Summary
The stock market has made some attempts in recent months at putting in an
important top -- is it about to succeed? If so, will the longer end of the
Treasury curve be a beneficiary of a stock-market sell-off? My hunch regarding
the answers: "probably" and "probably."
_____
It's been a while since I've published a "by-the-numbers" review of the
markets. Since it looks to me like the stock market in particular could be at
or near a very important inflection point, it's a good time to do one of
these.
I've incorporated some of the tables into the following discussion. The
balance are found in the appendix that accompanies this missive as a text
attachment.
_____
The Stock Market
* The stock market has taken some stabs in recent months -- all
unsuccessful -- at making an important top. The confluence of some technical factors
now puts another attempt in play. We should know reasonably soon -- within a
week or so, I'd say -- whether the current situation will have a different
outcome.
* Five of the seven measures in my stock-market tracking group made
52-week highs last week (all on Wednesday, 2/11), helped a good deal by Alan
Greenspan's congressional testimony on Wednesday and Thursday. By giving this
generally upbeat election-year presentation, Greenspan continued to repay Bush for
the fifth term as Fed chairman that Bush all but promised Greenspan last
April. If you wish to peruse the "official" testimony, you will find it at:
http://www.federalreserve.gov/boarddocs/hh/2003/february/testimony.htm
* The two measures in the tracking group not making new highs last week
were the NASDAQ 100 and the Russell 2000. Both measures have been major
momentum leaders in the rally off last March's lows. Could it be they are now
leading a market rollover?
* As of last Friday's close, all but the NYSE Composite stood below not
only Wednesday's closing highs, but also below the prior closing highs, set on
1/26. It certainly is too early to conclude that Wednesday was part of a
"failing-rally" pattern, but it is now on the radar screen as something to think
about. Moreover, market levels have now emerged against which to measure such
a possibility.
----------------------------------------------------
SELECTED STOCK-MARKET MEASURES
----------------------------------------------------
% Change
To 02/13
Recent Highs Prior Highs From
02/13 ------------ ----------- Recent &
Close Close Date Close Date Prior
----------------------------------------------------
NYSE Comp. 6691 6751 02/11 6672 01/26 -0.9 +0.3
DJIA 10628 10738 02/11 10703 01/26 -1.0 -0.7
S&P 500 1146 1158 02/11 1155 01/26 -1.0 -0.8
Wil. 5000 11174 11293 02/11 11282 01/26 -1.1 -1.0
Value Line 378 384 02/11 384 01/26 -1.6 -1.6
Russ. 2000 585 597 02/11 602 01/26 -2.0 -2.8
NAS 100 1484 1514 02/11 1554 01/26 -2.0 -4.5
----------------------------------------------------
Average -1.4 -1.6
Median -1.1 -1.0
----------------------------------------------------
* On prima facie examination, the bullish camp should be in control of
things this week. There's an expiration on the immediate horizon, and these
events, by design, are meant to "help" the equity market to higher levels.
Moreover, there is now at least a whiff of M&A mania returning to the marketplace,
with the folks appearing regularly on CNBC and other similar venues pointing
to the phenomenon as just another indication of why higher stock prices are a
given.
Suppose, however, against this short-term bullish backdrop the market
does not cooperate? This surely would suggest the possibility that something
on the margin might be in a state of change. In turn, this is what makes this
week's performance measured against last week's levels of genuine importance.
* As further indication of the "nothing-can-go-wrong" mentality currently
prevailing, major sentiment indicators remain exceptionally bullish, despite
all the talk about that old "wall of worry." Markets should always be
assessed in terms of what investors are actually doing, not what strategists are
saying. Besides, beyond the run of the mill lip service, there aren't many
strategists expressing much concern -- about anything!
(Table 1 in the attached appendix covers a longer period than shown
below.)
----------------------------------------------------
THE BEHAVIOR OF CBOE SENTIMENT-RELATED MEASURES
AND THE S&P 500 FROM 12/31/03 THROUGH 02/13/04
----------------------------------------------------
S&P 500
Date CBOE Options -------------------
or Put/Call Ratios Cum.
Week CBOE -------------------- Versus 12/31
Ended VIX* All Equ. Ind. Tot** Close Prior = 100
----------------------------------------------------
2004
02/13 15.58 0.76 0.59 1.58 0.81 1145.8 -1.0% 103.05
----------------------------------------------------
02/11@15.39 0.68 0.56 1.19 0.82 1157.8 +1.3% 104.13
----------------------------------------------------
02/06 16.00 0.63 0.46 1.72 0.82 1142.8 +1.0% 102.78
01/30 16.63 0.81 0.71 1.30 0.83 1131.1 -0.9% 101.73
01/23 14.84 0.77 0.60 2.17 0.82 1141.6 +0.2% 102.67
01/16 15.00 0.51 0.35 1.95 0.85 1139.8 +1.6% 102.51
01/09 16.75 0.65 0.45 1.75 0.84 1121.9 +1.2% 100.90
01/02 18.22 0.75 0.53 1.94 0.83 1108.5 -0.3% 99.69
2003
12/31 18.31 1.25 0.95 2.96 0.82 1111.9 ---> = 100.00
----------------------------------------------------
*2004 VIX highs and lows (including
intraday): high = 18.68 (1/2); low =
14.01 (1/22). @S&P high 2004 close.
