Summary
Last week's stock-market behavior -- was it merely an aberration, or was it the beginning of something more important? Aided by extensive statistical support, this edition of "Market Thoughts" contemplates the possibilities.
_____
Foreword
In early January, "Market Thoughts" replaced "Last Week in the Markets..." The successor publication is very much like the former one, but it carries what I think is a more appropriate title.
_____
Overall Conclusions: Lower stock prices, higher interest rates, a lower exchange-rate for the dollar, a higher price for physical gold, topped off with even more problems for an already failing Presidency.
_____
Introduction
On the morning of March 20th, at 1110 AM (ET), I published a short missive entitled, "Stocks: Time to Sell!" (The DJIA, NASDAQ 100 and S&P 500 then stood at 11,275, 1,687 and 1,306, respectively.) The missive was a strong, unequivocal recommendation to sell stocks and raise cash, and here are its highlights:
"To those who feel any discomfort with their current exposure to the stock market, the time has arrived to do something about it.
"...Over the years, I've rarely done something like this. However, I sense that we are at or near such an important inflection point, it is worth the risk of looking foolish. Moreover, I believe that if I should look foolish, that condition will not take terribly long to correct itself.
"...Everyone has somewhat different investment objectives, accompanied by varying thresholds of pain. But for people who place a high premium on the preservation of capital, I believe sales made at around current levels will hold them in good stead."
On March 22nd, I added the following:
"I raised more than a few eyebrows with Monday morning's "sell-stocks" pronouncement... The action was predicated on an amalgam of fundamental, technical and gut judgments. Included prominently in the last category is my sense that there has been a material deterioration in the geopolitical landscape, one that is likely to continue. This goes for the domestic political backdrop as well.
"...Let me point out that I would not have done what I did unless I believed the prospects for an on-balance decline of at least 5% to 10% were strong."
I am a great devotee of the idea that virtually all coming events cast a shadow in advance of their arrival. Unfortunately, the shadows are usually faint, but hindsight reveals that they almost always were present on a before-the-fact basis.
If, in fact, last week did mark the onset of something more serious and protracted in the way of equity-market declines, the fullness of time will likely show unmistakable shadows. The political and geopolitical settings for sure will be among them. But also well represented will be two areas I've been opining for months would emerge as increasingly onerous areas, to wit: rising open-market interest rates, particularly longer-dated ones, and substantial growing weakness in the US dollar's exchange-rate value. These areas were the key ones among the "amalgam of fundamental judgments" in March that bothered me very much.
A more intensive review of the stock market comes later in this missive. In the meantime, though, using the DJIA, NDX and S&P 500 as proxies, here is the result (through last Friday) of my sell-stocks recommendation of eight weeks ago today.
Summary of Gillespie Stock-Market
Sale Recommendation Issued on 3/20/06
---------------------------------------
05/12 03/20
Close Value* Change
---------------------------------------
DJIA 11,381 11,275 0.9%
S&P 500 1,291 1,306 -1.1%
NASDAQ 100 1,636 1,687 -3.0%
---------------------------------------
*Level of respective measure
at time of recommendation.
---------------------------------------
Interest Rates
Months ago, I suggested the strong possibility that open-market interest rates (longer-dated ones) and the dollar were likely to behave poorly in a climate of interest-rate uncertainty, the latter being defined as an environment lacking the predictability of rate actions that roughly the last two years have had.
(As an aside, the Fed (Greenspan) telling Wall Street exactly what the central bank was going to do quarters in advance of doing it was horrendous monetary policy. If nothing else, though, Greenspan had a wonderful sense of personal timing, getting out of town to pimp huge speaking fees and a multi-million-dollar book deal just in time.)
What Wall Street stock bulls have wanted was a clearly stated end to Federal Reserve rate hikes. Last Wednesday, in the FOMC's post-meeting communique, the bulls got the closest thing so far to such a statement, but some ambiguity about additional rate increases remained. And with the dollar under such heavy attack recently, what else could the Fed do?
Even with the door to higher administrated rates left ajar, the federal funds futures market has become far more circumspect about the next hike, if there is one, versus the ones of the past.
Federal Funds Futures
---------------------------------------------------
Fed Funds
Action
05/12 05/05 03/27 FOMC -----------
Contract Yield Yield Yield Meeting To
---------------------------------------------------
Mar. '06 na na 4.59% 3/27-28 +25bp 4.75%
Apr. '06 na na 4.77% No Meet. -- --
May '06 4.96% 4.97% 4.89% 5/10 +25bp 5.00%
June '06 5.03% 5.03% 4.94% 6/28-29 na na
July '06 5.11% 5.09% 5.00% No Meet. na na
Aug. '06 5.17% 5.15% 5.02% 8/8 na na
Sep. '06 5.20% 5.19% -- 9/20 na na
Oct. '06 5.22% 5.22% -- 10/24 na na
---------------------------------------------------
Meanwhile, during the time the above transition has been taking place, the toll on Treasury yields at the longer end of the Treasury curve has been very sizable. Remember, it was not all that long ago that the yield curve between the two-year T-Note and both the 10-year T-Note and 30-year T-Bond was inverted -- a higher rate on the two-year issue than on the longer ones. The flattening, then inversion, of the yield curve was what gave rise to Greenspan's great "conundrum," which I think was nothing more than a little Greenspan fibbing, but that is an expose for another time.
