#] #] ********************* #] "$d_web"'economics, markets/market wisdom [data, comments].txt' www.BillHowell.ca 21Oct2022 initial 24************************24 # Table of Contents : # $ grep "^#]" "$d_web"'economics, markets/market wisdom [data, comments].txt' | sed 's/^#\]/ /' ********************* "$d_web"'economics, markets/market wisdom [data, comments].txt' my mantras for investing? investing principles - I've always sucked at picking investments, trading principles - As markets SLOWLY [rise,fall] - [buy,sell] small increments Great quotes SP500 semiLog trendlines, linear segments : SHOULD SIMPLY USE EXPONENTIALS LIKE MARK HULBERT!!! Fed Total Assets : https://www.federalreserve.gov/monetarypolicy/bst_recenttrends_accessible.htm 24Jun2022 Mark Hulbert's eight statistically significant stock market indicators : Key columnists etc Quasi-cycles Howell's TradingView [script, chart, images] 24************************24 #08********08 #] Money flows, market behaviours? 13Jun2023 & before - There still seems to be a lot of money flowing into the markets : SP500 trends : - SP500 is just above 1.0 relative standard deviations (rsd) with respect to the SP500 1926-2022 semilog trend line now. Not huge like the 2000 bubble or covid period (way up there, maybe 3-4 rsd), but the start of something to keep an eye on. 1926-2022: SP500 = 10 power (-56.7736 + (0.029831 * year)) 1_plus_rsdSP500 = 1 + relStdDev = 1.0937853 SP500 semiLog trends = log (SP500) * [1/1_plus_rsdSP500, 1, 1_plus_rsdSP500] - ~Sep2022 to now: slightly above the trend inflation line from Sep2022, growing at about the same rate as during the covid years, ~14 nominal%/year (log rate 0.145, versus 1926-2022 rate of 0.030)? the Fed isn't really deleveraging so much (perhaps a bigger issue than interest rates?) the "debt ceiling" seems to be a loose concept investors are trying to find a home for excess cash - "Big AI" theme seen as a relatively safe harbour for now. Like the internet, people have come to appreciate the potential for the long term, even if its still early to see it first hand "in the wild" - large flow into money market may ebb back into stocks? - consumer covid cash rruns out end of this year? "funny money" still to come into the market for the 2024 US elections? trend line up-break is very different from historic - for how long? US financial markets are 70% of global? 17Jun2023 This may make sense in terms of a perpetual "semi-log financial asset inflation rate" (due to real GDP increases, eever0increasing [deficit, debt] tolerance, inflation (perhaps more now)), and the current AI frenzy of investors, who may be right about a potential change as with PCs and the internet. Mark Hulbert came up with an interesting "exponential fit" 1872-2022 in https://www.marketwatch.com/story/bad-news-for-bulls-the-stock-market-is-still-trading-above-its-long-term-trend-despite-this-years-deep-slump-11666963277?mod=panda_marketwatch_digest. My own results wonder if the current "Covid-period-like" semi-log financial asset inflation may have taken a permanent upturn, just as it did in the 1926-19-40 period : 1. SP500 is just above 1.0 relative standard deviations (rsd) with respect to the SP500 1926-2022 semilog trend line now. Not huge like the 2000 bubble or covid period (way up there, maybe 3-4 rsd), but the start of something to keep an eye on. 2. SP500 semiLog trends = log (SP500) * [1/1_plus_rsdSP500, 1, 1_plus_rsdSP500] 3. 1926-2022: SP500 = 10 power (-56.7736 + (0.029831 * year)) (a) 1_plus_rsdSP500 = 1 + relStdDev = 1.0937853 4. ~Sep2022 to now: slightly above the trend inflation line from Sep2022, growing at about the same rate as during the covid years, ~14 nominal%/year (log rate 0.145, versus 1926-2022 rate of 0.030)? 