----------------------------------------------------
* Speaking earlier of technical forces, most of the ones I keep track of
do not lack for a solidly overbought condition. Thus, a stiff correction
commencing at any moment would not be out of character with this consideration.
And something right now just approximating a pullback to 200-day moving
averages -- an event increasingly overdue -- would be fairly "stiff."
(Table 3 in the attached appendix covers a longer period than shown in
the lower portion of the table below.)
-------------------------------------------------
200-DAY MOVING-AVERAGE VIOLATIONS --
VALUES PROJECTED FROM CLOSE ON 02/13/04
-------------------------------------------------
% Decline From
MA Violation/ 02/13 Close At
Resulting Price Violation Of:
02/13 --------------- -----------------
Measure Close 1% 3% 5% 1% 3% 5%
-------------------------------------------------
DJIA 10629 9518 9326 9133 10.5 12.3 14.1
NAZ Comp. 2054 1822 1785 1748 11.3 13.1 14.9
S&P 500 1146 1024 1003 982 10.6 12.5 14.3
-------------------------------------------------
DJIA, NASDAQ COMPOSITE AND S&P 500 CLOSING
PRICES ON SELECTED DATES VERSUS RESPECTIVE
20-DAY, 50-DAY AND 200-DAY MOVING AVERAGES
(In Percent or Portion Thereof)
-------------------------------------------------
DJIA Vs. NAZ Comp. Vs. S&P 500 Vs.
------------- ------------- -------------
Date 20D 50D 200D 20D 50D 200D 20D 50D 200D
-------------------------------------------------
2004
02/13 0.5 2 11 -1 0.8 12 0.4 3 11
01/30-0.5 3 11 -2 3 15 -0.2 3 11
01/16 1 5 13 5 8 20 2 5 13
01/02 2 5 12 1 2 14 2 4 10
2003
12/26 2 5 12 1 2 14 2 4 10
-------------------------------------------------
NOTE: Tables 4 through 6 in the appendix provide additional stock-market
data.)
_____
Interest Rates/Dollar
* Greenspan spoke with great bravado last week about how the Fed can be
"patient" with regard to domestic interest rates. (See Table 7 in the
appendix.) Of course, it's a big world out there, which remains a major part of Mr.
G's dilemma. Rates elsewhere continue to remain more than competitive with
rates here, to wit:
-------------------------------------------------
BASIS-POINT DIFFERENTIALS -- US TREASURY
SECURITIES VERSUS THE SOVEREIGN DEBT
SECURITIES OF SELECTED COUNTRIES
-------------------------------------------------
Maturity
Date ----------------------------
Country 2004 1-Year 2-Year 5-year 10-year
-------------------------------------------------
Australia 02/13 5.32% 5.23% 5.46% 5.54%
United Kingdom " 4.04% 4.24% 4.61% 4.76%
Germany " 2.07% 2.31% 3.33% 4.10%
UNITED STATES " 1.08% 1.67% 3.01% 4.04%
Japan " 0.02% 0.06% 0.49% 1.25%
-------------------------------------------------
Australia 02/13 -424 -356 -245 -150
United Kingdom " -296 -257 -160 -72
Germany " -99 -64 -32 -6
Japan " +106 +161 +252 +279
-------------------------------------------------
* Something at least partially amusing in watching CNBC, etc. is the
banter among bulls strongly suggesting that the Greenspan approach to monetary
policy somehow constitutes a free lunch. Which, of course, some of us strongly
dispute. And as tangible evidence to the contrary, I present the following:
-------------------------------------------------
THE US DOLLAR'S EXCHANGE-RATE PER-
FORMANCE VERSUS THE CURRENCIES OF
THE COUNTRIES SHOWN IN THE TABLE ABOVE
-------------------------------------------------
% Change
To 02/13 From
Country/ 02/13 12/31 12/31 -------------
Currency 2004 2003 2002 12/31 12/31
Close Close Close 2003 2002
-------------------------------------------------
Australia Dol. 1.2658 1.3282 1.7819 -4.7 -29.0
UK Pound 0.5303 0.5599 0.6212 -5.3 -14.6
Germany (Euro) 0.7847 0.7950 0.9524 -1.3 -17.6
Japanese Yen 105.49 107.37 118.76 -1.8 -11.2
=================================================
FRB $ Index 85.56 86.92 101.85 -1.6 -16.0
-------------------------------------------------
* Part of the Wall Street shtick goes something to the effect that if you
are not going to Europe or Australia or Japan, etc. on vacation, the above
trashing of your currency doesn't really affect you. Oh no?
Last week, the Labor Department reported that US import prices rose
1.3% during January. Yes, a good chunk of it was oil related (as if that doesn't
count), but a lot of the rise went well beyond energy. Year over year,
import prices were up 1.8%. However, over the last three months, they rose a very
sizable 2.4%, and this is a nonannualized figure. Annualized, the increase
was roughly 10%. Yes, indeed, the weaker and weakening dollar certainly does
appear to be importing inflation!
* The model bond account continues to hold its 150,000 (par value) short
position in the Treasury 5.375s of 2031. As of last Friday, the holding
showed a small profit of about $690. I would love to get the full position (total
dollar value of about $428,000) in place, but for the moment, I'm simply not
going to chase it. I continue to believe that a material decline in stock
prices will benefit the Treasury market, although the beneficial impact could be
blunted with the passage of time.
