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PREMIUM INSIGHT

[UNLOCKED] Keith's Daily Trading Ranges

[UNLOCKED] Keith's Daily Trading Ranges - Bull and bear extra cartoon

We've made some new enhancements to Daily Trading Ranges - our proprietary buy and sell levels on major markets, commodities and currencies sent to subscribers weekday mornings by CEO Keith McCullough. Click here to view a brief video of McCullough explaining how to use it most effectively.


FINANCIALS SENTIMENT SCOREBOARD | BAC IS THE MOST OVERLY BULLISH BANK

Takeaway: Bank of America (BAC) has extremely bullish sentiment according to our quantitative screen of Financials.

Bank of America has overtaken J.P. Morgan as the most overly bullish moneycenter bank. All three of BAC, JPM, and C (Scores: 97, 92, and 90) continue to stand out as some of the most overly bullish stocks on our scoreboard. These bulge bracket/money center banks have high sell side ratings combined with low levels of short interest which historically have made them underperformers according to our score.

 

We are publishing our updated Hedgeye Financials Sentiment Scoreboard in conjunction with the latest short interest data release. Our Scoreboard now evaluates over 300 companies across the Financials complex.

 

The Scoreboard combines buyside and sell-side sentiment measures. It standardizes those measures to an index of 0-100, where 100 is the best possible sentiment ranking and 0 is the worst. Our analysis shows that a contrarian strategy can be employed successfully by taking the other side of stocks with extreme readings in sentiment, either bullish or bearish. Once sentiment reaches these extreme levels, it becomes a very asymmetric setup wherein expectations become too high or too low.  

 

We’ve quantified the tipping points for high and low sentiment. Specifically, we've found that scores of 20 or lower have a positive, average expected return while scores of 90 or greater are more likely to underperform.

 

Specifically, our backtest of 10,400 observations over a 10-year period found that stocks with scores of 0-10 went on to produce an average absolute return of +23.9% over the following 12-month period. Scores of 10-20 produced an average absolute return of +11.9%. At the other end of the spectrum, stocks with sentiment scores of 90-100 produced average negative absolute returns of -10.3% over the following 12-months.

 

The first table below breaks the 300 companies into a few major categories and ranks all the components on a relative basis. The second table breaks the group into smaller subsectors and again gives them relative rankings within those subsectors. 

 

FINANCIALS SENTIMENT SCOREBOARD | BAC IS THE MOST OVERLY BULLISH BANK - SI1

 

FINANCIALS SENTIMENT SCOREBOARD | BAC IS THE MOST OVERLY BULLISH BANK - SI2

 

FINANCIALS SENTIMENT SCOREBOARD | BAC IS THE MOST OVERLY BULLISH BANK - SI3

 

The following is an excerpt from our 90 page black book entitled “Betting Against the Herd: Generating Alpha From Sentiment Extremes Across Financials.”

 

Let us know if you would like to receive a copy of our black book, which explains this system and its applications.

 

BUYS / LONGS: Financials with extremely low sentiment readings of 20 and below on our index (0-100) show strong average outperformance in absolute and relative terms across 3, 6 and 12 month subsequent durations.  Stocks with sentiment ratings of 20 or lower rise an average of +15.1% over the next 12 months in absolute terms.   

 

SELLS / SHORTS: Financials with extremely high sentiment readings of 90 and above on our proprietary sentiment index (0-100) demonstrate a marked tendency to underperform in absolute and relative terms across 3, 6 and 12 month subsequent durations.  Stocks with sentiment ratings of 90 or greater fall in value an average of -10.3% over the next 12 months in absolute terms. 

 

 

FINANCIALS SENTIMENT SCOREBOARD | BAC IS THE MOST OVERLY BULLISH BANK - Absolute 12 mo

 

 

Joshua Steiner, CFA

 

Jonathan Casteleyn, CFA, CMT

 

Patrick Staudt, CFA


Daily Market Data Dump: Thursday

Takeaway: A closer look at global macro market developments.

