Archive | January, 2016

CBOE Skew Index At Its 5th Highest Level Since 1990

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The CBOE Skew Index, which attempts to calculate when the probability of a”left-tail” risk (i.e. major decline) increases for the S&P 500, is currently at 145.03. This is the fifth highest level since the series began on 1/2/1990. The only other times the Skew Index has been higher was on 10/16,1998, 9/19/2014, 12/11/2015, and 1/13/2016. In the […]

Every DM Equity Market Is Short-Term Oversold

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The equity markets need a bounce…or at least a breather. Every single developed market country is currently oversold on a short-term basis based on the percentage of stocks that are trading above its 65-day moving average. Generally, whenever less than 20% of stocks are trading above its moving average, we consider that market to be oversold. All […]

Chinese Stocks Break Years-long Critical Support Line

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Before showing some rather unpleasant looking charts it’s important to keep in mind the following two items. First, the domestic Chinese stock market is still by an large closed to foreigners. Extremely large institutional investors can only purchase Chinese shares through convoluted means and then the sale of those shares takes an inordinate amount of […]

Deconstructing Profitability – DuPont Analysis Around The World (interactive)

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DuPont Analysis is a useful tool taught in undergraduate finance classes and found in CFA textbooks everywhere. It breaks down return on equity (ROE) into three parts: net profit margin, asset turnover, and financial leverage. By breaking up ROE into three individual segments, analysts can understand whether a company is delivering stronger returns to its equity holders by being […]

2016 China Outlook in Charts: More Slowing Ahead

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2015 was a year in which many investors were caught off guard by the continued slowing of Chinese growth and the commensurate shocks to the global financial system it created as the renminbi weakened, Chinese foreign exchange reserves declined further, and commodity prices accelerated to the downside. Towards the end of the year, boosted by […]

(Low) Beta Domination

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Over the last year, the beta factor explained 84% of movements in the developed world market– a figure that has jumped to 90% (and higher) over the last month: Given rising concerns over the Chinese economy, tensions in the Middle East, and the Hermit Kingdom’s (supposed) hydrogen bomb-induced earthquake, it is not surprising to note that […]