---------------------------------------------------
FIXED-INCOME PORTFOLIO - TRANSACTIONS JOURNAL
---------------------------------------------------
Date Description Debit Credit Balance
---------------------------------------------------
2004
02/11 Closing Cash Balance 4349
02/11 For Settlement 02/12:
Sold Short 150000
US Treasury Bonds,
5.375%, 02/15/31
@ 1064.59 (YTM=4.89%) 160863 165212
Accrued Interest 4054 169266
02/11 For Settlement 02/12:
B 165000 UST Bills,
04/01/04 @ 0.86% D,
Unit Price = 998.83 164807 4459
---------------------------------------------------
Summary of Holdings as of 02/12 Settlement
------------------------------------------
Long: 1235000 UST Bills, 04/01/04
Short: 150000 UST Bonds, 5.375, 02/15/31
---------------------------------------------------
_____
Gold/Silver
So far, the 2004 rise, then decline, in the prices of physical gold and
silver, as well as in the better stocks that underpin the XAU, have been very
much in line with the expectations I've expressed over the last several weeks.
The correction has probably run its course. If so and in the case of gold,
it will generally have been well contained in the $400 - $410 range. While it
may take additional consolidation and base building before an assault is made
on the prior highs, I'm looking for a bullion price of, say, $450 to $475 by
late spring to early summer.
-----------------------------------------------------
A LOOK AT GOLD, THE PHILADELPHIA GOLD/
SILVER INDEX ("XAU"), THE DJIA AND THE
FRB DOLLAR INDEX FROM 12/31/99 FORWARD
-----------------------------------------------------
Closing Values Indexes
------------------------ -----------------------
Comex FRB (12/31/99=100.00)
Gold* $ -----------------------
Date ($s) "XAU" DJIA Index Comex "XAU" DJIA $
-----------------------------------------------------
2004
02/13 410 102.16 10628 85.56 141.9 150.3 92.4 84.0
-----------------------------------------------------
2004 Only, Through 02/13
------------------------
Index: 98.6 93.9 101.7 98.4
% Change: -1.4 -6.1 +1.7 -1.6
-----------------------------------------------------
2003
12/31 416 108.84 10454 86.92 143.9 160.1 90.9 85.4
2002
12/31 348 76.76 8342 101.85 120.4 112.9 72.6 100.0
2001
12/31 279 54.43 10022 116.75 96.5 80.1 87.2 114.7
2000
12/31 272 51.41 10787 109.56 94.1 75.6 93.8 107.6
1999
12/31 289 67.97 11497 101.82 <------ 100.00 ------->
-----------------------------------------------------
*Spot-month contract.
-----------------------------------------------------
TABLE APPENDIX
TABLE 1.
----------------------------------------------------
THE BEHAVIOR OF CBOE SENTIMENT-RELATED MEASURES
AND THE S&P 500 FROM 10/09/02 THROUGH 02/13/04
----------------------------------------------------
S&P 500
Date CBOE Options -------------------
or Put/Call Ratios Versus Cum.
Week CBOE -------------------- Prior 10/9/02
Ended VIX* All Equ. Ind. Tot** Close Week = 100
----------------------------------------------------
2004
02/13 15.58 0.76 0.59 1.58 0.81 1145.8 +0.3% 147.52
----------------------------------------------------
02/11@15.39 0.68 0.56 1.19 0.82 1157.8 -- 149.07
----------------------------------------------------
02/06 16.00 0.63 0.46 1.72 0.82 1142.8 +1.0% 147.14
01/30 16.63 0.81 0.71 1.30 0.83 1131.1 -0.9% 145.63
01/23 14.84 0.77 0.60 2.17 0.82 1141.6 +0.2% 146.98
01/16 15.00 0.51 0.35 1.95 0.85 1139.8 +1.6% 146.75
01/09 16.75 0.65 0.45 1.75 0.84 1121.9 +1.2% 144.44
01/02 18.22 0.75 0.53 1.94 0.83 1108.5 +1.1% 142.72
2003
12/26 17.45 0.57 0.38 2.91 0.82 1095.9 +0.7% 141.10
12/19 16.42 0.80 0.61 1.57 0.84 1088.7 +1.4% 140.17
12/12 16.41 0.75 0.50 1.49 0.83 1074.1 +1.2% 138.29
12/05 17.09 0.84 0.68 1.74 0.83 1061.5 +0.3% 136.69