As of last Friday, the respective yields on the 10-year note and the 30-year bond stood at 5.19% and 5.30%, compared with a 5.00% rate on the two-year note. For 2006 to date through last Friday, the 10-year yield has risen 80 basis points, while the 30-year yield is up 76 basis points.
From February 3rd (the Friday closest to Greenspan's departure from the Fed), the 10-year and 30-year yields are both up 67 basis points, which represents a very sizable portion of the entire 2006 increase. (See Table 1 in the Table Appendix at the end of the missive.)
Investors buying the 10-year and 30-year issues auctioned in February, during the Treasury's February refunding operation, could not be terribly pleased with where these issues stood as of last Friday. Particularly injured, though, would have been buyers using leverage, such as hedge funds. Moreover, hedge funds care very much about "total return," since the marked-to-market value of their portfolios are the collateral for the loans they use to create the leverage.
Even employing no leverage at all, the 10-year T-Note produced a negative total return of 3.9% between 2/15 and last Friday. As for the 30-year T-Bond, its negative total return was a far more grotesque 10.3%. This consisted of a loss of more than 11.4% in principal value, offset by a positive 1.12% in interest accrual during the period.
Treasury 4.500s Treasury 4.500s
of 02/15/2016 of 02/15/2036
---------------------- -----------------------
05/12 02/15 05/12 02/15
2006 2006 Return 2006 2006 Return
------- ------- ------ ------- ------- ------
Orig. Cost $996.81 $995.10
Princ. Value $946.56 -5.04% $881.25 -11.44%
Inc. Accrual 11.13 0.00 1.12% 11.13 0.00 1.12%
------- ------- ----- ------- ------- ------
Total $957.69 $996.81 -3.92% $892.38 $995.10 -10.32%
======= ======= ===== ======= ======= ======
In my view, more and more people are coming to the realization that the government's inflation numbers are, let's just say, "bogus." And if that description appears strong, I actually toned it down! As a result, there is a growing reluctance to make longer-term loans at the rates of just a few weeks ago.
The Dollar/Gold
For foreign lenders to the US, there is an additional consideration, of course, which is an exchange-rate consideration. Anyone watching the dollar's behavior in recent months is fully aware of how bad it has treated those converting several foreign currencies into dollars, then adding injury to insult through buying something that went down in price.
For instance, between February 17th and last Friday, roughly the same period generating the above Treasury losses, here is how the dollar performed against several major currencies:
US Dollar Decline
Versus Country Currency,
Country 2/17/06 - 5/12/06
---------------------------------------
Switzerland -8.7%
United Kingdom -8.1%
Euro Based -7.7%
Japan -6.9%
Australia -4.4%
Canada -3.7%
---------------------------------------
Taking another look at the greenback's behavior, using a different proxy -- the closely followed Dollar Index -- and looking at performance over different time frames, here are the results. Remember, folks, in looking at the above and below numbers, we are not talking about an IPO or other stock gone bad. Instead, we are talking about what ostensibly still passes for the world's reserve currency!
--------------------------------------
U.S. DOLLAR INDEX - 2006 PERFORMANCE
--------------------------------------
Change From
$ Index -------------------
Date Close 03/10/06* 12/31/05
--------------------------------------
2006
05/12 83.88 -7.7% -8.0%
05/05 85.14 -6.3% -6.6%
04/28 86.10 -5.2% -5.6%
03/31 89.76 -1.2% -1.5%
03/10* 90.84 na -0.4%
02/24 90.56 na -0.7%
01/27 89.31 na -2.0%
======================================
2005
12/31 91.16 na na
--------------------------------------
*2006 end-of-week high.
--------------------------------------
Over the last several months, I've expressed highly bearish views on the dollar's prospects, and this has been underpinned by a large amount of statistical work. Although the dollar's exchange-rate value has fallen a good deal recently, it is not even close to sufficient to temper my dour outlook very much.
Something that is a relatively new development, though, which serves to create even more concern on my part is the strong indication that both the G-7 and the International Monetary Fund are in the wings, championing something like a "controlled burn" in the dollar's value. Or if you would prefer, call it an engineered decline, concluding in a "soft landing." To this my response is: Anyone remember the "Plaza Accord" of 1985? For those answering "yes," they therefore also remember what it was that was ultimately responsible for the stock market's crash in the autumn of 1987.
As you would expect, the dollar's loss has been gold's gain. And the gain of several other commodities, as well. (See Table 2.) And notwithstanding the pounding bullions is taking today, I remain highly constructive in my long-term outlook for gold.
