Stock Market Indicators: Fundamental, Sentiment, & Technical January 12, 216 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 January 12, 216 / Stock Market Sentiment & Technical Indicators www.
Fundamental Stock Market Indicator 22 Figure 1. YRI FUNDAMENTAL STOCK MARKET INDICATOR and S&P 5 INDEX 14 2 18 YRI Fundamental Stock Market Indicator* 12 16 14 1/2 1 12 8 1 8 6 6 4 S&P 5 Index 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 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 Figure 2. YRI BOOM-BUST BAROMETER & CONSUMER COMFORT INDEX 19 18 Boom-Bust Barometer* 17 6 Consumer Comfort Index 1/2 16 15 14 5 13 12 1/2 11 4 1 9 8 3 7 6 2 2 21 22 23 24 25 26 27 28 29 21 211 212 213 214 215 216 217 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 / January 12, 216 / Stock Market Indicators: Fundamental, Sentiment, & Technical www.
Fundamental Stock Market Indicator 22 Figure 3. S&P 5 INDEX & INDUSTRIAL COMMODITY PRICES 75 2 18 S&P 5 Index CRB Raw Industrials Spot Index 65 16 55 14 12 45 1 35 8 6 25 26 27 28 29 21 211 212 213 214 215 216 217 Source: Thomson Reuters I/B/E/S and Commodity Research Bureau. 25 1 Figure 4. S&P 5 INDEX & INITIAL UNEMPLOYMENT CLAIMS 22 2 Initial Unemployment Claims (thousands, sa, four-week moving average, inverted scale) 2 3 1/2 18 16 4 14 5 S&P 5 Index 12 1 6 8 7 2 21 22 23 24 25 26 27 28 29 21 211 212 213 214 215 216 217 Source: US Department of Labor and Standard & Poor s Corporation. 6 Page 2 / January 12, 216 / Stock Market Indicators: Fundamental, Sentiment, & Technical www.
Global Growth Barometer 225 Figure 5. YRI GLOBAL GROWTH BAROMETER (on S&P 5 basis) & S&P 5 225 25 25 185 YRI Global Growth Barometer* (763.1) S&P 5 Index (1938.7) 185 165 165 145 145 125 125 15 15 85 65 28 29 21 211 212 213 214 215 216 217 85 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 Figure 6. US STOCK PRICES vs. BRENT CRUDE OIL PRICE 22 175 2 15 18 125 16 14 1 75 5 S&P 5 Index Brent Crude Oil Price* (dollars per barrel) 12 1 8 25 28 29 21 211 212 213 214 215 216 217 1/11 6 * Nearby futures price. Source: Financial Times and Standard & Poor s Corporation. Page 3 / January 12, 216 / 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 Source: Wall Street Journal and Citigroup. -15 19 17 Figure 8. S&P 5 P/E vs. CITIGROUP ECONOMIC SURPRISE INDEX (percent) 15 1 15 13 1/7 5-5 11 S&P 5 Forward P/E* Economic Surprise Index -1-15 9 27 28 29 21 211 212 213 214 215 216 217-2 * Average weekly price divided by 52-week forward consensus expected operating earnings per share. Source: Standard & Poor s Corporation, Thomson Reuters I/B/E/S, and Citigroup. Page 4 / January 12, 216 / Stock Market Indicators: Fundamental, Sentiment, & Technical www.
5 Figure 9. Investors Intelligence Sentiment INVESTORS INTELLIGENCE BULLS & BEARS 5 4 3 Bull/Bear Ratio Ratio Dec 22 1.24 Dec 29 1.24 Jan 5 1.1 4 3 2 2 1 1/5 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 8 7 6 Bulls Bears Bulls Bears Dec 22 36.7 29.6 Dec 29 36.7 29.6 Jan 5 34.7 31.6 8 7 6 5 5 4 3 1/5 4 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 1 5 45 4 Correction Camp Correction Dec 22 33.7 Dec 29 33.7 Jan 5 33.7 45 4 35 1/5 35 3 3 25 25 2 2 15 15 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 Source: Investors Intelligence. 1 5 Page 5 / January 12, 216 / Stock Market Indicators: Fundamental, Sentiment, & Technical www.