11/28 16.32 0.69 0.55 1.28 0.83 1058.2 +2.2% 136.26
11/21 18.98 0.80 0.66 1.40 0.83 1035.3 -1.4% 133.31
11/14 16.94 0.69 0.55 1.46 0.83 1050.4 -0.3% 135.24
11/07 16.93 0.78 0.61 1.85 0.82 1053.2 +0.2% 135.60
10/31 16.10 1.12 1.03 1.65 0.81 1050.7 +2.1% 135.28
10/24 17.71 0.91 0.79 1.49 0.81 1028.9 -1.0% 132.47
10/17 17.62 0.64 0.46 2.00 0.82 1039.3 +0.1% 133.81
10/10 18.45 0.93 0.70 2.18 0.81 1038.1 +0.8% 133.66
10/03 19.50 0.75 0.55 1.45 0.81 1029.9 +3.3% 132.60
09/26 22.23 0.98 0.87 1.28 0.81 996.9 -3.8% 128.35
09/19 19.07 0.68 0.54 1.38 0.82 1036.3 +1.7% 133.42
09/12 20.25 0.90 0.70 1.36 0.82 1018.6 -0.3% 131.14
09/05 19.37 0.72 0.55 1.68 0.81 1021.4 +1.3% 131.51
08/29 19.49 1.29 1.15 2.14 0.80 1008.0 +1.5% 129.78
08/22 20.27 0.91 0.72 2.07 0.79 993.1 +0.2% 127.86
08/15 20.20 0.53 0.43 1.16 0.79 990.7 +1.3% 127.55
08/08 21.29 0.81 0.63 1.31 0.79 977.6 -0.3% 125.87
08/01 22.78 0.91 0.74 1.30 0.78 980.2 -1.9% 126.20
07/25 19.94 0.67 0.54 1.03 0.78 998.7 +0.5% 128.58
07/18 21.36 0.61 0.53 1.11 0.79 993.3 -0.5% 127.89
07/11 20.72 0.98 0.89 1.34 0.78 998.1 +1.3% 128.51
07/04 21.61 1.08 0.85 2.08 0.77 985.7 +1.0% 126.91
06/27 21.71 0.99 0.81 1.89 0.76 976.2 -2.0% 125.69
06/20 21.09 0.51 0.36 1.30 0.80 995.7 +0.7% 128.20
06/13 22.88 0.73 0.59 1.33 0.80 988.6 +0.1% 127.28
06/06 23.43 0.78 0.66 1.28 0.79 987.8 +2.5% 127.18
05/30 21.70 0.67 0.49 1.53 0.78 963.6 +3.3% 124.06
05/23 21.38 0.74 0.59 1.24 0.78 933.2 -1.2% 120.15
05/16 21.01 0.54 0.40 1.26 0.79 944.3 +1.2% 121.58
05/09 22.04 0.82 0.66 1.41 0.77 933.4 +0.4% 120.18
05/02 23.61 0.72 0.51 1.63 0.76 930.1 +3.5% 119.75
04/25 23.90 0.87 0.76 1.27 0.75 898.8 +0.6% 115.72
04/18 24.59 0.52 0.52 1.24 0.76 893.6 +2.9% 115.05
04/11 28.27 0.79 0.66 1.08 0.75 868.3 -1.2% 111.79
04/04 32.80 0.76 0.71 0.91 0.75 878.9 +1.8% 113.16
03/28 32.18 1.31 1.32 1.28 0.74 863.5 -3.6% 111.18
03/21 33.62 0.63 0.42 1.47 0.75 895.8 +7.5% 115.33
03/14 36.33 0.70 0.58 1.04 0.74 833.3 +4.1% 107.29
----------------------------------------------------
03/11 38.08 0.81 0.66 1.12 0.75 800.7 -3.4% 103.09
----------------------------------------------------
03/07 35.65 0.75 0.64 1.02 0.75 828.9 -1.5% 106.72
02/28 34.15 0.59 0.50 0.88 0.75 841.2 -0.8% 108.30
02/21 34.14 0.85 0.74 1.23 0.74 848.2 +1.6% 109.21
02/14 37.10 0.98 0.79 1.41 0.75 834.9 +0.6% 107.49
02/07 38.80 0.94 0.70 1.54 0.76 829.7 -3.0% 106.82
01/31 35.78 0.84 0.67 1.34 0.75 855.7 -0.7% 110.17
01/24 35.77 0.83 0.64 1.35 0.75 861.4 -4.5% 110.91
01/17 28.68 0.82 0.74 1.27 0.65 901.8 -2.8% 116.11
01/10 27.13 0.75 0.58 1.35 0.64 927.6 +2.1% 119.43
01/03 27.98 0.76 0.70 0.98 0.63 908.6 +3.8% 116.98
2002
12/27 34.15 0.96 0.78 1.40 875.4 -2.3% 112.71
12/20 31.47 0.88 0.68 1.90 895.8 +0.7% 115.33
12/13 32.12 0.87 0.67 1.50 889.5 -2.5% 114.52
12/06 32.68 0.91 0.74 1.32 912.2 -2.6% 117.45
11/29 31.08 0.62 0.47 1.13 936.3 +0.6% 120.55
11/22 26.73 0.70 0.60 1.04 930.6 -0.9% 119.81
11/15 30.83 0.57 0.44 1.38 909.8 +1.7% 117.14
11/08 33.56 1.05 0.88 1.64 894.7 -0.7% 115.19
11/01 33.98 0.71 0.56 1.27 901.0 +0.4% 116.00
10/25 36.27 0.75 0.65 1.20 897.7 +1.5% 115.58
10/18 39.82 0.68 0.58 1.18 884.4 +5.9% 113.87
10/11 43.44 0.93 0.71 1.53 835.3 +7.5% 107.54
----------------------------------------------------
10/09#49.48 0.92 0.79 1.26 0.64 776.7 --> = 100.00
----------------------------------------------------
VIX Highs and Lows (Including Intraday)
---------------------------------------
Year High Date Low Date
---------------------------------------
2004 18.68 01/02 14.01 01/22
2003 41.16 03/12 14.83 12/15
2002 56.74 07/24 18.87 03/28
----------------------------------------------------
@S&P high close and #low close, 10/9/02 forward.