24************************24 #08********08 #] my mantras for investing? #] gold holds value, nothing else does long-term (maybe crypto in future? - not unless unique) SP-EYY = SP500_EARNINGS_YIELD_YEAR (inverted) TB10y = TVC:TNX 10-yr bond (inverted) coming from: | going to : | percentages of portfolio components TB10y SP-EYY Au | TB10y SP-EYY | Au home RRSP cash SP ------------------------------+--------------------+-------------------------------------- down up | down up | 10-20 up down | up down | down down | down down | 30 up up | up up | 40-50 gold : 10-20% low-end during fast SP500 index price run-ups, gold stagnates 30% mid-range unsure... 40-50% #] investing principles - I've always sucked at picking investments, 03Nov2022 time broad indexes (buy low, sell high) with <10% sum[special high risk] trends - try Turtle trading, some random, monthly buy&sell] instead of short - [put options, hedge funds] special high risk : pharma [BEAM, NOVO_B, LLY] 04Nov2022 [NOVO_B, LLY] big buys 31Oct-02Nov2022, wait to subside Oncolytics - fuck off, I lost waaaayyyy tooo much $ on this turd years ago #] trading principles - As markets SLOWLY [rise,fall] - [buy,sell] small increments Down markets for same [ETF, stock] : putts, stay neutral : [buy,sell] 100% of holdings!! switch to other[ETF, stock]s! At-risk markets - get out!!! at most day trade [from, to] zero positions correlation of markets : 1. Fed 10y T-bill control? 2. Shift [to, from] bonds when stock risks shift 3. Exchange Traded Funds (eg Vanguard) - somewhat-stable % allocations (albeit shifts between funds) 4. Increased levels of investor risk-diversification 5. bag-holders like me market thresholds : correction >-10%; bear >-20%; crash ~41% (avg 1st crash) #08********08 #] Great quotes Howell 2022 "... Perceptions are their own realities, different from other perceptual realities, all divorced from a reality without perceptions. ..." Howell ?date? "... How does that go ("All that Jazz" movie and some philosopher centuries ago) Denial, Anger, Pleading, Acceptance, Death, or something like that. ..." 30Sep2022 [Mark Hulbert's] Gem of a statement : "... you don’t have to know the future to be a good investor. On the contrary, it is the very essence of investing to do your best in the absence of certainty about the future. ..." (Interesting consequences for technical analysis...) 02Sep2022 Mark Hulbert Beware the Federal Reserve’s double-tightening "... If you need one more reason why stocks will likely lose money in September, here it is. Another reason to suspect that the Fed’s double-tightening hasn’t yet been fully discounted in stock prices is that in recent years there’s been a close contemporaneous correlation between changes in the Fed’s balance sheet and the S&P 500 SPX, 0.05%. As you can see from the accompanying chart, the S&P 500 rose markedly in the wake of the soaring Fed balance sheet in March 2020 — and has struggled in 2022 as the rate of increase of the Fed’s balance sheet began to flatten. ..." >> neat graph, long not noticed except by me? Oct2022 Some analyst in MktWatch (Mark Hulbert article?) ~"... as markets crash, all correlations tend to one ..." (something like that...) https://www.tradingview.com/chart/SPX/fTgcDMDh-SPX-Very-Very-Long-Term-Perspective/#tc9340316 24Oct2022 Howell - @Fomenka, This is fun, as there are many completely different [mythology, science] themes which give a somewhat-similar timing of ages as you show. Some go orders and orders of magnitude beyond (astronomically beyond, literally) the impacts of even the wildest (dumbest) imaginings of the "CO2 is the primary driver of climate since 1850" science religion. The alternative themes are immature, but many have a far more credible basis than the CO2 theme. A date speculated for one of them (a 12 ky quasi-cycle, not totally unconnected to the 20+ Mayan calendars) is something like Dec2046 (an event perhaps related to the Toba volcano ~72 ky ago, the eruption being a consequence, not