Table 3 in the Appendix illustrates some interesting aspects of physical gold's rise of recent years. Using 12/31/99 = 100.00 of the indexes I've established, it certainly is no surprise that gold has trounced the DJIA over the same period -- 147.4% to minus 1.1% (the Dow's return is price only, so you need to add, say, around 14.5% to 15% to compensate for dividends). It certainly is no surprise, either, that gold has trounced the Dollar Index -- 147.4% to minus 17.6%.
What is a bit surprising, though, or may be surprising to some, is how physical gold has outperformed the better gold stocks, the latter as represented by the Philadelphia Gold/Silver Index ("XAU"). In this case, it is +147.4% for bullion, versus +134.5% for the XAU.
This likely indicates that if I am correct about my positive outlook for bullion, then the XAU in general, and some of its components issues in particular, have some inordinately large upside moves ahead of them.
The Stock Market
* As the prior material hopefully indicated, I have not changed my mind about some of the key fundamental reasons I issued my "sell-stocks" recommendation of March 20th. If anything, subsequent developments have served to reinforce my concerns.
* Would I have preferred to hit what has so far been the top of the market? Absolutely not, since as I have stated in earlier research work, people who decided to accept the correctness of the forecast and take action on it would not have been well served by being confronted with selling into a declining market.
* Considering what appears to have taken place in the stock market over the last eight weeks, it is surprising how generally correct the timing of my forecast actually has prove to date. In this regard, sizable emphasis is placed on "what appears to have taken place." Using the DJIA, NDX and S&P 500 as general proxies, here's a rough scorecard.
-------------------------------------
SUMMARY OF GRA STOCK-MARKET SELL
RECOMMENDATION ISSUED ON 03/20/06
-------------------------------------
Change from 03/20/06
----------------------------
Week NASDAQ S&P
Ended DJIA 100 500 Average
-------------------------------------
2006
05/12 0.9% -3.0% -1.1% -1.1%
05/05 2.7% 1.6% 1.5% 1.9%
04/28 0.8% 0.8% 0.4% 0.7%
04/14 -1.2% 1.5% -1.3% -0.3%
03/31 -1.5% 1.0% -0.8% -0.4%
------------------------------------
03/20* 11275 1687 1306 --
------------------------------------
*Respective levels at time
of sell recommendation.
------------------------------------
* Yes, yes, I know, certain market measures did appreciably better than the ones above. In the name of fuller disclosure, the following table breaks out the entire GRA Tracking Group, which includes one of the real stellar performers, the Russell 2000. Note that none of the following data track returns back to March 20th, but these data are nevertheless illustrative of some important considerations anyway.
----------------------------------------------------------------
SELECTED STOCK-MARKET MEASURES
(GRA Seven-Measure "Tracking
Group," Listed by YTD Returns)
----------------------------------------------------------------
From
05/12 Week Year Most Most Recent
2006 Ended To Recent 2006 Top* Prior Top*
Close 05/12 Date Top Close/Date Close/Date
===== ===== ===== ====== ============ ============
Russ. 2000 742 -5.0% 10.3% -5.1% 782 05/08 782 05/05
NYSE Comp. 8411 -2.6% 8.5% -2.7% 8647 05/09 8623 05/05
Value Line (G) 440 -3.7% 6.7% -3.7% 457 05/08 457 05/05
DJIA 11381 -1.7% 6.2% -2.3% 11643 05/10 11578 05/05
Wilsh. 5000 13079 -2.8% 4.5% -2.8% 13457 05/09 13457 05/05
S&P 500 1291 -2.6% 3.4% -2.6% 1326 05/05 1312 04/05
NASDAQ 100 1636 -4.6% -0.6% -6.9% 1758 01/11 1709 12/02
----------------------------------------------------------------
Average -3.3% 5.6% -3.7%
Median -2.8% 6.2% -2.8%
----------------------------------------------------------------
*Measured using closing prices.
----------------------------------------------------------------
* A few points regarding the above:
(1) At its 2006 high, the Russell 2000's price-only year-to-date gain was a whopping 16.1% (as of the close last Monday, 5/8). In turn, this worked out to an approximate annualized return of 46.5%. In the four trading days from Tuesday through Friday, inclusive, it surrendered 5.1% (almost 32%) of its 2006 gain. This is a great illustration of how "crowded" this trade is -- hedge funds, momentum players (separating the two is somewhat redundant), etc. Crowded trades are hell to unwind, when everyone tries to hit bids at the same time!
(2) The above table continues to show how marginal most of the new highs actually have been this year. It gets me back to the dirty "D" I've used on more than one occasions this year, as in "distribution." In the technical world, distribution is very bad, particularly when it is protracted distribution affecting major market indexes.
