Page 1 of 13
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BespokePremium.com © Copyright 2020, Bespoke Investment Group, LLC. Bespoke Investment Group, LLC believes all information contained in this report to be accurate, but we do not guarantee its accuracy. None of the information in this report or any opinions expressed constitutes a solicitation of the purchase or sale of any securities or commodities.
• Stocks gave back much of their gains late
in the session, with the S&P 500 closing up
almost 1% on the day but down roughly 1% in
the final hour of trading.
• It’s worth noting that since the market
broke down below the post-low uptrend last
week, we’ve had two days of wobbly intraday
price action.
• Whether that will continue now that
earnings season has passed through its meati-
est section and that Washington is sounding
much less enthusiastic about the idea of more
fiscal stimulus is anyone’s guess, but the price
action feels less comfortable now than it did
last week.
• As for oil, negative prices have quickly
given way to the best two weeks on record,
with front-month contracts up 150% in ten
days and surging 16% today after production
shut-ins were announced by a number of
shale players today.
• As shown, that 150% gain is by far and
away the best percentage return for a two
week period on record!
• API reported an 8.5mm bbl increase in US
crude stocks tonight, about in-line with the
estimate for tomorrow’s EIA numbers and last
week’s official data.
• While oil market sentiment has started to
improve and look towards the positive over
the negative whenever possible, it’s im-
portant to keep the generational collapse in
relative performance in context.
• As shown, Energy’s bounce versus market
leadership has been basically meaningless
over the past few weeks despite the large
gains for the sector.
Broken Trend, Ripping Oil, Collapsing Deficit, Consumer Credit
S&P 500 No Longer In An Uptrend Off The Lows?
Best 10 Days For Oil Ever
Energy's Tiny Bounce Is Still Tiny
2100
2300
2500
2700
2900
3100
3300
3500
-100
-50
0
50
100
150
Front-Month WTI:10 Day % Change
0.0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
S&P 500 Energy /S&P 500 Tech
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• More March economic data showed the results of COVID-19 impact on the US economy, with the
Census updating trade figures today.
• As shown below, the trade balance narrowed modestly from the biggest deficit in years recorded in
February.
• Excluding China, the trade deficit the US runs with the rest of the world collapsed to dramatic new
size in March after narrowing in Q4 and early Q1.
• Huge declines in gross trade volume were recorded thanks to plunging commodity prices and a
huge economic slowdown around the world economy.
US Trade Balance Data
-30
-25
-20
-15
-10
-5
-65
-60
-55
-50
-45
-40
-35
-30
Trade Balance, $-44.4bn Ex-China, $-27.4bn10
12
14
16
18
20
22
24
-85
-80
-75
-70
-65
-60
-55
-50
-45
Goods Trade Balance, $-65.6bn
Services Trade Balance, $21.2bn
0
50
100
150
200
250Services Exports, $59.6bn
Goods Exports, $128.1bn
0
50
100
150
200
250
300Services Imports, $38.5bn
Goods Imports, $193.7bn
-30
-20
-10
0
10
20
30
40
Goods Exports 3m/3m Ann., -7.6
Services Exports 3m/3m Ann., -20.3
-40
-30
-20
-10
0
10
20
30
40 Goods Imports 3m/3m Ann., -10.7Services Imports 3m/3m Ann., -30.1
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• We also wanted to highlight
the huge narrowing of the
Chinese-US trade balance that
continued in March.
• As shown in the chart, the
nominal bilateral trade deficit
between the US and China is
now the narrowest in almost
two decades.
• There is only one reason: col-
lapsing imports.
• As shown in the second chart
at right, the value of imports
from China have fallen by half
over the past two years.
• Part of this collapse in imports
is a function of the disruption
of bilateral trade caused by
changes in US policy, but the
last leg down in February and
March looks more driven by
the huge drop in activity in
China and then the US over
those two months as opposed
to the impact of tariffs.
• On the other side of the equa-
tion, exports (both including
and excluding ag exports) con-
tinue to fall, the flip side of
the trade war coin.
• In short, the trade balance
with China is not closing due
to increased US sales abroad;
quite the opposite.