a cause, perhaps like 1815 Tamboura, which was 10* the size of Krakatoa?). In spite of being an "extremist denier" (as others label me) of modern politically-correct science (pretty well all of it - climate science is not important to me), I don't throw out mainstream science "fashions -> cults -> religions", as my self-imposed "multiple conflicting hypothesis" approach demands their retention. #08********08 #] Harry Dent now-2025 go long long bonds, short stocks 10-year and 30-year Treasury bonds or the T-bond ETFs, (TMF, ZROZ, and TLT, in order of leverage), to play the T-bond rally 2025-2037 boom go long on stocks, especially those from India and Southeast Asia and on the Nasdaq here, and long on corporate bonds, especially high-yield bonds, when risk recedes again, and those yields fall along with inflation. #08********08 #] SP500 semiLog trendlines, linear segments : SHOULD SIMPLY USE EXPONENTIALS LIKE MARK HULBERT!!! yDetrend = (yTrn/yEstTrn - 1) / relStdDevTrn (Trn = log transformation of [y]) yTrend = 10 power ( + * yr) (normal, not log, trend of y) I could not find old SHCOMP long-term data series for China price [equilibrium, revolution] cross greatly influences results (eg SP500 OR[1926, 1938]-2022) symName_dateRange constant slope relStdErr relStdDev DAX40 Jan1970-Jul2022 TradingView -61.6477 0.032575 1.30128 0.254864 INDIA50 Mar2013-Jul2022 TradingView -96.353 0.049735 1.07439 0.070385 NI225 Jan1984-Jul2022 TradingView -1.6684 0.002917 1.38252 0.366279 SP500 1872-1940 TV,yahoo,article -14.9701 0.008306 1.28582 0.257167 SP500 1926-2022 TV,yahoo,article -56.7736 0.029831 1.39808 0.333903 UKX100 Apr1988-Jul2022 TradingView -25.5175 0.014559 1.22857 0.201597 SP500 1926-2022 : 10 power (-56.7736 + (0.029831 * year)) year fraction 2000.0 2005.0 2010.0 2015.0 2022.0 2022.5 2022.75 2023.0 SP500 price 773. 1090. 1537. 2167. 3505. 3627. 3690. 3754. From 1872 (after US civil war) to ~1990, SP500 was rarely at its two-segment (break at 1926) semi-log trend line, instead usually >0.33 RelativeStandardDeviations (RSD, semi-log) above or below. Since 1990, apart the (2000 tech bubble-crash, 2008 housing bubble-crash, 2020 covid crash-bubble-crash?) SP500 was within 0.33 RSD. So based on behaviour pre-1990, SP500 would now normally overshoot below trendline. Will it do so now, or settle around the trendline as in last ~30 years? Is (Fed, Treasury) policy responsible for the market behaviour change after 1990, via social engineering of the marketplace?? https://adalytica.io/stock-fear-and-greed-index Alpha Data Analytics is a provider of sentiment data, covering 350 largest news outlets and social platforms in 17 languages, reading 70 news related to the stocks topic every minute using a proprietary AI >> useless - lags the market!! #08********08 24Mar2023 search 'Earnings of SP500 indexed companies' +-----+ https://www.macrotrends.net/1324/s-p-500-earnings-history S&P 500 Earnings - 90 Year Historical Chart This interactive chart compares the S&P 500 index with its trailing twelve month earnings per share (EPS) value back to 1926. image downloads (I didn't keep) but not data +-----+ https://ycharts.com/indicators/sp_500_eps S&P 500 Earnings Per Share (I:SP500EPS) 44.41 USD for Q3 2022 >> mickey mouse +-----+ https://data.nasdaq.com/data/MULTPL/SP500_EARNINGS_MONTH-sp-500-earnings-by-month S&P 500 Earnings by Month >> back to 1871!!! Description S&P 500 Earnings Per Share. 