Bull/Bear Ratio Over 3. 26 24 22 2 18 16 14 Figure 1. S&P 5 INDEX vs. BULL/BEAR RATIO OF 3. OR MORE* (ratio scale) 26 24 22 2 18 16 14 12 12 1 1 8 6 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 2 * Red shaded areas indicate Bull/Bear Ratio equal to or greater than 3.. Source: Standard & Poor s Corporation and Investors Intelligence. 216 Figure 11. 216 176 136 DOW JONES INDEX vs. BULL/BEAR RATIO OF 3. OR MORE* (ratio scale) 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 16 * Red shaded areas indicates Bull/Bear Ratio equal to or greater than 3.. Source: Wall Street Journal and Investors Intelligence. Page 6 / January 12, 216 / Stock Market Indicators: Fundamental, Sentiment, & Technical www.
Bull/Bear Ratio Under 1. 26 24 22 2 18 16 14 Figure 12. S&P 5 INDEX vs. BULL/BEAR RATIO OF 1. OR LESS* (ratio scale) 26 24 22 2 18 16 14 12 12 1 1 8 6 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 2 * Green shaded areas indicate Bull/Bear Ratio equal to or less than 1.. Source: Standard & Poor s Corporation and Investors Intelligence. 216 Figure 13. 216 176 136 DOW JONES INDEX vs. BULL/BEAR RATIO OF 1. OR LESS* (ratio scale) 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 16 * Green shaded areas indicates Bull/Bear Ratio equal to or less than 1.. Source: Wall Street Journal and Investors Intelligence. Page 7 / January 12, 216 / Stock Market Indicators: Fundamental, Sentiment, & Technical www.
4 Figure 14. Bull/Bear Ratio Under 1. & Over 3. S&P 5 INDEX LESS 2-DMA vs. BULL/BEAR RATIO OF 3. OR MORE* 4 2 2-2 S&P 5 Minus 2-Day Moving Average Divided by S&P 5 (percent) -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 18-4 * Red shaded areas indicates Bull/Bear Ratio equal to or less than 3.. Source: Standard & Poor s Corporation. 4 Figure 15. S&P 5 INDEX LESS 2-DMA vs. BULL/BEAR RATIO OF 1. OR LESS* 4 2 2-2 S&P 5 Minus 2-Day Moving Average Divided by S&P 5 (percent) -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 18-4 * Green shaded areas indicates Bull/Bear Ratio equal to or less than 1.. Source: Standard & Poor s Corporation. Page 8 / January 12, 216 / Stock Market Indicators: Fundamental, Sentiment, & Technical www.
1 Figure 16. AAII SENTIMENT INDEX FOR STOCKS AAII Sentiment 1 75 AAII Bull Ratio* 75 5 5 1/6 25 25 5 25 26 27 28 29 21 211 212 213 214 215 216 217 5 4 3 AAII Bull/Bear Ratio 4 3 2 2 1 8 7 6 5 4 3 2 1 25 26 27 28 29 21 211 212 213 214 215 216 217 Latest Readings Bulls Bears Dec 3 25.1 23.6 Jan 6 22.2 38.3 Bulls Bears 25 26 27 28 29 21 211 212 213 214 215 216 217 * AAII Bull Ratio is the percent of bulls over the percent of bulls plus percent of bears. Source: American Association of Individual Investors (AAII). 1/6 1/6 1 8 7 6 5 4 3 2 1 Page 9 / January 12, 216 / Stock Market Indicators: Fundamental, Sentiment, & Technical www.