Editor's Note: Below are complimentary charts highlighting global equity market developments, S&P 500 sector performance, volume on U.S. stock exchanges, rates and bond spreads, key currency crosses, and commodities. It's on the house. For more information on how Hedgeye can help you better understand the markets and economy (and stay ahead of consensus) check out our array of investing products

 

CLICK TO ENLARGE

 

Daily Market Data Dump: Thursday - equity markets 7 28

 

Daily Market Data Dump: Thursday - sector performance 7 28

 

Daily Market Data Dump: Thursday - volume 7 28

 

Daily Market Data Dump: Thursday - currencies 7 28

 

Daily Market Data Dump: Thursday - rates and spreads 7 28

 

Daily Market Data Dump: Thursday - commodities 7 28


Daily Trading Ranges

20 Proprietary Risk Ranges

Daily Trading Ranges is designed to help you understand where you’re buying and selling within the risk range and help you make better sales at the top end of the range and purchases at the low end.

Friday's Red Hot GDP Report & What It Means For Long Bonds

Takeaway: I’d be a seller of long-term bonds into this GDP report (hoping to buy the 10-yr back again around 1.65-1.70%).

Worldwide long-term yields lower in the last 48 hours and with the UST 10yr at 1.50%, I’d be a seller of long-term bonds into this GDP report (hoping to buy the 10-yr back again around 1.65-1.70%); plenty of people will get sucked into this GDP print if it’s as big as we think it’s going to look (our estimates are +4.8% q/q SAAR – that’s +2.3% y/y – then we’re straight back down to 0.8% for Q3).

 

Friday's Red Hot GDP Report & What It Means For Long Bonds - 10yr treasury 7 28

 

Editor's Note: The snippet above is from a note Hedgeye CEO Keith McCullough wrote for subscribers this morning. Click here to learn more.


The Macro Show with Keith McCullough Replay | July 28,2016

CLICK HERE to access the associated slides.

 

 

An audio-only replay of today's show is available here.


July 28, 2016

Want more from Daily Trading Ranges? CLICK HERE to submit up to 4 tickers you'd like to see on the list. 

 

  • Bullish Trend
  • Bearish Trend
  • Neutral

INDEX BUY TRADE SELL TRADE PREV. CLOSE
UST10Y
10-Year U.S. Treasury Yield
1.62 1.47 1.52
SPX
S&P 500
2,134 2,176 2,166
RUT
Russell 2000
1,185 1,221 1,218
COMPQ
NASDAQ Composite
4,984 5,150 5,139
NIKK
Nikkei 225 Index
16,104 16,868 16,664
DAX
German DAX Composite
9,973 10,359 10,319
VIX
Volatility Index
11.71 15.35 12.83
USD
U.S. Dollar Index
96.47 97.97 97.04
EURUSD
Euro
1.09 1.11 1.09
USDJPY
Japanese Yen
103.15 107.18 105.27
WTIC
Light Crude Oil Spot Price
41.48 44.58 41.92
NATGAS
Natural Gas Spot Price
2.59 2.80 2.66
GOLD
Gold Spot Price
1,315 1,351 1,326
COPPER
Copper Spot Price
2.16 2.26 2.18
AAPL
Apple Inc.
99.28 104.06 102.95
AMZN
Amazon.com Inc.
730 751 736
NFLX
Netflix Inc.
80.92 93.99 92.04
JPM
J.P. Morgan Chase & Co.
62.07 64.54 64.33
FB
Facebook Inc.
118.39 126.14 123.34
ABX
Barrick Gold Corp.
18.69 22.22 21.35


Hedgeye's Daily Trading Ranges are twenty immediate-term (TRADE) buy and sell levels, along with our intermediate-term (TREND) view.  Click HERE for a video from Hedgeye CEO Keith McCullough on how to use these risk ranges.


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