• Instead, it’s a re-wiring of the
huge bilateral trade flows
which have been a key center-
piece of the global economy
for the past two decades.
China Trade Data (bn USD, SA By Bespoke)
-45
-40
-35
-30
-25
-20
-15
-10
-5
Trade Balance SA
6
11
16
21
26
31
36
41
46
51
Imports SA
1
3
5
7
9
11
13
Exports SA
Ex Ag Exports SA
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• The New York Fed released its quarterly
snapshot of consumer credit today, the last be-
fore the series of impacts from COVID-19 work
their way across lenders.
• There were initial signs of some cracks in
lending markets.
• Credit card balances declined very slightly
after seasonal adjustment, the first such drop
since Q1 of 2014 after a 12% annualized surge
in balances last quarter.
• Mortgage lending also had a good quarter,
with balances outstanding rising 6.5% annual-
ized after seasonal adjustment.
• Auto lending also surged as the industry
had its best quarter since Q1 of 2017; balances
increased by 6.75% annualized.
• In aggregate, the 5.04% annualized advance
in household debt across all types including
mortgages was the second-largest of the past
three years.
• Longer-term growth trends haven’t moved
too much in recent years.
• Total loan growth has been driven by mort-
gage lending (which is two-thirds of total bal-
ances) even as non-mortgage consumer credit
has run at a modest positive growth rate.
• YoY mortgage growth made a new post-
crisis high in Q1, part of a boom in housing mar-
ket activity we’ve discussed in other reports
over recent weeks.
• Other categories of lending are pretty unre-
markable over the last five years.
• Auto lending did boom post-crisis but has
since slowed dramatically, student loan growth
has persistently slowed for years, credit card
lending is slowing a bit, and the HELOC market
keeps shrinking, but by-and-large debt growth
has been pretty stable.
Consumer Credit Outstanding - Share of Total
Consumer Credit Outstanding - $ Trillion
60%
65%
70%
75%
80%
85%
90%
95%
100%
105%Other, 3%, Left Student Loan, 10.7%, LeftCredit Card, 6.2%, Left Auto Loan, 9.4%, LeftHE Revolving, 2.7%, Left Mortgage, 67.9%, Right
4
5
6
7
8
9
10
0.2
0.4
0.6
0.8
1.0
1.2
1.4
1.6
1.8
Mo
rtgage
No
n-M
ort
gage
HE Revolving, 0.39 Auto Loan, 1.35
Credit Card, 0.89 Student Loan, 1.54
Other, 0.43 Mortgage, 9.71
Consumer Credit Growth - YoY %
Consumer Credit Growth - YoY %
-5
0
5
10
15
20
Total, +4.62%
Mortgage, +5.07%
Non-Mortgage, +3.68%
-20
-10
0
10
20
30
40
50
60
HE Revolving, -4.93%
Auto Loan, +5.16%
Credit Card, +5.31%
Student Loan, +3.3%
Other, +5.69%
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• Delinquency rates are also very interesting to look at.
• Student loans carry the highest delinquency rates and have for years, but that backdrop hasn’t
been worsening; the same can’t be said for credit card or auto loans, which both saw new cycle
highs for delinquency rates.
• Mortgages are basically immune to that phenomenon.
• Both delinquent and newly delinquent loan rates remain low; transitions from on-time to delin-
quent are decelerating for student loans and auto loans as well.
+90 Day Delinquency Rate By Type of Loan
Newly Delinquent Loans By Type of Loan
0
2
4
6
8
10
12
14
Mortgage, 1.06%HELOC, 1.19%Auto, 5.05%Credit Card, 9.09%Student Loan, 10.75%Other, 7.23%ALL, 3.06%
0
2
4
6
8
10
12
14
Mortgage, 3.48% HELOC, 2.02%Auto, 6.89% Credit Card, 6.84%Student Loan, 9.05% Other, 7.11%Total, 4.67%
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• We also like to take a look at some of the data the report breaks out for specific types of lending.
• There will almost certainly be a large slowdown in mortgage originations in Q2 thanks to COVID but
in Q1 the boom of Q4 refinancings continued with more than $600bn in originations.