4.5 4. 3.5 Figure 17. Bull/Bear Ratio vs. Consumer Confidence BULL/BEAR RATIO & CONSUMER CONFIDENCE 14 12 3. 1 2.5 Dec 8 2. 1.5 6 1. Bull/Bear Ratio (4-week average) 1/5.5 Consumer Confidence Expectations Index 4. 2 21 22 23 24 25 26 27 28 29 21 211 212 213 214 215 216 217 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 7 3.5 6 3. 2.5 5 2. 4 1.5 1. Bull/Bear Ratio (4-week average) 1/5 3.5 Consumer Comfort Index. 2 21 22 23 24 25 26 27 28 29 21 211 212 213 214 215 216 217 Source: New York Board of Trade, Commodity Futures Trading Commission, and Bloomberg. 2 Page 1 / January 12, 216 / Stock Market Indicators: Fundamental, Sentiment, & Technical www.
3.75 3.5 3.25 3. 2.75 2.5 2.25 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 Source: Chicago Board of Options Exchange. 1/8 2. 1.75 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. 1/8 2. 1.75 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 Source: Chicago Board of Options Exchange..75 Page 11 / January 12, 216 / Stock Market Indicators: Fundamental, Sentiment, & Technical www.
9 8 Figure 21. VIX: S&P 5 Volatility 9 8 7 7 6 6 5 4 5 4 3 3 2 2 1 1 21 22 23 24 25 26 27 28 29 21 211 212 213 214 215 216 217 Source: Chicago Board Options Exchange. 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 Source: Chicago Board Options Exchange. Page 12 / January 12, 216 / 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 1/8 4 2 1999 2 21 22 23 24 25 26 27 28 29 21 211 212 213 214 215 216 217 Source: Wall Street Journal and Haver Analytics. 2 Page 13 / January 12, 216 / Stock Market Indicators: Fundamental, Sentiment, & Technical www.
Dow Theory 2 18 16 Figure 24. DOW JONES STOCK AVERAGES (ratio scale) Industrials (DJIA) Transportation (DJTA) 1 9 8 7 14 6 12 5 1 4 8 3 6 28 29 21 211 212 213 214 215 216 217 Source: The Wall Street Journal. 2 35 28 255 23 Figure 25. S&P 5 STOCK INDEXES (ratio scale) Industrials Composite* 7 6 5 25 Transportation Composite 4 18 3 155 13 2 15 8 28 29 21 211 212 213 214 215 216 217 1 * S&P 5 excluding Financials, Transports, and Utilities. Source: Standard & Poor s Corporation. Page 14 / January 12, 216 / Stock Market Indicators: Fundamental, Sentiment, & Technical www.
3 28 26 24 22 2 18 16 14 Figure 26. S&P 5 INDEX: 28-215* (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 18 16 14 12 12 1 8 S&P 5 (1938.68) 5-day moving average (252.57) 2-day moving average (257.3) 1 8 6 28 29 21 211 212 213 214 215 216 217 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 1 5 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 -3-35 -4-45 28 29 21 211 212 213 214 215 216 217 Source: Standard & Poor s Corporation. -5-1 -15-2 -25-3 -35-4 -45 Page 15 / January 12, 216 / Stock Market Indicators: Fundamental, Sentiment, & Technical www.
S&P 5 Moving Averages 22 2 18 16 Figure 28. S&P 5 INDEX* Latest price: 1938.68 5-dma: 252.57 2-dma: 257.3 22 2 18 16 14 14 12 12 1 1 8 (-) Latest price is -5.9% below the 5-dma. (-) Latest price is -6.1% below the 2-dma. 8 6 28 29 21 211 212 213 214 215 216 217 6 * Ratio Scale Source: Standard & Poor s Corporation. 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 5-5 1/8-5 -1-1 -15-15 -2-2 -25-3 73 75 77 79 81 83 85 87 89 91 93 95 97 99 1 3 5 7 9 11 13 15 17 19 Source: Haver Analytics and Standard & Poor s Corporation. -25-3 Page 16 / January 12, 216 / Stock Market Indicators: Fundamental, Sentiment, & Technical www.
