lamensdorf market timing report september 2015

sEDITOR: DICK STERN CIO: BRAD LAMENSDORF

S E P T E M B E R 2 0 1 5

+100% -25%75% 25% 0%50% -50%

sThe charts and graphs presented in LMTRs newsletter are not produced by LMTR. The interpretation of the charts and graphs is only the opinion of LMTR and does not reflect the associated firms opinions.

W E S T P O R T, C O N N E C T I C U T B R A D @ L M T R . C O M

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Caution Still Warranted Though Sentiment Improves

While the markets current correction has delved as deep as 12% at its worst,

many areas within the market have been hit far more significantly. The hardest hit

include emerging markets and commodity sectors. The spike low, which occurred

on August 24, produced a short-term oversold position. However, the markets

action so far has been unable to produce a complex bottom that would give

stocks the needed basing period to create a sustainable advance. The bounce

achieved from the lows thus far has occurred on very light volume and under poor

leadership. So while it is important to note that sentiment has been improving,

investors should be patient: Pathetic volume on the recent bounce suggests that a

retest is needed in order to assess a bottom.

LAMENSDORF MARKET TIMING REPORT S E P T E M B E R 2 0 1 5


2

Investors-Intelligence/ Chartcrafts most recent reading came in at 25% bulls and 27% bears, which puts the bulls/bears ratio at-2. This is a needed improvement and places sentiment in a better position to create a rally. While this is a step in the right direction, investors should wait before gauging the situation. More indicators still need to move into bull territory.

Copyright 2015, All Rights Reserved Investors Intelligence / Chartcrafts. Further distribution prohibited without prior permission.

Copyright 2015, All Rights Reserved Investors Intelligence / Chartcrafts. Further distribution prohibited without prior permission.

Selling climaxes occur when a stock closes at a high for the week, and they are characteristic of a complex bottom. The market has experienced only a single selling climax during the current selloff, but multiple selling climaxes must occur in order to produce a climax bottom.



3

Monthly Data 1/31/1980 - 7/31/2015

(DAVIS78A)

Mean = 43.3%

(ETF Data Starts 1993)

63.65 63.17

43.73

38.54

Domestic & Global Equity MutualFund and ETF Assets Less Cash

7/31/2015 = 60.8%($10.2 Tril)

16202428323640444852566064

16202428323640444852566064

Mean = 19.7%

Domestic & Global Bond MutualFund and ETF Assets Less Cash

7/31/2015 = 21.4%($3.6 Tril)

69

1215182124273033

69

1215182124273033

Mean = 37.0%

49.30

37.54

42.59

36.76

24.8422.27

Money Market Assets PlusStock and Bond Fund Cash

7/31/2015 = 17.7%($3.0 Tril)

Source: Investment Company Institute, www.ici.org20253035404550556065707580

20253035404550556065707580

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All Mutual Funds' and ETF Asset Allocation

Money market assets + stock and bond fund cash remain at a 35-year low, suggesting that there is very little built-up cash on the sidelines for investment. During the bottom of a correction the ratio typically begins to move higher, as investors raise cash out of fear.

Copyright 2015, All Rights Reserved Investment Company Institute. Further distribution prohibited without prior permission.



4

Monthly Data 12/31/1924 - 8/31/2015 (Log Scale)

(S702A)

8/31/1929 = 85.7%

6/30/1932 = 26.3%

11/30/1936 = 70.7%

4/30/1942 = 18.9%

12/31/1965 = 69.9%11/30/1968 = 73.8%

1/31/1973 = 77.1%

9/30/1974 = 35.3%

7/31/1982 = 31.4%

10/31/1990 = 42.6%

3/31/2000 = 164.0%

5/31/2007 = 124.8%

2/28/2009 = 58.1%

Very Undervalued

Overvalued

Bubble Territory

NDR Estimated value of 4100 U.S. common stocks: $22. 93 trillionU.S. Gross Domestic Income (latest figure): $18. 02 trillionCurrent ratio for 8/31/2015 ( ): 127. 2 %