(3) Although the Russell 2000 provides the most dramatic example of what last week's dog days did to highs that were all set earlier in the week (with the exception of the NDX), the 3.2% average decline from those highs (excluding the NDX from the calculation) was severe. In turn, it may well have been an indication that something important took place, at least vis a vis the trading patterns of recent months.
* A very short-term consideration about what happens next could revolve around this week's options expiration. (It seems like you just get through these events and the next one is here already. At any rate, there is indeed another one on Friday.) Last week's net declines were sharp enough that were the market to follow through to the downside early this week, there could be some serious "tilt" in the wrong direction that needs to be "rectified," and in this instance, "rectified" might not be pretty. As just one example of what last week potentially set up, the S&P 500 fell 33.90 points Wednesday through Friday, inclusive. In turn, this was equal to 6.78 strike prices on SPX puts.
* The greater danger, though, of an expiration gone bad usually sits over in the world of equity options, where real stock changes hands. I have not done any finite analysis of what evil might be lurking there in the way of puts that have gone or could go into the money. However, my guess is that the potential exposure could be quite meaningful if stocks continue to fall during the early part of the current week and the folks in Chicago begin to react to it.
* Throughout 2006, annualized returns for the tracking group have been materially out of kilter with sensibility, at least in my opinion. As pointed out in the past, it was going to take either a meaningful sell-off in prices or their protracted sideways movement to bring the trend back to something more viable. At least implicit in my March 20th pronouncement was acceptance of the former method.
-----------------------------------------
GRA SEVEN-MEASURE STOCK-MARKET
TRACKING GROUP -- 2006 Y-T-D
RETURNS (Excluding Dividends)
-----------------------------------------
2006 Week Average Median
--------- ------------ ------------
# Ended a b a b
-----------------------------------------
19 05/12 5.6% 15.3% 6.2% 17.0%
18 05/05 9.2% 26.6% 8.0% 23.1%
17 04/28 7.5% 22.9% 6.1% 18.7%
16 04/21 7.8% 25.4% 6.3% 20.5%
15 04/14 5.8% 20.1% 4.4% 15.3%
14 04/07 6.3% 23.4% 5.0% 18.6%
13 03/31 6.3% 25.2% 5.1% 20.4%
8 02/24 4.7% 30.6% 3.9% 25.4%
4 01/27 4.4% 57.2% 4.0% 52.0%
-----------------------------------------
a = actual; b = annualized.
-----------------------------------------
* Throughout this year's market climb, the bullish camp has maintained in a highly vociferous way how "cheap" stocks were/are. This is a view I have rejected and continue to. On a prior occasion, I went back to the DJIA's valuation levels of the 1950s as a standard of comparison. I return there now, with updated numbers. (See Table 4.) Incidentally, America would be fortunate to have ahead of it a decade as sound, on balance, as the one of the 1950s was.
* In the area of sentiment, I think there are some mixed signals. The Investors Intelligence numbers (Table 5) remain at odds with the CBOE-oriented sentiment data (Table 6). In this case, I would go with the CBOE data, which continue to show a great deal of complacency. True, the VIX at its high and close last Friday made it to 14.26, just below this year's high of 14.56. But historically, there is nothing about a 14.56 reading that suggests much fear or even caution.
NOTE: Tables 7 through 10 break out additional data that have primarily a technical orientation.
Politics
I believe negative political developments are beginning to weigh more heavily on psychology and are on the verge of becoming a major negative influence on the financial markets (stocks especially, since I think the toll on the dollar and interest rates is ahead of the damage on the stock market). Nevertheless, I am going to defer to a future time a more detailed discussion on politics, other than to say the following, since it is so close at hand.
If mishandled, tonight's nationally televised speech on immigration, scheduled for a few hours from now, could well mark something of the "official" end of Mr. Bush's Presidency. If the President attempts in a superficial manner to throw his opponents some scraps while maintaining what have been his personal core positions on the immigration issue, then he is in deep trouble!
__________
Table Appendix
Table 1.
-------------------------------------------------
TREASURY YIELD CURVE AS OF 05/12/06
-------------------------------------------------
90-Day 2-Yr. 5-Yr. 10-Yr. 30-Yr.
Date Bill* Note Note Note Bond
-------------------------------------------------
05/12/06 4.82% 5.00% 5.03% 5.19% 5.30%
05/05/06 4.81% 4.93% 4.98% 5.10% 5.19%
02/03/06@ 4.46% 4.57% 4.48% 4.52% 4.63%
12/31/05 4.08% 4.40% 4.35% 4.39% 4.54%
-------------------------------------------------
BASIS-POINT CHANGE TO 05/12/06 FROM:
-------------------------------------------------
05/05/06 1 7 5 9 11
02/03/06* 36 43 55 67 67
12/31/05 74 60 68 80 76
-------------------------------------------------
YIELD-SPREAD DIFFERENTIALS
-------------------------------------------------
90D-> 02Y-> 05Y-> 10Y-> 90D->
02Y 05Y 10Y 30Y 30Y
------------------------------------
05/12/06 18 3 16 11 48
05/05/06 12 5 12 9 38
02/03/06@ 11 -9 4 11 17
12/31/05 32 -5 4 15 46
-------------------------------------------------
*Coupon-equivalent yield. @Friday closest
to Greenspan leaving Fed chairmanship.