----------------------------------------------------
TABLE 2.
-------------------------------------------------
200-DAY MOVING-AVERAGE VIOLATIONS --
VALUES PROJECTED FROM CLOSE ON 02/13/04
-------------------------------------------------
% Decline From
MA Violation/ 02/13 Close At
Resulting Price Violation Of:
02/13 --------------- -----------------
Measure Close 1% 3% 5% 1% 3% 5%
-------------------------------------------------
DJIA 10629 9518 9326 9133 10.5 12.3 14.1
NAZ Comp. 2054 1822 1785 1748 11.3 13.1 14.9
S&P 500 1146 1024 1003 982 10.6 12.5 14.3
-------------------------------------------------
TABLE 3.
-------------------------------------------------
DJIA, NASDAQ COMPOSITE AND S&P 500 CLOSING
PRICES ON SELECTED DATES VERSUS RESPECTIVE
20-DAY, 50-DAY AND 200-DAY MOVING AVERAGES
(In Percent or Portion Thereof)
-------------------------------------------------
DJIA Vs. NAZ Comp. Vs. S&P 500 Vs.
------------- ------------- -------------
Date 20D 50D 200D 20D 50D 200D 20D 50D 200D
-------------------------------------------------
2004
02/13 0.5 2 11 -1 0.8 12 0.4 3 11
01/30-0.5 3 11 -2 3 15 -0.2 3 11
01/16 1 5 13 5 8 20 2 5 13
01/02 2 5 12 1 2 14 2 4 10
2003
12/19 3 5 12 0.3 0.8 14 2 3 10
12/05 0.9 2 9 -0.1 0.8 15 0.9 2 9
11/21 -1 -0.3 7 -2 -0.5 15 -1 -0.2 7
11/07 0.6 2 10 2 4 22 0.7 2 10
10/24 0.5 0.5 9 2 0.5 17 -0.4 0.7 9
10/03 1 2 10 1 5 21 1 3 10
09/18 2 4 11 4 8 26 2 4 12
08/29 1 2 9 5 6 21 2 2 9
08/08 0.4 0.8 8 -4 -2 12 -0.8 -1 7
07/18 1 2 8 1 5 19 0.3 2 10
07/04-0.6 3 8 1 6 18 -0.4 3 10
06/20 2 6 10 1 7 19 1 5 12
06/03 3 5 7 4 10 17 3 7 10
=================================================
05/06 2 5 3 6 10 14 4 7 6
04/17 1 4 0.4 3 6 7 2 5 2
03/14 0.6 -3 -7 2 -0.2 -0.7 0.4 -3 -7
01/08 1 0.3 -4 2 0.3 -2 +1 0.7 -4
2002
10/09 -7 -13 -23 -7 -12 -30 -7 -12 -24
07/16 NA -12 -14 NA -11 -22 NA -12 -18
-------------------------------------------------
TABLE 4.
----------------------------------------------------
NEW YORK STOCK EXCHANGE BREADTH MEASURES
----------------------------------------------------
Volume* Issues 52-Week
---------------- -------------- --------------
Week -A- -B- -A- -B- A/ H/
Ended Total Advan. B/A Adv. Decl. A+B High Low H+L
----------------------------------------------------
2004
02/13 7.061 3.810 0.54 8944 7381 0.55 1627 20 0.99
02/06 7.568 4.043 0.53 8713 7637 0.53 917 37 0.96
01/30 8.324 3.613 0.43 7122 9278 0.43 1362 23 0.98
01/23#6.550 3.429 0.52 7524 5589 0.57 1968 6 0.99
01/16 7.896 4.678 0.59 9415 6976 0.57 2096 7 0.99
01/09 8.185 4.705 0.58 9344 7068 0.57 2402 28 0.99
01/02#4.007 2.450 0.61 7680 5279 0.59 2062 38 0.98
2003
12/26#3.219 1.970 0.61 7615 4996 0.60 1478 21 0.99
12/19 7.400 4.217 0.57 9232 7050 0.57 1672 40 0.98
12/12 6.674 3.666 0.55 9293 6976 0.57 1424 42 0.97
12/05 6.809 3.335 0.49 8573 7620 0.53 1922 30 0.99
11/28#4.223 3.095 0.73 8593 4157 0.67 1190 24 0.98
11/21 6.509 2.557 0.39 7421 8710 0.46 622 57 0.92
11/14 6.369 2.949 0.46 8108 8028 0.50 1226 48 0.96
11/07 6.920 3.804 0.55 9243 6877 0.57 2004 35 0.98