GDP used prior to December 1946 (NDR Estimates prior to December 1928)Gross Domestic Income used after December 1946

Calculation uses NDR Estimated Common Stock Market Capitalization of U.S.-based CompaniesDow Jones Total Stock Market Capitalization used from January 1973 through September 1980

NYSE Market Capitalization used prior to January 1973

19212325273033363943475156616773808796

105114125137149163

19212325273033363943475156616773808796

105114125137149163

1925

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2015

Stock Market Capitalization as a Percentage of Gross Domestic Income

Copyright 2015 Ned Davis Research, Inc. Further distribution prohibited without prior permission. All Rights Reserved..www.ndr.com/vendorinfo/. For data vendor disclaimers refer to www.ndr.com/copyright.htmlSee NDR Disclaimer at

Stock market capitalization as a percentage of Gross Domestic Income has reached its second highest level in 100 years. This situation indicates that the stock market is too large on a relative basis when compared to the GDI.

Total margin debt versus GDP has reached its highest level in 85 years. Such significant margin debt is a tremendous concern. Excessive leverage in the system can trigger margin calls during a decline, which exacerbates the correction.

Copyright 2015, All Rights Reserved Alan M. Newman. Further distribution prohibited without prior permission.



5

Corporate insiders have not been buying in size. Since the start of August, insider buying has topped $100 million on only three days: August 26, August 27, and August 28. Buying in three stocks Gap ($430 million), Anixter International ($112 million), and American Homes 4 Rent ($62 million)accounted for 85% of the volume on those three days. Insider buying has been almost non-existent so far in September, totaling a mere $120 million. 2015 TrimTabs Investment Research. All rights reserved.

(DAVIS125)

Daily Data 12/31/1981 - 9/11/2015 (Log Scale)

Standard & Poor's 500 Index(Log Scale Left)

S&P 500 IndexGain/Annum When:

Gain/ %NDR Vol Demand Annum of Time

Above NDR Vol Supply 11. 5 79. 3* Below NDR Vol Supply -1. 9 20. 7

Source: S&P Dow Jones Indices118148187236297375473596751948

119515071900

NDR Volume Supply ( )NDR Volume Demand ( )

(Log Scale Right)

Source: Ned Davis Research, Inc. 4344454647484950515253545557

NDR Multi-Cap Institutional Equity Series 10-Day Total Advances/10-Day Total Declines(Scale Left)

9/11/2015 = 0.99Thrust

Oversold0.40.81.21.62.02.4

1986

1991

1996

2001

2006

2011

S&P 500 Index Versus NDR Supply and Demand

Copyright 2015 Ned Davis Research, Inc. Further distribution prohibited without prior permission. All Rights Reserved..www.ndr.com/vendorinfo/. For data vendor disclaimers refer to www.ndr.com/copyright.htmlSee NDR Disclaimer at

The NDR Volume Supply/Demand indicator, which has been in negative territory for at least a year, has completely broken down. The supply of volume has moved above the demand of volume line for the first time in four years. This is an aggressive sell signal.

When stocks are near substantial bottoms, insiders traditionally begin accumulating shares in the market because stocks are so cheap. As of yet there has been only meager insider buying taking place.



6

The mutual fund industry stores a tremendous amount of equity value. Portfolio managers have considerable flexibility and can have up to 10% cash on hand, depending on the market environment. Cash balances have been running very low, which is a worrisome sign.

Jason at Sentimentrader.com has created a five-year average of the cash deviation. His method looks at things a little differently by smoothing the data, yet the same conclusion is drawn: There is too little cash in the marketplace.

Copyright 2015, All Rights Reserved Sentimentrader.com. Further distribution prohibited without prior permission.