• The good news is that this lending was almost entirely directed towards high-quality borrowers
with low credit risk.
• The bad news is that anybody under a high-700s credit score is getting very little access to credit
markets; a record low share of loans by value go
to sub-780 borrowers.
• What we can say: on the eve of COVID-19,
borrower quality was very high, which reduces
the odds of multiplying impacts from the virus.
• Mortgage delinquency rates remained low,
and the movement of consumers into more se-
vere forms of delinquency was at best muted,
while lots of consumers got caught back up on
their delinquent loans.
Distribution of Mortgage Credit Scores At Origination
Mortgage Origination By Credit Score (bn USD)
Transition Rate From Current to Delinquent, Mortgages
550
600
650
700
750
800
Median, 773
25th %ile, 721
10th %ile, 666
0
200
400
600
800
1000
1200
780+, 425.3
720-779, 109.1
660-719, 84
620-659, 24.1
<620, 19.3
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
Current -> 30-60 Days Late, 0.76%
Current -> 90+ Day Late, 0.14%
Mortgage Origination By Credit Score (Share of Total)
Transition Rate From Delinquent, Mortgages
0
20
40
60
80
100
780+, 64.3 720-779, 16.5 660-719, 12.7 620-659, 3.6 <620, 2.9
10
15
20
25
30
35
40
45
5030-60 Days Late -> Current, 37.41%
30-60 Days Late -> 90+ Day Late, 15.13%
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• Auto loan details also get broken
out in the quarterly New York Fed
numbers and they tell a story
that’s incredibly similar to the
mortgage market.
• Originations of auto loans ran
north of $700bn for the second
quarter in a row and the first time
since 2007, making this the best
stretch for auto lending in the his-
tory of the data.
• However, just like with mortgages,
credit standards were rising into
the COVID-19 shock as the median
credit score of new auto loans
came in at a record 718!
• The distribution of auto loans by
value is nothing close to the skew
seen in mortgage origination but
the rising share of extremely high-
score lending is still in place: more
than one-third of loans (a record)
went to 780 or above FICOs, while
lower-score borrowers have seen
no material increase in loan access
for years.
• This is the same sort of double-
edged sword as the mortgage
lending market shows, albeit with
a less dramatic tilt.
Distribution of Auto Loan Credit Scores At Origination
Auto Loan Origination By Credit Score (bn USD)
Auto Loan Origination By Credit Score (Share of Total)
500
550
600
650
700
750Median, 718
25th %ile, 640
10th %ile, 574
0
20
40
60
80
100
120
140
160
180
780+, 53
720-779, 24.4
660-719, 29
620-659, 15.6
<620, 28.4
0
20
40
60
80
100
780+, 35.2 720-779, 16.2 660-719, 19.3 620-659, 10.4 <620, 18.9
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• Finally, we note that on the eve of the COVID-19 outbreak, consumers had ample reserves of credit
available on both HELOCs and credit cards.
• Even better news, the percentage of consumers under collection was at a record low, the number
of bankruptcies was at a record low, and foreclosures were very low as well.
• That doesn’t mean the shock of job losses and lower incomes from COVID won’t hurt and have dra-
matic ramifications on lending to consumers; yesterday’s analysis of the SLOOS report points to
rapidly tightening standards already.
• But at the same time, consumers were in a relatively strong position coming in, so things could be
worse.
Credit Utilization (% of Available Credit)
21%
22%
23%
24%
25%
26%
27%
28%
29%
42%
44%
46%
48%
50%
52%
54%
56%
Home Equity Utilization, 42.3%
Credit Card Utilization, 22.7%
Financially Stressed Consumers ('000s Except Collection)
8
9
10
11
12
13
14
15
0
100
200
300
400
500
600
700
800
900
1,000
Foreclosure, 74.9
Bankruptcy, 189
% of Consumers Under Collection (Right), 8.9
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• One final note on consumer credit numbers.
• Yesterday, data and analytics company Black Knight updated their monthly mortgage monitor for
March, and despite record jobless claims and all around slowed economic activity on behalf of the
coronavirus over the past few months, the data has yet to show any sharp rise in foreclosures.