12-month real earnings per share inflation adjusted, constant December, 2022 dollars. Sources: Standard & Poor's for current S&P 500 Earnings. Robert Shiller and his book Irrational Exuberance for historic S&P 500 Earnings. From the data product: S&P 500 Ratios (36 datasets) /home/bill/PROJECTS/economics, markets/mktDat 1871-/rawCsv/rawCsv SP500 Earnings 1926- NasdaqData.txt Welcome to Nasdaq Data Link! Your API key is: 4L-_4iHvAFRiR4n4Jn2J #08********08 07Oct2022 Howell - from downloads #] Fed Total Assets : https://www.federalreserve.gov/monetarypolicy/bst_recenttrends_accessible.htm Federal Reserve Total Assets (T$) - dates intended as turning point indicators, or recent trend Federal Reserve Liabilities (T$ FRED:WLFN via TradingView platform, approximate timing) date asset liability 01Aug2007 0.87 0.78 05Nov2008 2.07 0.83 17Mar2010 2.31 0.88 14Dec2011 2.90 1.02 18Dec2013 4.00 1.19 23Mar2016 4.49 1.39 29Aug2019 3.76 1.71 26Feb2020 4.16 1.75 10Jun2020 7.17 1.91 16Feb2022 8.91 2.19 23Mar2022 8.96 2.21 06Jul2022 8.89 2.22 05Oct2022 8.76 2.23 (approx) date asset liability 24Aug2022 8.85 2.225 31Aug2022 8.82 2.227 07Sep2022 8.82 2.234 14Sep2022 8.83 21Sep2022 8.81 2.227 28Sep2022 8.79 2.228 05Oct2022 8.75 2.2334 12Oct2022 n/a 2.2379 approx 19Oct2022 n/a 2.234 #08********08 ] Info sources : Earnings season : great view of each reporting company!! https://www.tradingview.com/markets/stocks-usa/earnings/ . TD investment site is really good, but doesn't show analysis details. Indexology https://www.indexologyblog.com/ Tim Duy's Fed Watch https://www.sghmacro.com/report/tim-duys-fed-watch-2-16-21/Tim Duy's Fed Watch have to subscribe... All Star Charts https://allstarcharts.com/blog/ (looks good! concepts, strategies, picks!) . can download data!! : https://www.macrotrends.net/1324/s-p-500-earnings-history S&P 500 Earnings - 90 Year Historical Chart This interactive chart compares the S&P 500 index with its trailing twelve month earnings per share (EPS) value back to 1926. https://www.macrotrends.net/2577/sp-500-pe-ratio-price-to-earnings-chart S&P 500 PE Ratio - 90 Year Historical Chart This interactive chart shows the trailing twelve month S&P 500 PE ratio or price-to-earnings ratio back to 1926. WCCI2020 Rio : 1997 Hodrick-Prescott Filter -> business cycle theory!! [] allowed in MarketWatch blogs, not TradingView +-----+ https://finance.yahoo.com/news/ for [images, [article, video] links, etc] qnial> loaddefs link d_Qndfs 'economics, markets/yahoo finance news [search,NLP].ndf' qnial> news qnial> newsDisplay_titles 0 1 2 7 9 20 42 qnial> display_newsIDL 0 1 2 7 9 20 42 #08********08 #] 24Jun2022 Mark Hulbert's eight statistically significant stock market indicators : Percentile since (100 most bearish) Latest lstMonth yStart 2000 1970 1950 P/E ratio 18.96 20.81 24.23 31% 55% 65% CAPE ratio 29.32 32.51 38.66 76% 83% 88% P/dividend ratio 1.71% 1.65% 1.30% 76% 83% 88% P/sales ratio 2.42 2.64 3.15 91% 91% 91% P/book ratio 3.77 4.10 4.85 91% 87% 87% Q ratio 1.63 1.78 2.10 82% 90% 93% *Buffett ratio 1.58 1.72 2.03 91% 96% 96% = Market cap/GDP **Household 49.7% 51.7% 51.7% 95% 96% 97% = average household equity allocation #08********08 #] Key columnists etc MarketWatch - analysis : Mark Hulbert, ?Philip van Doorn? comments only : William Watts, Sunny Oh, Mark DeCambre, Shawn Langlois, ?Al Root?, ?Steve Goldstein?, ?Jay Bowen?, blogger - Darryl Egbert Exxon math nalyst (very good) TradingView - QuantGuy, cryptobullethbtcxlm, ChristopherCarrollSmith, samitrading, tntsunrise, chrism665, drewby4321 (Awesomecharts!!! stock [index, currency]s), ColdMetalAlchemy (doomsayer, 2020 fall) Wall Street leaders - Ray Dalio of Bridgewater Associates, CycleAnalysts - Stephen Puetz, Harry Dent, Rodney Johnson, Robert Prechter, Andy ?Pancholi?, JM Hurst #08********08 #] Quasi-cycles like Ibn Khaldun (~1410 AD) 3-4 generations, sunspot cycle (11.2 y half-cycle) : William Herschel's wheat prices in central England before 1800 Tichevsky (?spelling?) - I think he studied markets Grand Solar Minima (200-400 year) Maunder & American scientist - tree rings for Maunder Minimum ~1816 or 1850-1710 dpending on author Barycentric (solar system center, 2400 year) #08********08 #] Howell's TradingView [script, chart, images] +-----+ List of my published TradingView