-------------------------------------------------
Table 2.
-------------------------------------------------------
CHANGES IN SELECTED NEAR-MONTH OR SPOT
COMMODITY PRICES OR PROXIES
-------------------------------------------------------
% Change
From
------------
05/12 12/31 03/31 12/31 03/31
2006 2005 2005 2005 2005
Close Close Close Close Close
-------------------------------------------------------
CRB Fut. Index 396.15 347.89 313.57 13.9 26.3
-------------------------------------------------------
Unl. Gasoline 2.1785 1.7250 1.6549 26.3 31.6
Crude Oil 72.04 61.05 55.40 18.0 30.0
Heating Oil 2.0467 1.7640 1.6576 16.0 23.5
Natural Gas 6.280 11.250 7.323 -44.2 -14.2
-------------------------------------------------------
Copper 3.9265 2.1615 1.5105 81.7 159.9
Lumber 328.00 359.00 400.70 -8.6 -18.1
-------------------------------------------------------
Silver* 14.36 8.80 7.17 63.2 100.3
Gold* 714.90 516.90 428.70 38.3 66.8
Platinum* 1306.00 968.00 870.60 34.9 50.0
-------------------------------------------------------
*Spot prices from 9/30/05 forward.
-------------------------------------------------------
Table 3.
---------------------------------------------------------
A LOOK AT GOLD, THE PHILADELPHIA GOLD/
SILVER INDEX ("XAU"), THE DJIA AND THE
FRB DOLLAR INDEX FROM 12/31/99 FORWARD
---------------------------------------------------------
---------- Index ----------
(12/31/99 = 100.00)
Gold* $ ---------------------------
Date ($s) "XAU" DJIA Index Gold "XAU" DJIA $
---------------------------------------------------------
2006
05/12 715 159.41 11381 83.88 247.40 234.53 98.89 82.39
Change 147.4% 134.5% -1.1% -17.6%
---------------------------------------------------------
03/31 583 141.62 11109 89.76 201.73 208.36 96.63 88.16
2005
12/31 517 128.03 10718 91.16 178.89 188.36 93.22 89.53
09/30 469 112.92 10569 89.52 162.28 166.13 91.93 87.92
06/30 435 93.01 10275 89.11 150.52 136.84 89.37 87.52
03/31 429 93.73 10504 84.06 148.44 137.90 91.36 82.56
2004
12/31 438 99.35 10783 80.85 151.56 146.17 93.79 79.40
2003
12/31 416 108.84 10454 86.92 143.94 160.13 90.93 85.37
2002
12/31 348 76.76 8342 101.85 120.42 112.93 72.56 100.03
2001
12/31 279 54.43 10022 116.75 96.54 80.08 87.17 114.66
2000
12/31 272 51.41 10787 109.56 94.12 75.64 93.82 107.60
1999
=========================================================
12/31 289 67.97 11497 101.82 <-------- 100.00 --------->
---------------------------------------------------------
*Spot price from 9/30/05 forward.
Comex spot-month contract before.
---------------------------------------------------------
Table 4.
----------------------------------------------------------
DJIA VALUATIONS AND TREASURY YIELDS --
1950 THROUGH 1959, AND AS OF 05/12/06
----------------------------------------------------------
Treasury Yields@
DJIA Mkt./ ---------------------
As of Annual P-E Div. Book 10-Y
12/31 Ret.* Ratio Yield Ratio 90-D# 10-Y Recip.
----------------------------------------------------------
1950 17.6% 7.7 6.85% 1.21 1.35% na na
1951 14.4% 10.1 6.07% 1.33 1.74% na na
1952 8.4% 11.8 5.29% 1.37 2.10% na na
1953 -3.8% 10.3 5.73% 1.15 1.61% 2.59% 38.6
1954 44.0% 14.4 4.32% 1.62 1.15% 2.51% 39.8
1955 20.8% 13.7 4.42% 1.80 2.56% 2.96% 33.8
1956 2.3% 15.0 4.60% 1.75 3.24% 3.59% 27.9
1957 -12.8% 12.1 4.96% 1.46 3.06% 3.21% 31.2
1958 34.0% 20.9 3.43% 1.88 2.79% 3.86% 25.9
1959 16.4% 19.8 3.05% 2.00 4.54% 4.69% 21.3
----------------------------------------------------------
Avg. 14.1% 13.6 4.87% 1.56 2.41% 3.34% 31.2
Med. 15.4% 12.0 4.78% 1.54 2.33% 3.21% 31.2
----------------------------------------------------------
As of
05/12 [1] [2] [3] [4] [5] [5] [6]
2006 6.2% 20.1 2.22% 3.39 4.82% 5.19% 19.3
[7] 22.5% -- -- -- -- --
----------------------------------------------------------
*Price-only (excluding dividends). #Coupon-equiv-
alent yield. @Constant maturity, average of business
days in December of each year. [1]2006 year to date.