• In fact, as shown below, total foreclosures as a percentage of all mortgage loans are now at their
lowest level since at least 2012 at only 0.41%.
• Additionally, most of those
foreclosures are older. Only
11.7% of foreclosures were
new as of March which is the
lowest share since May of
2016 and a steep drop from
recent months.
• Although foreclosures remain
historically low at the mo-
ment, some weakness in the
space is bubbling up as delin-
quencies are on the rise. As of
March, 3.62% of all loans were
delinquent up from 3.13% in
February.
• That is the highest level since
last June and the first increase
since March of last year.
• The 49 bps rise is also the larg-
est one month increase since
at least 2012.
• Of all non-current loans (those
that are delinquent and in
foreclosure), the majority
(53.5%) are at least 30 days
delinquent from the payment
due date. Another 15.4% is
more than 60 days late and
20.2% is over 90 days late.
• The remaining 10.9% of Non-
Current loans are in foreclo-
sure.
Foreclosure Still Historically Low….
…While Delinquencies Are on The Rise
Delinquencies and Foreclosures as % of Total Non-Current Loans (NSA)
3.62
3.0
3.5
4.0
4.5
5.0
5.5
6.0
6.5
7.0
7.5
1/12 1/13 1/14 1/15 1/16 1/17 1/18 1/19 1/20
Delinquencies as a % of All Loans (SA by Bespoke)
0.41
11.70
6
8
10
12
14
16
18
0.3
0.8
1.3
1.8
2.3
2.8
3.3
3.8
4.3
1/12 1/13 1/14 1/15 1/16 1/17 1/18 1/19 1/20
Total Foreclosures as % of All Loans (LeftAxis, SA by Bespoke)
New Foreclosures as % of All Foreclosures(Right Axis, SA by Bespoke)
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
1/12 1/13 1/14 1/15 1/16 1/17 1/18 1/19 1/20
FC
90+ Days
60 Days
30 Days53.5
15.4
20.2
10.9
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The major indices cut a large portion of their earlier gains in the final hour of trading. The S&P 500 fin-
ished up only 0.9% after trading up nearly 2% at the day’s highs. The financial sector erased its gains to
finished down 0.32%, the only sector to finish in the red. Meanwhile Health Care and Tech outper-
formed rallying over 2% and 1% respectively.
Overnight various countries’ Markit Services PMIs will be released in addition to quarterly employment
data out of New Zealand. Economic scorecard link.
Don’t forget to keep an eye on what the FOMC is saying with our Fedspeak Monitor (link) and stay up-
to-date with central bank meeting dates with our Global Central Bank Monitor (link). These are regular-
ly updated along with our economic scorecard to keep you on top of major developments.
Asset Level Change 5d Chg 3m Chart Asset Level Change 5d Chg 3m Chart
S&P 500 2854.75 104.4 -20.1 Gold 1715.00 9.9 -54.5
Russell 1265.10 73.3 -255.0 Silver 15.12 215.6 -153.1
VIX Fut 34.23 -405.0 -49.4 WTI 24.92 2221.7 8779.2
TSX 892.60 47.3 12.3 Copper 233.10 80.0 -38.5
2 Year 18.82 0.6 -2.3 Nikkei 19619.35 0.0 -76.8
5 Year 37.82 1.4 0.3 CSI 300 3912.58 0.0 164.8
10 Year 66.51 3.2 5.2 ASX 200 5407.07 164.0 176.9
30 Year 133.72 6.1 13.3 STOXX 600 335.50 215.0 -163.9
2s10s 47.50 2.7 7.7 BBG USD 1249.71 3.6 -16.5
5s30s 95.75 4.6 13.0 EURUSD 1.0835 -66.0 13.9