9 7 5 3 Figure 3. S&P 5 Sectors Stock Price Index & 2-dma CONSUMER DISCRETIONARY* (S&P 5 sector price indexes) INDUSTRIALS 625 5 375 25 1 26 27 28 29 21 211 212 213 214 215 216 217 26 27 28 29 21 211 212 213 214 215 216 217 125 575 475 375 CONSUMER STAPLES INFORMATION TECHNOLOGY 975 775 575 275 375 175 26 27 28 29 21 211 212 213 214 215 216 217 26 27 28 29 21 211 212 213 214 215 216 217 175 9 75 ENERGY MATERIALS 4 325 6 25 45 175 3 26 27 28 29 21 211 212 213 214 215 216 217 26 27 28 29 21 211 212 213 214 215 216 217 1 7 575 45 FINANCIALS TELECOMMUNICATION SERVICES 235 195 325 2 155 115 75 26 27 28 29 21 211 212 213 214 215 216 217 26 27 28 29 21 211 212 213 214 215 216 217 75 11 925 75 575 HEALTH CARE UTILITIES 3 25 2 4 15 225 26 27 28 29 21 211 212 213 214 215 216 217 26 27 28 29 21 211 212 213 214 215 216 217 1 2-day moving average * S&P 5 sector price indexes on ratio scales. Source: Haver Analytics and Standard & Poor s Corporation. Page 17 / January 12, 216 / Stock Market Indicators: Fundamental, Sentiment, & Technical www.
6 4 2-2 -4-6 S&P 5 Sectors Stock Price Index Minus 2-dma Figure 31. CONSUMER DISCRETIONARY (% from 2-day moving average) 28 29 21 211 212 213 214 215 216 217 INDUSTRIALS 28 29 21 211 212 213 214 215 216 217 4 2-2 -4-6 3 CONSUMER STAPLES INFORMATION TECHNOLOGY 5 15 25-15 -25-3 28 29 21 211 212 213 214 215 216 217 28 29 21 211 212 213 214 215 216 217-5 4 2 ENERGY MATERIALS 4 2-2 -2-4 -4-6 28 29 21 211 212 213 214 215 216 217 28 29 21 211 212 213 214 215 216 217-6 5 25 FINANCIALS TELECOMMUNICATION SERVICES 3 15-25 -15-5 -3-75 28 29 21 211 212 213 214 215 216 217 28 29 21 211 212 213 214 215 216 217-45 3 15 HEALTH CARE UTILITIES 3 15-15 -15-3 -45 28 29 21 211 212 213 214 215 216 217 28 29 21 211 212 213 214 215 216 217-3 -45 Source: Haver Analytics and Standard & Poor s Corporation. Page 18 / January 12, 216 / 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 2 3 4 5 6 7 8 9 1 11 12 13 14 15 16 17.18.35.3 CONSUMER STAPLES INFORMATION TECHNOLOGY.4.35.25.3.2.25.15 2 3 4 5 6 7 8 9 1 11 12 13 14 15 16 17 2 3 4 5 6 7 8 9 1 11 12 13 14 15 16 17.2.6.5.4 ENERGY MATERIALS.25.2.3.2.15.1 2 3 4 5 6 7 8 9 1 11 12 13 14 15 16 17 2 3 4 5 6 7 8 9 1 11 12 13 14 15 16 17.1.4.3 FINANCIALS TELECOMMUNICATION SERVICES.16.14.12.2.1.8.1 2 3 4 5 6 7 8 9 1 11 12 13 14 15 16 17 2 3 4 5 6 7 8 9 1 11 12 13 14 15 16 17.6.45.4 HEALTH CARE UTILITIES.2.18.16.35.14.3.25 2 3 4 5 6 7 8 9 1 11 12 13 14 15 16 17 2 3 4 5 6 7 8 9 1 11 12 13 14 15 16 17.12.1.8 Source: Haver Analytics and Standard & Poor s Corporation. Page 19 / January 12, 216 / Stock Market Indicators: Fundamental, Sentiment, & Technical www.
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