[2][3][4]Calculated on latest 52-week earnings and
dividends of $567.03 and $252.44, respectively, and
book value of $3359.70 (source: Barron's). [5]Actual
as of 5/12/06. [7]Annualized as of 5/12/06.
----------------------------------------------------------
Table 5.
-----------------------------------------------------
INVESTORS INTELLIGENCE WEEKLY SENTIMENT NUMBERS
-----------------------------------------------------
Bulls Bears Correction
------------- ------------- -------------
Week 10-Wk. 10-Wk. 10-Wk.
Ended Week Avg. Week Avg. Week Avg.
-----------------------------------------------------
2006
05/10 44.3% 46.2% 26.8% 28.3% 28.9% 25.5%
05/03 43.9% 46.1% 28.6% 28.7% 27.5% 25.2%
04/26 45.4% 46.2% 25.8% 28.8% 28.8% 25.0%
04/19 48.0% 46.6% 26.0% 28.9% 26.0% 24.5%
04/12 53.2% 46.9% 24.5% 28.9% 22.3% 24.2%
04/05 49.5% 46.9% 27.8% 29.0% 22.7% 24.1%
03/29 46.7% 47.3% 28.3% 28.7% 25.0% 24.0%
03/22 46.3% 48.3% 30.5% 28.2% 23.2% 23.5%
03/15 42.3% 49.4% 33.0% 27.4% 24.7% 23.2%
03/08 42.7% 50.8% 31.3% 26.4% 26.0% 22.8%
03/01 42.6% 52.5% 30.8% 25.4% 26.6% 22.1%
02/22 45.3% 53.7% 29.5% 24.4% 25.2% 21.9%
02/15 48.9% 55.1% 27.7% 23.6% 23.4% 21.3%
02/08 51.6% 55.8% 25.3% 23.1% 23.1% 21.1%
02/01 52.6% 56.2% 25.8% 22.6% 21.6% 21.2%
01/25 53.7% 56.3% 25.3% 22.4% 21.0% 21.3%
01/18 57.3% - 22.9% - 19.8% -
01/11 56.8% - 22.1% - 21.1% -
01/04 55.7% - 23.7% - 20.6% -
=====================================================
2005
12/28 60.4% - 20.8% - 18.8% -
-----------------------------------------------------
Trailing 10-Week Highs/Lows
as of May 12, 2006
-------------------------------
Bulls Bears Correction
---------------------------------------
Date High Low High Low High Low
------------------------------------------------
04/12 53.2% 24.5% - 22.3%
03/15 - 42.3% 33.0% - - -
05/10 - - - - 28.9% -
-----------------------------------------------------
Table 6.
------------------------------------------------------
THE BEHAVIOR OF CBOE SENTIMENT-RELATED MEASURES
AND THE S&P 500 FROM 10/29/04 THROUGH 05/12/06
------------------------------------------------------
CBOE Options S&P 500
Date --------------- --------------------
or Put/Call Ratios Vs. 10/29/04
Week CBOE -------------------- Prior 1130.2 =
Ended VIX* All Equ. Ind. Tot.@ Close Week 100.00
------------------------------------------------------
2006
05/12 14.19 1.27 0.72 2.10 0.83 1291.2 -2.6% 114.25
------------------------------------------------------
05/05H 11.62 0.82 0.46 1.72 0.83 1325.8 1.2% 117.31
------------------------------------------------------
04/28 11.59 0.87 0.62 1.69 0.83 1310.6 -0.1% 115.96
04/21 11.59 0.93 0.60 1.65 0.83 1311.3 1.7% 116.02
04/14 12.38 0.86 0.60 1.45 0.83 1289.1 -0.5% 114.06
04/07 12.26 0.91 0.58 1.83 0.83 1295.5 0.1% 114.63
03/31 11.39 0.83 0.61 1.68 0.82 1294.8 -0.6% 114.56
03/24 11.19 0.84 0.63 1.55 0.82 1303.0 -0.3% 115.29
03/17 12.12 0.79 0.61 1.05 0.83 1307.3 2.0% 115.67
03/10 11.85 0.87 0.53 2.02 0.81 1281.6 -0.4% 113.40
03/03 11.96 0.87 0.66 1.41 0.82 1287.2 -0.2% 113.89
02/24 11.46 0.93 0.64 2.07 0.82 1289.4 0.2% 114.09
02/17 12.01 0.83 0.51 1.36 0.81 1287.2 1.6% 113.89
02/10 12.87 0.68 0.86 0.57 0.82 1267.0 0.2% 112.10
02/03 12.96 1.08 0.70 2.50 0.83 1264.0 -1.5% 111.84
01/27 11.97 0.80 0.59 1.45 0.84 1283.7 1.8% 113.58
01/20 14.56 1.08 0.69 1.91 0.88 1261.5 -2.0% 111.62
01/13 11.23 0.78 0.59 1.64 0.87 1287.6 0.2% 113.93
01/06 11.00 0.68 0.58 0.87 0.86 1285.5 3.0% 113.74
=====================================================
2005
12/30 12.07 0.80 0.50 1.39 0.86 1248.3 -1.6% 110.45
-----------------------------------------------------
04/20L 16.92 0.98 0.63 1.87 0.88 1137.5 -- 100.65
------------------------------------------------------
VIX Highs and Lows (Including Intraday)
---------------------------------------
Year/
Week High Date Low Date
---------------------------------------
2006 14.56 01/20 10.53 03/14
05/12 14.26 05/12 11.78 05/10
---------------------------------------
2005 18.59 04/18 9.88 07/20
2004* 22.67 03/22 11.14 12/23
2003 41.16 03/12 14.83 12/15
2002 56.74 07/24 18.87 03/28
------------------------------------------------------
*New series, all of 2004 forward. @All
products. L-Lowest S&P close during 2005.