5 Yr BE 72.22 1.9 71.4 USDJPY 106.53 -19.7 -31.8
10 Yr BE 109.37 1.4 108.2 EM FX 52.95 6.4 15.5
Jun '20 99.64 -0.5 0.0 CDX IG 90.07 -0.9 -1.7
Sep '20 99.70 -1.0 0.0 iTraxx IG 84.46 -2.4 3.1
Dec '20 99.67 -1.0 0.0 CDX HY 655.14 -0.9 -3.2
Mar '21 99.74 -0.5 0.5 iTraxx HY 508.89 -2.3 15.5
Euro
do
llar
s
Cre
dit
Bespoke Major Asset Class Dashboard
Equ
ity
Futs
Co
mm
od
ity
Trsy
Yie
lds
Int'
l Eq
uit
y
Cu
rve
s/B
E
FX
(bps)(bps)
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Closing Charts & Tweets Popular Tweets From @bespokeinvest on Twitter
“There are as many stocks in the DJIA down over
30% as there are stocks up YTD (5).” — 9:19
“Maybe just a moral victory, but how did the ISM
Composite (Manufacturing & Non Manufacturing)
for April NOT hit a record low?” — 10:13
“The S&P 500 Airlines group is on pace for a new
closing low” — 12:06
“The shock value of crude oil prices doubling in a
week isn’t what it used to be.” — 2:46
Oil Future: Last 15 Trading Days Gold Front Month Future: Last 15 Trading Days
BBG US Dollar Index: Last 15 Trading Days Long Bond Future Intraday: Last 15 Trading Days
S&P 500 Intraday: Last 15 Trading Days Nasdaq Composite: Last 15 Trading Days
-50
-40
-30
-20
-10
0
10
20
30
4/15 4/17 4/21 4/23 4/27 4/29 5/1 5/5
1235
1240
1245
1250
1255
1260
1265
4/15 4/17 4/21 4/23 4/27 4/29 5/1 5/5
177
178
179
180
181
182
183
184
4/15 4/17 4/21 4/23 4/27 4/29 5/1 5/5
2700
2750
2800
2850
2900
2950
3000
4/15 4/17 4/21 4/23 4/27 4/29 5/1 5/5
8100
8200
8300
8400
8500
8600
8700
8800
8900
9000
4/15 4/17 4/21 4/23 4/27 4/29 5/1 5/5
1665
1685
1705
1725
1745
1765
1785
4/15 4/17 4/21 4/23 4/27 4/29 5/1 5/5
The Tale of The Tape: S&P 500 (Left) vs Norwegian Cruise Line Holdings (NCLH)
10.7
11.2
11.7
12.2
12.7
13.2
2,860
2,865
2,870
2,875
2,880
2,885
2,890
2,895
2,900
S&P 500 (Left)
Norwegian Cruise Line Holdings
(NCLH) (Right)
TTI 32.02 NCLH -22.58 ITRI 640.98 VAC -70.62
ACHC 21.55 WRK -17.32 USNA 514.14 FLOW -68.08
IPGP 21.02 BHLB -16.32 UFI 461.26 KRC -67.37
ADUS 19.93 PBI -16.22 VAL 451.67 TCBI -65.80
TVTY 14.34 ITRI -16.12 BLMN 390.83 ADC -64.81
ARCB 13.98 BGG -11.69 TTI 387.14 TIF -64.20
RMBS 13.89 LEG -10.92 NCLH 331.76 HIBB -63.86
CUTR 13.41 JCP -10.91 WRK 301.51 DLR -63.76
DBD 13.18 UNM -10.71 COR 210.69 FIZZ -62.69
CC 11.64 RCL -10.08 IPGP 194.47 UNIT -62.63
GKOS 11.16 VRA -9.75 RMBS 161.80 DHR -62.57
KNSL 10.27 TWI -8.94 ALXN 157.71 WLTW -61.52
BLD 10.19 HPR -8.82 ETSY 119.11 ARI -61.35
NR 10.17 BLMN -8.73 SHAK 118.45 HSKA -61.28
LL 9.32 CCL -8.72 LMNX 115.18 TGNA -61.25
Most Up Most DownMost Up Most Down
S&P 1500 Biggest MoversPrice (%) Volume vs Historical Avg (%)
Ticker Name Change Last 6 Mos
SPY S&P 500 0.28
IJH S&P 400 0.11
IJR S&P 600 -0.36
DIA Dow 30 0.06
QQQ Nasdaq 1.17
IWB Russel l 1000 0.39
IWM Russel l 2000 0.43
XLF Financia ls -0.91
XLB Materia ls 0.35
XLE Energy 3.46
XLI Industria ls -1.27
XLY Cons . Cycl ica l 0.54
XLP Cons . Staples -0.05
XLV Health Care -0.05
XLRE Real Es tate -0.06
XLC Telecom 0.58
XLK Technology 1.33
XLU Uti l i ties 0.75
GDX Gold Miners 2.10
XME Metals & Mining 1.90
XRT Reta i l 0.53
