Adam Parker abnormal micro structure, including the fact that mega-caps have outperformed in an up tape, high beta has underperformed, and in the last month energy was the best-performing sector while materials was the worst, despite the 0.83 correlation between the two over the past 40 years

http://crawler.ksu.edu.tw/utility/webpageCustomize/DTCEMED/2789/files/%E8%83%BD%E6%BA%90%E5%B7%A5%E7%A8%8B%E7%89%B9%E8%AB%96/%20%E4%BE%AF%E9%A0%86%E9%9B%84-%E8%83%BD%E6%BA%90%E5%B7%A5%E7%A8%8B%E7%89%B9%E8%AB%96.pdf

Peeking Beneath The Surface Of The 'Most Hated' Stock Rally

Submitted by Tyler Durden on 08/13/2012 09:36 -0400

• Equity Markets
• LTRO
• RBS
• Reality
• recovery

Since hope re-blossomed at the start of June and was reignited by Mario's musings, the equity markets of the US and Europe have surged in an outpouring of faith in central bank excess and policy-maker's abilities to 'fix' everything (despite decades of truth that points in the exact opposite direction). But while the market levitates on ever-increasing multiples (as earnings current and forward are dragged lower by the economic reality of a debt-deleveraging world), the true picture of what is driving stocks become clear. For the first time since the BTFD rally began in March of 2009, cyclical stocks (or economically-sensitive firms) are underperforming notably - implying notably lower expectations for a levered recovery by the consumer. As Bloomberg's Chart of the day notes, either the economy will hockey-stick back to a significant rebound or broad equity market indices will fall back to a more defensive reality - given the non-economy-helping nature of LTRO/QE, we suspect the latter. Do you believe in miracles?



and as a reminder from MS Adam Parker:

Underneath the market rally there has been some abnormal micro structure, including the fact that mega-caps have outperformed in an up tape, high beta has underperformed, and in the last month energy was the best-performing sector while materials was the worst, despite the 0.83 correlation between the two over the past 40 years.

Morgan Stanley Gets Downright Apocalyptic

Submitted by Tyler Durden on 08/13/2011 12:44 -0400

• 2s10s
• 2s10s
• Gross Domestic Product
• Morgan Stanley
• Price Action
• Recession
• Sovereign Debt

Listening to David Greenlaw and/or Jim Caron as they strike out again, and again, and again, with delusions of economic grandure over US GDP and some historic 2s10s bull steepener which is never, ever coming, one would be left with the impression that Morgan Stanley has inherited the title of most permabullish sell side advisory from Deutsche Bank's economics department. Nothing could be further from the truth. Like any other bank, MS has perfectly hedged its rosy outlook by spoonfeeding its retail clients with the rosy view, while whispering the apocalypse case to its institutional clients (judging by last week's pummeling in MS stock, there is not that many of them left). Below we present the view of MS' equity strategy team under Adam Parker, who gives not only a distribution range for his year end S&P target (1004-1425), but a matrix specifying the probability outcome of either case. Bottom line, "while there is 18% upside to the year-end bull case and 16% downside to the year-end bear case, we assign a higher probability to our bear case than bull case, preventing us from becoming increasingly optimistic." When even Morgan Stanley tells you (or rather the whale clients who are now more than happy to sell into every low volume, retail driven rally) there is little to smile about, it is high time to look for the exits.
From Morgan Stanley:

One way to think about what is priced into the equity market today is to look at a range of forward EPS and price-to-forward earnings multiples (Exhibit 2). Forward earnings data have existed since 1976, and the historical median price-to-forward earnings multiple is 13.6x. If the bottom-up consensus estimate of $114 turns out to be achievable, and the median forward earnings estimate were applied to it, the market would trade at 1550. Our base case is 12x $103.2 in 2012 EPS, or 1238. We have boxed in a variety of scenarios close to what is being implied by today’s price, and what would be implied by our bear and bull cases. While it’s impossible to know for sure what combination of multiple and forward EPS is being digested, we do believe that the market is pricing in something close to 12x $100 dollars today.

We don’t think a recession is fully priced in, as market retrenchment is usually far more substantial in that case, recent jobs data did not imply a recession is imminent, and corporate profitability and estimates remain robust. We think management guidance and sell-side estimates must be reduced to believe a substantial buying opportunity is imminent. Secondly, we have always, and continue to assign a higher probability to the bear case than the bull case, and believe the recent price action increases the probability of the bear case. Poor price action, the S&P downgrade of US sovereign debt, and the exacerbation of recent problems in Europe likely decrease confidence and increase the probability of the bear case (Exhibit 3).

Said another way, while there is 18% upside to the year-end bull case and 16% downside to the year-end bear case, we assign a higher probability to our bear case than bull case, preventing us from becoming increasingly optimistic.

Rather self explanatory.
Perhaps someone can ask CNBC Friday's afternoon permaguest David "Soul Glo" Durst how he justifies his endless optimistic outlook on stocks when his own colleagues warn the bottom is about to fall out...