10/31 7.493 4.583 0.61 9811 6288 0.61 1600 33 0.98
10/24 7.247 3.079 0.43 7459 7556 0.50 742 44 0.94
10/17 6.422 3.088 0.48 8289 7755 0.52 1757 25 0.99
10/10 6.192 3.541 0.57 9238 6810 0.58 1746 26 0.99
10/03 7.268 4.673 0.6410626 5567 0.66 992 40 0.96
09/26 7.062 2.160 0.31 6316 9794 0.39 584 52 0.92
09/19 6.746 3.948 0.59 9248 6815 0.58 1050 48 0.96
09/12 6.747 3.256 0.48 8655 7455 0.54 796 45 0.95
09/05#5.987 3.575 0.60 7632 5302 0.59 1477 28 0.98
08/29 5.289 3.237 0.61 9393 6555 0.59 679 57 0.92
08/22 6.340 3.589 0.57 9107 7019 0.57 1309 110 0.92
08/15 5.166 3.111 0.60 9234 6700 0.58 693 132 0.84
08/08 6.529 3.154 0.48 7854 8281 0.48 253 254 0.50
08/01 7.051 2.934 0.42 6811 9443 0.42 735 245 0.75
07/25 6.941 3.649 0.53 8092 8094 0.50 527 94 0.85
07/18 7.623 3.355 0.44 7024 9218 0.43 781 80 0.91
07/11 7.154 3.858 0.54 8676 7492 0.54 1264 33 0.98
07/04#5.265 3.012 0.57 7404 5457 0.58 648 23 0.97
06/27 6.806 2.842 0.42 7984 8289 0.49 423 42 0.91
06/20 7.451 3.665 0.49 7847 8452 0.48 1272 26 0.98
06/13 6.863 3.346 0.49 8846 7590 0.54 1760 24 0.99
06/06 8.214 5.090 0.6210119 6307 0.62 2498 12 0.99
05/30#6.411 4.108 0.63 8480 4618 0.65 1379 23 0.98
05/23 6.961 3.657 0.53 9021 7218 0.56 1280 50 0.96
05/16 7.094 4.315 0.61 9152 7082 0.56 1174 23 0.98
05/09 7.178 3.880 0.54 9417 6775 0.58 1021 18 0.98
05/02 7.358 4.843 0.6610419 5785 0.64 734 62 0.92
04/25 7.188 3.860 0.54 8810 7464 0.54 751 91 0.89
04/18#5.465 3.539 0.65 8396 4550 0.65 416 82 0.84
04/11 6.333 2.977 0.47 8338 7754 0.52 351 108 0.77
04/04 6.984 3.844 0.55 9098 7053 0.56 365 138 0.73
03/28 6.354 2.701 0.43 8056 8189 0.50 180 160 0.53
03/21 7.924 5.810 0.7310071 6208 0.62 270 176 0.61
03/14 7.462 3.411 0.46 7713 8563 0.47 248 971 0.20
03/07 6.341 2.663 0.42 7502 8615 0.47 370 678 0.35
02/28 6.629 3.340 0.50 8283 7853 0.51 265 452 0.37
02/21#4.802 2.697 0.56 7364 5585 0.57 150 212 0.41
02/14 6.601 3.012 0.46 7578 8636 0.47 160 670 0.19
02/07 6.706 2.129 0.32 6758 9446 0.42 260 383 0.40
01/31 7.483 3.555 0.48 8052 8218 0.50 249 366 0.41
01/24#6.090 2.046 0.34 5080 8006 0.39 330 213 0.61
01/17 6.941 2.907 0.42 7803 8533 0.48 485 85 0.85
01/10 7.412 4.297 0.58 9011 7490 0.55 565 71 0.89
01/03#4.461 2.899 0.65 8156 4794 0.63 214 72 0.75
2002
12/27#3.030 1.146 0.38 6112 6559 0.48 197 113 0.64
12/20 7.018 3.406 0.49 8310 7940 0.51 201 201 0.50
12/13 6.247 2.639 0.42 7705 8410 0.48 181 135 0.57
12/06 7.013 2.784 0.40 7886 8210 0.49 163 163 0.67
11/29#5.049 2.694 0.53 7166 5635 0.56 139 74 0.65
11/22 7.762 4.587 0.59 9022 7138 0.56 165 147 0.53
11/15 6.788 3.984 0.58 8675 7391 0.54 113 216 0.34
11/08 7.492 3.682 0.49 8161 7893 0.51 117 130 0.47
11/01 7.234 3.731 0.52 8944 7116 0.56 122 216 0.36
10/25 7.555 4.282 0.57 8621 7412 0.54 109 358 0.36
10/18 7.801 4.533 0.58 8672 7440 0.54 129 412 0.24
10/11 9.218 4.926 0.53 7294 8953 0.45 113 2087 0.05
10/04 8.655 3.021 0.35 6906 9283 0.43 339 1156 0.23
----------------------------------------------------
*Billions of shares. #Four-day trading week.
----------------------------------------------------
TABLE 5.
