 216 217 218 219 Source: Chicago Board Options Exchange. Page 12 / December 6, 217 / Stock Market Indicators: Fundamental, Sentiment, & Technical www.
12 Figure 23. Volume NEW YORK STOCK EXCHANGE WEEKLY VOLUME (billion shares, 4-week moving average) 12 1 52-week moving average 1 8 6 8 6 4 11/3 4 2 1999 21 23 25 27 29 211 213 215 217 219 Source: Wall Street Journal and Haver Analytics. 2 Page 13 / December 6, 217 / Stock Market Indicators: Fundamental, Sentiment, & Technical www.
Dow Theory 27 24 21 18 Figure 24. DOW JONES STOCK AVERAGES (ratio scale) Industrials (DJIA) Transportation (DJTA) 125 11 95 8 15 65 12 5 9 35 6 28 29 21 211 212 213 214 215 216 217 218 219 Source: The Wall Street Journal. 2 4 36 32 Figure 25. S&P 5 STOCK INDEXES (ratio scale) Industrials Composite* 1 85 7 28 24 Transportation Composite 55 2 4 16 25 12 8 28 29 21 211 212 213 214 215 216 217 218 219 1 * S&P 5 excluding Financials, Transports, and Utilities. Source: Standard & Poor s. Page 14 / December 6, 217 / Stock Market Indicators: Fundamental, Sentiment, & Technical www.
3 28 26 24 22 Figure 26. S&P 5 INDEX: 28-217* (log scale) -56.8% (51) -16.% (69) S&P 5 Moving Averages -19.4% (154) -9.8% (27) -9.9% (59) -7.7% (61) -7.4% (27) -12.4% (94) 3 28 26 24 22 2 2 18 18 16 16 14 14 12 12 1 S&P 5 (2629.27) 1 8 5-day moving average (2575.93) 2-day moving average (2458.33) 8 6 28 29 21 211 212 213 214 215 216 217 218 219 6 * Dips are declines of less than 1%. Corrections are declines of 1% to 2%. Bear markets are declines of 2% or more. Number of days in parentheses. Source: Standard & Poor s Corporation. 3 25 2 15 Figure 27. S&P 5 INDEX (as a percent of 2-day moving average) 3 25 2 15 1 5-5 -1-15 -2-25 1 5-5 -1-15 -2-25 -3-35 -4-45 % from 2-day moving average (6.9) 28 29 21 211 212 213 214 215 216 217 218 219 Source: Standard & Poor s. -3-35 -4-45 Page 15 / December 6, 217 / Stock Market Indicators: Fundamental, Sentiment, & Technical www.
S&P 5 Moving Averages 28 26 Figure 28. S&P 5 INDEX* 28 26 24 22 2 Latest price: 2629.27 5-dma: 2577.73 2-dma: 246.26 24 22 2 18 18 16 16 14 14 12 12 1 1 8 (+) Latest price is 2.% above the 5-dma. (+) Latest price is 6.4% above the 2-dma. 8 6 28 29 21 211 212 213 214 215 216 217 218 219 6 * Ratio Scale Source: Standard & Poor s. 25 2 15 Figure 29. S&P 5 INDEX TECHNICALS THE DEATH CROSS & THE GOLDEN CROSS (5-dma relative to 2-dma, percent, weekly) 25 2 15 1 1 5 12/1 5-5 -5-1 -1-15 -15-2 -25-3 (4.8) 73 75 77 79 81 83 85 87 89 91 93 95 97 99 1 3 5 7 9 11 13 15 17 19 21 Source: Haver Analytics and Standard & Poor s Corporation. -2-25 -3 Page 16 / December 6, 217 / Stock Market Indicators: Fundamental, Sentiment, & Technical www.