XHB Homebui lders 0.48
IYR US Real Es tate -0.30
KRE Regional Banks -0.99
IWD Russel l 1000 Va lue -0.12
IWF Russel l 1000 Growth 0.85
VIXY VIX -2.04
AGG Tota l Bond Mkt 0.09
TLT 20+ Yr Treasuries -0.47
MUB Muni . Bonds 0.27
LQD Invest. Gr. Bonds 0.16
JNK High Yield Bonds -0.14
BKLN Senior Loan -0.58
GLD Gold 0.35
SLV Si lver -1.08
USO Oi l 4.29
UNG Natura l Gas 5.92
VT Tota l World 0.30
CWI World Ex-US 0.29VEA Developed Mkts 0.09
EEM Emerging Mkts 1.08
VGK Eurozone -0.04
DXJ Japan JPY Hdg'd -0.76
EWZ Brazi l 1.27
FXI China 0.94
EWT Taiwan 1.89
EWH Hong Kong 0.97EWW Mexico 4.27
Key ETFs (1 Day % Change)
Page 12 of 13 The Closer 5/5/20 BespokePremium.com
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Sentiment Indicator Direction vs Historical One Week Two Weeks One Month
CBOE Call Volume 0.8 h 0.1 0.22 0.35 0.18
NYSE Up vs Total Volume (%) 53.3 i 0.4 0.16 0.28 0.42
Nasdaq Up vs Total Volume (%) 60.2 i 1.5 0.42 0.58 0.75
Index vs Equity PC Ratio 1.6 i 0.0 0.04 0.13 0.42
VIX 50-Day ROC (%) 96.8 i 2.0 -0.52 -0.71 0.21
VIX 10-Day ROC (%) -23.3 i -1.2 0.01 0.05 0.55
Investors Intelligence Bullish (%) 46.6 h -0.2 -0.13 0.07 0.43
Investors Intelligence Bearish (%) 29.1 h 0.6 0.12 0.24 0.31
Inv Intell. Bull Bear Spread 17.5 h -0.4 0.26 0.53 0.69
AAII Bullish (%) 30.6 h -0.8 0.04 0.17 0.60
AAII Bearish (%) 44.0 h 1.2 -0.45 0.40 0.40
AAII Bull Bear Spread -13.4 h -1.1 -0.20 0.42 0.36
Overall Sentiment i 0.2 0.04 0.26 0.42
Technical
S&P 500 10-Day Avg. Spread (%) 0.4 i 0.2 0.11 0.29 0.62
S&P 500 50-Day Avg. Spread (%) 4.6 h 1.0 0.00 -0.09 0.38
S&P 500 200-Day Avg. Spread (%) -4.5 h -0.8 -0.20 -0.16 0.15
S&P 500 Monthly ROC (%) 15.3 h 3.1 -0.26 -0.63 -1.18
S&P 500 Weekly ROC (%) 0.2 i 0.0 0.05 0.17 0.43
S&P 500 Quarterly ROC 1 (%) -14.0 i -2.1 0.98 1.03 1.27
Group 10-Day A/D Line 63.0 h 1.1 0.14 0.36 0.57
Group 50-Day A/D Line -71.0 h -1.3 0.00 -0.03 -0.08
S&P 500 10-Day A/D Line 871.0 h 1.0 -0.13 -0.05 0.46
S&P 500 50-Day A/D Line -1830.0 h -1.6 -0.14 0.34 1.28
NYSE TRIN Index 1.1 h 0.0 0.07 0.19 0.39
Overall Technical h 0.0 0.00 0.17 0.43
Fundamental/Monetary
Corporate Spreads (10-Day ROC) -14.0 h -0.8 0.19 0.11 0.54
Corporate Spreads (50-Day ROC) 116.0 i 2.4 -2.54 -3.98 -4.58
High Yield Spreads (10-Day ROC) 48.0 h 0.8 0.10 0.12 0.58
High Yield Spreads (50-Day ROC) 417.0 i 2.8 0.10 -0.94 -3.78
S&P 500 P/S Ratio 2.1 h 1.3 0.13 0.13 0.70
S&P 500 P/E Ratio 19.4 h 0.4 0.27 0.38 0.48
S&P 500 P/B Ratio 3.2 h 1.1 0.00 -0.07 0.26
Yield Curve (50-Day ROC) 64.2 h 1.6 0.42 0.38 0.60
Yield Curve (10-Day ROC) 3.3 h 0.2 0.12 0.26 0.00
Overall Fundamental h 1.1 0.12 0.12 0.48
Bottom Line h 0.4 0.06 0.17 0.42 Average S&P 500 Performance (All Days) 0.13 0.25 0.51
Average S&P 500 Performance (%)Current Level
Bespoke Market Timing Model: 5/5/20
Neutral Bearish Bullish
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Sentiment Indicator vs Historical One Week Two Weeks One Month
CBOE Call Volume 1.7 0.6 0.6 0.13 -0.22 -0.44
Overall Sentiment 0.3 0.3 0.14 0.16 0.28
Bottom Line 0.3 0.3 0.12 0.21 0.27
Average S&P 500 Performance (All Days) 0.12 0.24 0.50