Weekly Data 5/30/1980 - 9/11/2015 (Log Scale)

(DAVIS52)

S&P 500 Gain/Annum When:

Gain/ %Indicator Is: Annum of Time* Above 16.4 2. 1 34. 8

Between 12.9 and 16.4 10. 6 40. 612.9 and Below 14. 4 24. 6

9/11/2015 = 1961.1Source: S&P Dow Jones Indices94

111132157187222264313372442526624742881

10471244147817562087

94111132157187222264313372442526624742881

10471244147817562087

9/11/2015 = 17.0Source: Value Line

19.70

789

1011121314151617181920

789

1011121314151617181920

Data moved ahead one week to reflect reporting lag.

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Standard & Poor's 500 Stock Index

Value Line Price/Earnings Ratio Copyright 2015 Ned Davis Research, Inc. Further distribution prohibited without prior permission. All Rights Reserved.

.www.ndr.com/vendorinfo/. For data vendor disclaimers refer to www.ndr.com/copyright.htmlSee NDR Disclaimer at

Fundamentally based indicators (PEs and price-to-sales, among others) have decreased somewhat during the recent correction. However, a lower multiple is needed in order to create a more bullish environment.


Copyright 2015 Lamensdorf Market Timing Report.

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Lamensdorf Market Timing Report is a publication intended to give analytical research to the investment community. Lamensdorf Market Timing Report is not rendering investment advice based on investment portfolios and is not registered as an investment advisor in any jurisdiction. Information included in this report is derived from many sources believed to be reliable but no representation is made that it is accurate or complete, or that errors, if discovered, will be corrected. The authors of this report have not audited the financial statements of the companies discussed and do not represent that they are serving as independent public accountants with respect to them. They have not audited the statements and therefore do not express an opinion on them. The authors have also not conducted a thorough review of the financial statements as defined by standards established by the AICPA.

This report is not intended, and shall not constitute, and nothing herein should be construed as, an offer to sell or a solicitation of an offer to buy any securities referred to in this report, or a buy or sell recommendation. Rather, this research is intended to identify issues portfolio managers should be aware of for them to assess their own opinion of positive or negative potential.

The LMTR newsletter is NOT affiliated with any ETFs Nor any investment Advisors.

DISCLAIMER

Brad Lamensdorf, a seasoned money manager and market strategist, is the CIO of The Lamensdorf Market Timing Report, a newsletter designed to help investors improve performance via market timing by assessing the environment of the stock market using a variety of technical, fundamental and sentiment-oriented tools from powerful independent research firms. Many investors mechanically enter and depart the market without a true game plan. Studies have shown that retail investors, in particular, are very poor market timers, tending to invest at or near market peaks and sell at or near market lows. The newsletter is designed to provide risk parameters for both professional and retail investors around the short-term stock market environment, giving subscribers better insight about when to allocate assets into or out of the equity markets.

Lamensdorf, a frequent guest commentator and analyst on major business networks including CNBC, CNN and Fox Business News, also serves as a Portfolio Manager and Principal of Ranger Alternative Management LP, a sub-advisor to the Advisor Shares Ranger Equity Bear Exchange Traded Fund (NYSE: HDGE). In this role, he conducts top-down technical evaluations of broader market liquidity, sentiment and breadth to help identify short and intermediate-term market trends, manage exposure and mitigate risk. HDGE was launched in 2011 and is the first and sole actively managed, short-only ETF in existence.

Lamensdorf, also has managed investment portfolios for the Hughes family and was principal of Tarpon Partners, managing a long/short fund that was up more than 200% gross over six years. Earlier in his career, he was as an equity trader/market strategist for Taylor and Company, the Bass brothers trading arm, co-managing a short-only strategy in a derivative format with national exposure. He also served as the in-house market timing strategist for the entire internal and external network of Bass managers.

BIOLAMENSDORF MARKET TIMING REPORT S E P T E M B E R 2 0 1 5

The correction that started last month is beginning to move from ridiculously bought into overbought territory. Several of our indicators have at last begun to decrease. However, the market has yet to reach a substantial bottom. We will be looking to cover our 50% short position into the next correction and will send out a notification when we do so . As always, paying subscribers will receive an intra-month alert.

CONCLUSION

lamensdorf market timing report september 2015

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