---------------------------------------------------
NYSE BREADTH MEASURES -- WEEKLY RATIOS AND 3-WEEK
MOVING AVERAGES AND S&P 500 WEEKLY AND 3-WEEK
MOVING AVERAGES -- 10/04/02 THROUGH 02/13/04
---------------------------------------------------
Weekly Readings and Three-Week Mov-
ing Averages of Weekly Readings
--------------------------------------------
Volume Adv./Dec. 52-Week S&P 500
Ratio Ratio H/L Ratio (% Change)
Week ------------------------------- ------------
Ended Week MA Week MA Week MA Week MA
---------------------------------------------------
2004
02/13 0.54 0.50 0.55 0.50 0.99 0.98 +0.3 +0.1
02/06 0.53 0.49 0.53 0.51 0.96 0.98 +1.0 +0.1
01/30 0.43 0.51 0.43 0.52 0.98 0.99 -1.0 +0.3
01/23 0.52 0.56 0.57 0.57 0.99 0.99 +0.2 +1.0
01/16 0.59 0.59 0.57 0.61 0.99 0.99 +1.6 +1.3
01/09 0.58 0.60 0.57 0.62 0.99 0.99 +1.2 +1.0
01/02 0.61 0.60 0.69 0.62 0.98 0.98 +1.1 +1.1
2003
12/26 0.61 0.56 0.60 0.58 0.99 0.98 +0.7 +1.1
12/19 0.57 0.52 0.57 0.56 0.98 0.98 +1.4 +1.0
12/12 0.50 0.57 0.57 0.59 0.97 0.98 +1.2 +1.2
12/05 0.49 0.54 0.53 0.55 0.99 0.96 +0.3 +0.4
11/28 0.73 0.53 0.67 0.55 0.98 0.95 +2.2 +0.2
11/21 0.39 0.47 0.46 0.52 0.92 0.95 -1.4 -0.5
11/14 0.46 0.54 0.52 0.57 0.96 0.97 -0.3 +0.7
11/07 0.55 0.53 0.57 0.56 0.98 0.97 +0.2 +0.4
10/31 0.61 0.51 0.61 0.54 0.98 0.97 +2.1 +0.4
10/24 0.43 0.49 0.50 0.53 0.94 0.97 -1.0 -0.0
10/17 0.48 0.56 0.52 0.59 0.99 0.98 +0.1 +1.4
10/10 0.57 0.51 0.58 0.54 0.99 0.96 +0.8 +0.1
10/03 0.64 0.51 0.66 0.54 0.96 0.95 +3.3 +0.4
09/26 0.31 0.46 0.39 0.50 0.92 0.94 -3.8 -0.8
09/19 0.59 0.56 0.58 0.57 0.96 0.96 +1.7 +0.9
09/12 0.48 0.56 0.54 0.57 0.95 0.95 -0.3 +0.8
09/05 0.60 0.59 0.59 0.58 0.98 0.94 +1.3 +1.0
08/29 0.61 0.59 0.59 0.58 0.92 0.89 +1.5 +1.0
08/22 0.57 0.55 0.56 0.54 0.92 0.75 +0.2 +0.4
08/15 0.60 0.50 0.58 0.50 0.84 0.70 +1.3 -0.3
08/08 0.48 0.48 0.49 0.47 0.50 0.70 -0.3 -0.6
08/01 0.42 0.46 0.42 0.45 0.75 0.84 -1.9 -0.6
07/25 0.53 0.50 0.50 0.49 0.85 0.91 +0.5 +0.4
07/18 0.44 0.52 0.43 0.52 0.91 0.95 -0.5 +0.6
07/11 0.54 0.51 0.54 0.54 0.98 0.95 +1.3 +0.1
07/04 0.57 0.49 0.58 0.52 0.97 0.95 +1.0 -0.1
06/27 0.42 0.47 0.49 0.50 0.91 0.96 -2.0 -0.4
06/20 0.49 0.53 0.48 0.55 0.98 0.99 +0.7 +1.1
06/13 0.49 0.58 0.54 0.60 0.99 0.99 +0.1 +2.0
06/06 0.62 0.59 0.62 0.61 0.99 0.98 +2.5 +1.5
05/30 0.63 0.59 0.65 0.59 0.98 0.97 +3.3 +1.1
05/23 0.53 0.56 0.56 0.57 0.96 0.97 -1.2 +0.1
05/16 0.61 0.60 0.56 0.59 0.98 0.96 +1.2 +1.7
05/09 0.54 0.58 0.58 0.59 0.98 0.93 +0.4 +1.5
05/02 0.66 0.62 0.64 0.61 0.92 0.78 +3.5 +2.3
04/25 0.54 0.55 0.54 0.57 0.89 0.83 +0.6 +0.8
04/18 0.65 0.56 0.65 0.58 0.84 0.78 +2.9 +1.2
04/11 0.47 0.48 0.52 0.53 0.77 0.68 -1.2 -1.0
04/04 0.55 0.57 0.56 0.56 0.73 0.62 +1.8 +1.9
03/28 0.43 0.54 0.50 0.53 0.53 0.45 -3.6 +2.7
03/21 0.73 0.54 0.62 0.52 0.61 0.39 +7.5 +3.4
03/14 0.46 0.46 0.47 0.48 0.20 0.31 +4.1 +0.6
03/07 0.42 0.49 0.47 0.52 0.35 0.38 -1.5 -0.2
02/28 0.50 0.51 0.51 0.52 0.37 0.32 -0.8 +0.5
02/21 0.56 0.45 0.57 0.49 0.41 0.33 +1.6 -0.3
02/14 0.46 0.42 0.47 0.46 0.19 0.33 +0.6 -1.0
02/07 0.32 0.38 0.42 0.44 0.40 0.47 -3.0 -2.7
01/31 0.48 0.41 0.50 0.46 0.41 0.62 -0.7 -2.7
01/24 0.34 0.45 0.39 0.47 0.61 0.78 -4.5 -1.7
01/17 0.42 0.55 0.48 0.55 0.85 0.83 -2.8 +1.0
01/10 0.58 0.54 0.55 0.55 0.89 0.76 +2.1 +1.2
01/03 0.65 0.51 0.63 0.54 0.75 0.63 +3.8 +0.7
2002
12/27 0.38 0.43 0.48 0.49 0.64 0.57 -2.3 -1.4
12/20 0.49 0.44 0.51 0.49 0.50 0.58 +0.7 -1.5
12/13 0.42 0.45 0.48 0.51 0.57 0.63 -2.5 -1.5
12/06 0.40 0.51 0.49 0.54 0.67 0.62 -2.6 -1.0
11/29 0.53 0.57 0.56 0.55 0.65 0.51 +0.6 +0.5
11/22 0.59 0.55 0.56 0.54 0.53 0.45 -0.9 +0.0
11/15 0.58 0.53 0.54 0.54 0.34 0.39 +1.7 +0.5
11/08 0.49 0.53 0.51 0.54 0.47 0.40 -0.7 +0.4
11/01 0.52 0.56 0.56 0.55 0.36 0.32 +0.4 +2.6
10/25 0.57 0.56 0.54 0.51 0.36 0.22 +1.5 +5.0
10/18 0.58 0.49 0.54 0.47 0.24 0.17 +5.9 +3.4
10/11 0.53 0.43 0.45 0.45 0.05 0.16 +7.5 +0.7
10/04 0.35 0.38 0.43 0.44 0.23 0.33 -3.2 -3.4
---------------------------------------------------
TABLE 6.