H-Highest S&P close during entire period.
------------------------------------------------------
Table 7.
--------------------------------------
DJIA, S&P 500 AND NASDAQ 100 -- TW0-
WEEK COMPOUND ANNUAL RATES OF CHANGE
-- 20 WEEKS ENDED 05/12/06
--------------------------------------
Week S&P NASDAQ
Ended DJIA 500 100
--------------------------------------
2006
05/12 3% -32% -64%
05/05 69% 33% 8%
04/28 70% 54% -16%
04/21 69% 37% 19%
04/14 7% -11% 14%
04/07 -31% -14% 94%
03/31 -33% -22% 32%
03/24 61% 54% 64%
03/17 83% 49% 2%
03/10 3% -15% -36%
03/03 -20% -0% 15%
02/24 40% 58% 22%
02/17 115% 60% 18%
02/10 3% -29% -52%
02/03 36% 5% -17%
01/27 -12% -8% -42%
01/20 -50% -39% -59%
01/13 79% 124% 375%
01/06 18% 41% 121%
==================================
2005
12/30 -32% -33% -49%
--------------------------------------
Table 8.
----------------------------------------------------------
DJIA, NASDAQ COMPOSITE AND S&P 500 CLOSING PRICES ON
SELECTED DATES VERSUS RESPECTIVE 20-DAY, 50-DAY AND
200-DAY MOVING AVERAGES (Percent or Portion Thereof)
----------------------------------------------------------
DJIA Vs. NAZ Comp. Vs. S&P 500 Vs.
--------------- --------------- ---------------
Date 20D 50D 200D 20D 50D 200D 20D 50D 200D
----------------------------------------------------------
2006
05/12 -0.1 1.1 5.2 -3.5 -3.1 0.7 -1.5 -0.8 2.7
05/05 2.5 3.3 7.1 0.6 1.1 5.2 1.6 2.1 5.6
04/28 1.2 1.8 5.4 -0.7 0.4 4.5 0.7 1.2 4.6
04/21 1.4 1.9 5.4 0.3 1.6 5.5 0.8 1.4 4.8
04/14 -0.5 0.4 3.6 0.0 1.3 5.1 -0.8 0.0 3.2
04/07 -0.8 0.4 3.6 0.9 1.9 5.9 -0.4 0.6 3.8
03/31 -0.5 0.7 3.7 1.8 2.3 6.3 0.1 0.9 4.0
03/24 1.4 2.6 5.5 0.9 1.3 5.4 0.9 1.6 4.9
03/17 1.8 2.9 5.7 0.9 0.9 5.5 1.5 2.0 5.6
03/10 0.3 1.3 3.9 -0.8 -0.1 3.6 -0.1 0.3 3.6
03/03 0.2 1.0 3.5 1.1 1.1 5.7 0.6 0.9 4.2
02/24 1.0 1.6 4.2 0.5 0.7 5.6 0.9 1.3 4.7
02/17 2.2 2.2 4.7 0.4 0.6 5.3 1.2 1.2 4.5
02/10 0.9 0.7 3.0 -0.6 -0.2 4.8 -0.4 -0.2 3.2
02/03 -0.7 -0.6 2.1 -1.4 -0.1 5.6 -1.2 -0.4 3.4
01/27 0.4 0.6 3.4 1.0 2.0 8.0 0.6 1.4 5.3
01/20 -1.9 -1.5 1.2 -1.1 -0.1 5.6 -1.0 0.0 3.6
01/13 0.7 1.3 4.0 2.3 3.2 9.0 1.3 2.3 5.9
01/06 1.2 2.0 4.2 2.6 4.0 9.1 1.6 3.0 6.0
==========================================================
2005
12/30 -1.0 0.1 1.9 -1.7 -0.2 4.5 -1.1 0.4 3.1
----------------------------------------------------------
Table 9.