graphs 06Jul2022 https://www.tradingview.com/x/yB7ObDop/ PuetzUWS Universal Wave Series (UWS) model [time, price] multifractal for detrended SPX index 1872-2020 used with blogrep to https://www.tradingview.com/chart/SPX500/tgmn4W5M-Just-a-few-thoughts/ Just a few thoughts S&P 500 Index (FX:SPX500) 3822.01 −9.09 −0.24% AndyM 10Aug2022 blogrep Burning-Theta, Aug5; Tricks for Reading the VIX +-----+ images "$d_mktDat"'detrend/220802/221023 20h23m no links detrend StockMkt Indices 1871-2022 PuetzUWS201.png' https://www.tradingview.com/x/jBOjEpY4/ 08********08 #] 27May2022 Mark Hulbert - statistically significant predictors of the stock market’s return https://www.marketwatch.com/story/both-stock-market-bulls-and-bears-claim-todays-margin-debt-supports-their-view-heres-the-truth-01653659929?mod=panda_marketwatch_digest Current status of valuation indicators In contrast to the margin debt indicator, the eight listed below are those that my research has found to have a statistically significant ability to forecast the stock market’s return. Notice that while they show the market to be less overvalued than it was earlier this year, it overall remains closer to the overvaluation end of the under-to-overvaluation spectrum. Latest -1M BoY %2000 %1970 %1950 P/E ratio 20.44 20.81 24.23 40% 62% 71% CAPE ratio 32.51 34.34 38.66 91% 90% 93% P/Dividend ratio 1.65% 1.43% 1.30% 81% 86% 90% P/Sales ratio 2.59 2.64 3.15 81% 82% 82% P/Book ratio 4.03 4.10 4.85 84% 79% 79% Q ratio 1.82 1.86 2.14 82% 90% 93% Buffett ratio 1.65 1.74 2.03 93% 97% 97% (Market cap/GDP ) HouseHldEquity 51.8% 51.8% 51.8% 100% 100% 100% Avg household equity allocation -1M = one month ago BoY = Beginning of year %2000 = Percentile since 2000 (100 most bearish) %1970 = Percentile since 1970 (100 most bearish) %1950 = Percentile since 1950 (100 most bearish) One exception is the P/E ratio based on trailing 12-month earnings. It is now at the 40th percentile of its historical distribution since 2000—meaning that the stock market this century has been more overvalued than it is now 60% of the time. That’s a big change from early 2021, when the P/E ratio indicated that the stock market was at the 92nd percentile of its distribution this century. &&&&&&&& Howell - Nice job of assessing the margin debt as a coincident indicator only. It's great to see your table "Current status of valuation indicators". I'm surprised that interest rates don't come in as a component of a measure, given [recent, current] concerns, and the old (but I think you showed not so correct?) adage that inversion of 2year versus 10year T-bond rates portends a recession. But I suspect it wouldn't just be the "non-equilibrium state" of interest rates, but also the rate of change. Its fun to have things like the graph "Investing on the margin", but that doesn't speak to fundamental measures and ratios of valuation like your table has. 16Nov2022 200-day moving average is NOT bullish for stocks, By Mark Hulbert https://www.marketwatch.com/story/the-dow-trading-above-its-200-day-moving-average-is-supposedly-bullish-for-stocks-but-not-this-time-11668565554?mod=panda_marketwatch_digest The Dow trading above its 200-day moving average is supposedly bullish for stocks — but not this time Last Updated: Nov. 16, 2022 at 1:14 p.m. ET First Published: Nov. 16, 2022 at 7:18 a.m. ET The Dow tends to do significantly worse following 200-day moving average 'buy' signals &&&&&&&& Howell - Another truism blown up. At least Hulbert has provided his list of statistically significant ratios that are predictors of the stock market’s return : [P/E, CAPE, P/Dividend, P/Sales, P/Book, Q, Buffett, HouseHldEquity to savings]. see his posting https://www.marketwatch.com/story/both-stock-market-bulls-and-bears-claim-todays-margin-debt-supports-their-view-heres-the-truth-01653659929?mod=panda_marketwatch_digest # enddoc