------------------------------------------------
DJIA, S&P 500 AND NASDAQ 100 -- TW0-
WEEK COMPOUND ANNUAL RATES OF CHANGE
-- 72 WEEKS ENDED 02/13/04
------------------------------------------------
Week S&P NASDAQ
Ended DJIA 500 100
------------------------------------------------
2004
02/13 +41% +40% -14%
02/06 +7% +3% -43%
01/30 -24% -18% -64%
01/23 +30% +57% +20%
01/16 +60% +107% +372%
01/09 +40% +84% +283%
01/02 +39% +60% +96%
2003
12/26 +106% +68% +62%
12/19 +192% +93% +42%
12/12 +98% +48% -12%
12/05 +87% +92% +87%
11/28 +4% +21% +36%
11/21 -38% -36% -69%
11/14 -8% -1% -15%
11/07 +84% +83% +240%
10/31 +24% +33% +51%
10/24 -22% -21% -47%
10/17 +50% +27% +42%
10/10 +169% +187% +524%
10/03 -18% -15% -27%
09/26 -36% -43% -61%
09/19 +47% +46% +77%
09/12 +17% +31% +37%
09/05 +53% +108% +206%
08/29 +30% +57% +475%
08/22 +56% +50% +649%
08/15 +60% +32% -20%
08/08 -23% -43% -77%
08/01 -9% -29% +10%
07/25 +59% +1% -4%
07/18 +40% +22% +82%
07/11 +45% +78% +384%
07/04 -31% -23% +19%
06/27 -31% -28% +3%
06/20 +48% +23% +24%
06/13 +116% +95% +14%
06/06 +289% +338% +532%
05/30 +66% +69% +161%
05/23 -1% -1% -27%
05/16 +34% +48% +44%
05/09 +150% +167% +310%
05/02 +112% +183% +246%
04/25 +38% +145% +308%
04/18 +21% +54% +123%
04/11 +20% +16% -40%
04/04 -53% -39% -64%
03/28 +153% +153% +51%
03/21 +1121% +652% +1329%
03/14 -10% -22% +68%
03/07 -60% -45% -53%
02/28 +9% +43% +303%
02/21 +66% +77% +372%
02/14 -38% -47% -3%
02/07 -58% -62% -65%
01/31 -81% -74% -59%
01/24 -87% -85% -90%
01/17 -4% -18% -30%
01/10 +333% +350% +834%
01/03 +32% +45% +59%
2002
12/27 -33% -34% -19%
12/20 -33% -38% -73%
12/13 -75% -74% -93%
12/06 -38% -40% -70%
11/29 +157% +111% +270%
11/22 +123% +177% +1295%
11/15 +21% +29% +187%
11/08 +33% -8% +917%
11/01 +83% +62% +425%
10/25 +566% +550% +1710%
10/18 +1256% +1231% +6178%
10/11 +64% +28% +146%
10/04 -78% -76% -82%
------------------------------------------------
TABLE 7.
------------------------------------------------
TREASURY YIELD CURVE AS OF 02/13/04
------------------------------------------------
90-Day 2-Yr. 5-Yr. 10-Yr. 30-Yr.
Date Bill* Note Note Note Bond
------------------------------------------------
02/13/04 0.90% 1.67% 3.01% 4.04% 4.92%
12/31/03 0.92% 1.82% 3.25% 4.25% 5.07%
06/13/03 0.84% 1.07% 2.03% 3.11% 4.17%
------------------------------------------------
BASIS-POINT CHANGE TO 02/13/04 FROM:
------------------------------------------------
12/31/03 -2 -15 -24 -21 -15
06/13/03 +6 +60 +98 +93 +75
------------------------------------------------
YIELD-SPREAD DIFFERENTIALS (Basis Points)
------------------------------------------------
90D-> 02Y-> 05Y-> 10Y-> 90D->
02Y 05Y 10Y 30Y 30Y
--------------------------------------
02/13/04 +77 +134 +103 +88 +402
12/31/03 +90 +143 +100 +82 +415
06/13/03 +23 +96 +108 +106 +333
------------------------------------------------
*Coupon-equivalent yield.
------------------------------------------------
|