31 26 21 16 11 Figure 3. S&P 5* (price indexes) S&P 5 Sectors Stock Price Index & 2-dma INDUSTRIALS 75 625 5 375 25 6 9 7 5 6 7 8 9 1 11 12 13 14 15 16 17 18 19 CONSUMER DISCRETIONARY* 6 7 8 9 1 11 12 13 14 15 16 17 18 19 INFORMATION TECHNOLOGY 125 1375 175 775 3 475 1 675 575 475 375 275 6 7 8 9 1 11 12 13 14 15 16 17 18 19 CONSUMER STAPLES 6 7 8 9 1 11 12 13 14 15 16 17 18 19 MATERIALS 175 5 4 3 2 175 9 75 6 7 8 9 1 11 12 13 14 15 16 17 18 19 ENERGY 6 7 8 9 1 11 12 13 14 15 16 17 18 19 REAL ESTATE 1 29 24 19 6 14 45 9 3 825 675 525 375 6 7 8 9 1 11 12 13 14 15 16 17 18 19 FINANCIALS 6 7 8 9 1 11 12 13 14 15 16 17 18 19 TELECOMMUNICATION SERVICES 4 235 195 155 225 Includes Real Estate through September 216 115 75 1225 125 825 625 6 7 8 9 1 11 12 13 14 15 16 17 18 19 HEALTH CARE 6 7 8 9 1 11 12 13 14 15 16 17 18 19 UTILITIES 75 35 3 25 2 425 15 225 6 7 8 9 1 11 12 13 14 15 16 17 18 19 6 7 8 9 1 11 12 13 14 15 16 17 18 19 1 2-day moving average * S&P 5 sector price indexes on ratio scales. Source: Haver Analytics and Standard & Poor s Corporation. Page 17 / December 6, 217 / Stock Market Indicators: Fundamental, Sentiment, & Technical www.
6 4 2-2 -4-6 4 2-2 S&P 5 Sectors Stock Price Index Minus 2-dma Figure 31. S&P 5 (price index as percentage of 2-dma) % from 2-dma (6.9) 6 7 8 9 1 11 12 13 14 15 16 17 18 19 CONSUMER DISCRETIONARY INDUSTRIALS (6.1) 6 7 8 9 1 11 12 13 14 15 16 17 18 19 INFORMATION TECHNOLOGY 4 2-2 -4-6 4 2-2 -4-6 3 15 (6.9) 6 7 8 9 1 11 12 13 14 15 16 17 18 19 CONSUMER STAPLES (1.5) 6 7 8 9 1 11 12 13 14 15 16 17 18 19 MATERIALS -4-6 4 2-2 -15-3 4 2 (3.4) 6 7 8 9 1 11 12 13 14 15 16 17 18 19 ENERGY (7.1) 6 7 8 9 1 11 12 13 14 15 16 17 18 19 REAL ESTATE -4-6 5 25-2 -25-4 -6 6 4 2-2 -4-6 -8 3 (2.1) 6 7 8 9 1 11 12 13 14 15 16 17 18 19 FINANCIALS Includes Real Estate through September 216 (11.5) 6 7 8 9 1 11 12 13 14 15 16 17 18 19 HEALTH CARE (1.8) 6 7 8 9 1 11 12 13 14 15 16 17 18 19 TELECOMMUNICATION SERVICES (-1.2) 6 7 8 9 1 11 12 13 14 15 16 17 18 19 UTILITIES -5-75 4 2-2 -4 4 15 2-15 -2-3 (4.) 6 7 8 9 1 11 12 13 14 15 16 17 18 19 (3.8) 6 7 8 9 1 11 12 13 14 15 16 17 18 19-4 Source: Standard & Poor s Corporation. Page 18 / December 6, 217 / Stock Market Indicators: Fundamental, Sentiment, & Technical www.
.35.3 S&P 5 Sectors Stock Price Index Relative to S&P 5 Figure 32. CONSUMER DISCRETIONARY (as a ratio of S&P 5 Index) INDUSTRIALS.26.24.25.22.2.2.15 2 3 4 5 6 7 8 9 1 11 12 13 14 15 16 17 18 19 2 3 4 5 6 7 8 9 1 11 12 13 14 15 16 17 18 19.18.35.3 CONSUMER STAPLES INFORMATION TECHNOLOGY.5.45.4.25.2.35.3.25.15 2 3 4 5 6 7 8 9 1 11 12 13 14 15 16 17 18 19 2 3 4 5 6 7 8 9 1 11 12 13 14 15 16 17 18 19.2.6.5.4 ENERGY MATERIALS.25.2.3.2.15.1 2 3 4 5 6 7 8 9 1 11 12 13 14 15 16 17 18 19 2 3 4 5 6 7 8 9 1 11 12 13 14 15 16 17 18 19.1.4 FINANCIALS TELECOMMUNICATION SERVICES.16.14.3.12.1.2.8.6.1 2 3 4 5 6 7 8 9 1 11 12 13 14 15 16 17 18 19 2 3 4 5 6 7 8 9 1 11 12 13 14 15 16 17 18 19.4.45.4.35 HEALTH CARE UTILITIES.2.18.16.14.3.25 2 3 4 5 6 7 8 9 1 11 12 13 14 15 16 17 18 19 2 3 4 5 6 7 8 9 1 11 12 13 14 15 16 17 18 19.12.1.8 Source: Haver Analytics and Standard & Poor s Corporation. Page 19 / December 6, 217 / Stock Market Indicators: Fundamental, Sentiment, & Technical www.
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