EDITOR: DICK STERN

+100%

75%

CIO: BRAD LAMENSDORF

50%

25%

0%

-25%

-50%

LAMENSDORF MARKET
TIMING REPORT

SEPTEMBER 2015

s
The 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.

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.

1
W E S T P O R T, C O N N E C T I C U T
BRAD@LMTR.COM

LAMENSDORF MARKET TIMING REPORT

SEPTEMBER 2015

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.

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.

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

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LAMENSDORF MARKET TIMING REPORT

64

SEPTEMBER 2015

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

All Mutual Funds' and ETF Asset Allocation

63.65

Domestic & Global Equity Mutual

Fund and ETF Assets Less Cash
7/31/2015 = 60.8%
($10.2 Tril)

60
56

64

63.17

60
56
52

52

48

48
44

Mean = 43.3%

44

43.73

40

40

38.54

36

36

32

32

28

28

24

24
20

20
16

16

(ETF Data Starts 1993)

33

33

Domestic & Global Bond Mutual

Fund and ETF Assets Less Cash
7/31/2015 = 21.4%
($3.6 Tril)

30
27

30
27

24

24

21

21

Mean = 19.7%

18

18

15

15

12

12

49.30
42.59

Mean = 37.0%

37.54

36.76

24.84

22.27

2015

2014

2013

2012

2011

2010

2009

2008

2007

2006

2005

2004

2003

2002

2001

2000

1999

1998

1997

1996

1995

1994

1993

1992

1991

1990

1989

1988

1987

1986

1985

1984

1983

1982

Source: Investment Company Institute, www.ici.org

1981

(DAVIS
78A)

80
75
70
65
60
55
50
45
40
35
30
25
20

Money Market Assets Plus

Stock and Bond Fund Cash
7/31/2015 = 17.7%
($3.0 Tril)

1980

80
75
70
65
60
55
50
45
40
35
30
25
20

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

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BRAD@LMTR.COM

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.

LAMENSDORF MARKET TIMING REPORT

SEPTEMBER 2015

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

Stock Market Capitalization as a Percentage of Gross Domestic Income

163

NDR Estimated value of 4100 U.S. common stocks:

U.S. Gross Domestic Income (latest figure):
):
Current ratio for 8/31/2015 (

149
137
125

3/31/2000 = 164.0%

149
137
5/31/2007 = 124.8%

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

114

163

$22. 93 trillion
$18. 02 trillion
127. 2 %

125
114
105

105

96

96
87

8/31/1929 = 85.7%

80
73

87

Bubble Territory

80

1/31/1973 = 77.1%
11/30/1968 = 73.8%
12/31/1965 = 69.9%

11/30/1936 = 70.7%

67

73

Overvalued

67
61

61
56

56

2/28/2009 = 58.1%

51

51

47

47
43

43

10/31/1990 = 42.6%

39

39

Very Undervalued

36

36

9/30/1974 = 35.3%

33
30

33
30

7/31/1982 = 31.4%

27

27
6/30/1932 = 26.3%

25

25

23

23

Calculation uses NDR Estimated Common Stock Market Capitalization of U.S.-based Companies
Dow Jones Total Stock Market Capitalization used from January 1973 through September 1980
NYSE Market Capitalization used prior to January 1973

21
19

21
19
2015

2010

2005

2000

1995

1990

1985

1980

1975

1970

1965

1960

1955

1950

1945

1940

1935

1930

4/30/1942 = 18.9%

1925

(S702A)

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.

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

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.

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BRAD@LMTR.COM

LAMENSDORF MARKET TIMING REPORT

SEPTEMBER 2015

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.

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.

19 0 0
15 0 7
11 9 5
948
751
596
473
375
297
236
187
148
118

2015 TrimTabs Investment Research. All rights reserved.

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

S&P 500 Index Versus NDR Supply and Demand

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

S&P 500 Index

Gain/Annum When:
NDR Vol Demand

Gain/
Annum

%
of Time

Above NDR Vol Supply

11. 5

79. 3

* Below NDR Vol Supply

-1. 9

20. 7

NDR Volume Supply (

NDR Volume Demand (
(Log Scale Right)

)
Source: S&P Dow Jones Indices

57
55
54
53
52
51
50
49
48
47
46
45
44

Source: Ned Davis Research, Inc.

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

2.4
2.0
1.6
1.2
0.8
0.4

2 01 1

2 00 6

2 00 1

1 99 6

1 99 1

Oversold

1 98 6

(DAVIS125)

43

9/11/2015 = 0.99

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

5
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BRAD@LMTR.COM

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.

LAMENSDORF MARKET TIMING REPORT

SEPTEMBER 2015

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.

20
19
18
17
16
15
14
13
12
11
10
9
8
7
(DAVIS52)

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

Standard & Poor's 500 Stock Index

S&P 500 Gain/Annum When:
Indicator Is:

Gain/
Annum

* Above 16.4

2. 1

34. 8

Between 12.9 and 16.4

10. 6

40. 6

12.9 and Below

14. 4

24. 6

%
of Time

19.70

Source: Value Line

Value Line Price/Earnings Ratio

9/11/2015 = 17.0

Data moved ahead one week to reflect reporting lag.

2087
1756
1478
1244
1047
881
742
624
526
442
372
313
264
222
187
157
132
111
94

2015

2014

2013

2012

2010

2009

2008

2007

2006

2005

2004

2003

2002

2001

2000

1999

1998

1997

1996

1995

1994

1993

1992

1991

1990

1989

1988

1987

1986

1985

1984

1983

1982

2011

9/11/2015 = 1961.1

Source: S&P Dow Jones Indices

1981

20 8 7
17 5 6
14 7 8
12 4 4
10 4 7
881
742
624
526
442
372
313
264
222
187
157
132
111
94

20
19
18
17
16
15
14
13
12
11
10
9
8
7

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

6
W E S T P O R T, C O N N E C T I C U T
BRAD@LMTR.COM

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.

LAMENSDORF MARKET TIMING REPORT

CONCLUSION
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.

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DISCLAIMER
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.

W E S T P O R T, C O N N E C T I C U T
BRAD@LMTR.COM
Copyright 2015 Lamensdorf Market Timing Report.

SEPTEMBER 2015

BIO

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.