Current Level Average S&P 500 Performance (%)
Direction
The Bespoke Market Timing Model is a compilation of some widely (and not so widely) followed market indicators. While
most investors have one or two indicators they rely on, we all recognize that no indicator by itself is correct all of the time.
With this in mind, we set out to create a series of indicators from multiple disciplines in order to see what the 'crowd' of
indicators are telling us. Just as no individual is bigger than the market, we contend that no single indicator is more accurate
at forecasting the market than the sum of them all. What follows below is an explanation of the various fields in our report.
Indicator: Current level of the given indicator. In this example, CBOE call volume is 1.7 times CBOE put volume.
Direction: Change in the indicator (positive or negative) over the last week. In this example, calls relative to puts have in-
creased during the last week.
vs Historical: This field measures the distance in standard deviations that the indicator is currently at versus its average over
the last five years. In the above example, the volume of calls relative to puts is 0.6 standard deviations above its historical
average.
Average S&P 500 Performance: This field displays the average performance of the S&P 500 following previously occasions
when the indicator was at similar levels to the present. Values highlighted in green indicate the two indicators for that
group which are predicting the biggest gains, while indicators highlighted in red highlight the indicators which are signaling
the most negative returns going forward.
Overall Scores: Averages all the indicators for a given category. In the example above, overall sentiment is 0.3 standard
deviations from its long-term average. At similar levels in the past, the S&P 500 has gone up an average of 0.14% over the
next week, 0.16% over the next two weeks, and 0.28% over the next month.
Bottom Line: This line shows the average of all the indicators in the study. In the example above, the aggregate level of all
the indicators is currently 0.3 standard deviations above the historical average, and based on prior experiences, the S&P 500
has gone up an average of 0.12% in the next week, 0.21% in the next two weeks, and 0.27% in the next month. Values high-
lighted in red indicate returns that underperform the S&P 500 over the entire period covered (regardless of the indicator
level), while green highlights indicate that they outperformed the overall average S&P 500 performance.
Average S&P 500 Performance (All Days): This line measures the average historical performance of the S&P 500 over all
periods for one week, two week, and one month time frames. These levels are then compared to the average level the
indicators are predicting.in the next two weeks, and 0.27% in the next month. Values highlighted in red indicate returns
that underperform the S&P 500 over the entire period covered (regardless of the indicator level), while green highlights
indicate that they outperformed the overall average S&P 500 performance.