-------------------------------------------------------------
SELECTED NYSE BREADTH MEASURES --
WEEKLY & CUMULATIVE DATA (10/29/04=0)
-------------------------------------------------------------
Average Net
Adv-Dec UVol-DVol 52W H-L Closing Tick
----------- ---------- ---------- -----------------
Week Vs.
Ended Week Cum Week Cum Week Cum Week Cum Prior
-------------------------------------------------------------
2006
05/12 -4216 44283 -2.48 19.84 539 44878 490 36890 1.013
05/05 2481 48499 1.40 22.32 908 44339 310 36400 1.009
04/28 -387 46018 -0.25 20.92 312 43431 396 36090 1.011
04/21 2358 46405 2.06 21.17 727 43119 650 35694 1.019
04/14*-2142 44047 -0.79 19.11 -231 42392 372 35044 1.011
04/07 -1328 46189 0.23 19.90 857 42623 522 34672 1.015
03/31 -119 47517 -0.28 19.67 773 41766 481 34150 1.014
03/24 -53 47636 0.12 19.95 609 40993 293 33669 1.009
03/17 4479 47689 2.41 19.83 1141 40384 676 33376 1.021
03/10 -1753 43210 -0.90 17.42 223 39243 382 32700 1.012
03/03 -256 44963 -0.31 18.32 802 39020 388 32318 1.012
02/24* 1199 45219 0.20 18.63 886 38218 606 31930 1.019
02/17 2965 44020 1.85 18.43 689 37332 514 31324 1.017
02/10 243 41055 -0.27 16.58 375 36643 440 30810 1.015
02/03 -1503 40812 -1.32 16.85 977 36268 502 30370 1.107
01/27 3805 42315 2.20 18.17 1243 35291 715 29868 1.025
01/20*-1204 38510 -1.51 15.97 599 34048 405 29153 1.014
01/13 1308 39714 0.16 17.48 1209 33449 586 28748 1.021
01/06* 5195 38406 2.99 17.32 992 32240 518 28162 1.019
=============================================================
2005
12/30* -978 33211 -1.05 14.33 -2 31248 313 27644 1.011
-------------------------------------------------------------
*Four-day trading week.
-------------------------------------------------------------
Table 10.
----------------------------------------------------------------
DJIA, DJTA, DJUA AND 10-YR. T-NOTE YIELD - 2006 WEEKLY CHANGES
AND RESPECTIVE 4-WEEK MOVING AVERAGES FOR THE STOCK MEASURES
----------------------------------------------------------------
DJIA DJTA DJUA 10-Year
Week DJIA 4-Wk. DJTA 4-Wk. DJUA 4-Wk. T-Note
Ended Change MA Change MA Change MA Yield
----------------------------------------------------------------
2006
05/12 -1.70% 0.55% -2.37% 0.44% -2.67% 1.17% 5.19%
YTD 6.2% 15.4% -1.2% 80bp
---------------------------------------------------------------
05/05 1.85% 1.02% 6.29% 1.44% 3.42% 1.60% 5.10%
04/28 0.17% 0.58% -0.88% 0.54% -0.23% 0.56% 5.06%
04/21 1.88% 0.16% 1.30% 0.98% 4.15% -0.05% 5.00%
04/14 0.16% -0.31% -0.95% 0.46% -0.94% -1.60% 5.05%
04/07 0.10% 0.11% 2.68% 1.30% -0.74% -0.86% 4.98%
03/31 -1.51% 0.21% 0.90% 0.34% -2.68% -1.40% 4.85%
03/24 +0.00% 0.50% -0.79% 0.53% -2.05% -0.73% 4.67%
03/17 1.84% -0.38% 2.41% 0.90% 2.05% -0.08% 4.67%
03/10 0.50% 0.37% -1.18% 0.78% -2.90% -0.31% 4.76%
03/03 -0.36% 0.53% 1.66% 1.41% -0.02% 0.40% 4.68%
02/24 -0.48% 0.36% 0.71% 0.73% 0.57% -0.24% 4.57%
02/17 1.80% 1.04% 1.91% 1.46% 1.13% -0.69% 4.54%
02/10 1.16% -0.08% 1.37% 1.05% -0.07% -0.64% 4.59%
02/03 -1.04% -0.36% -1.07% 0.32% -2.57% -0.58% 4.52%
01/27 2.25% 0.46% 3.64% 0.69% -1.24% 0.68% 4.51%
01/20 -2.67% 0.27% 1.31% 4.35%
01/13 0.01% -1.59% 0.17% 4.35%
01/06 2.26% 0.43% 2.48% 4.38%
================================================================
2005
12/31 -- -- -- 4.39%
----------------------------------------------------------------
|
