Sunday, October 23, 2016
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Hardcopy Research: last shipped October 5, 2016
Online Research:

Strategist updated a/o 10/05/2016
updated a/o 10/14/2016
File Downloads Weekly >> updated a/o 10/14/2016
File Downloads Monthly >> updated a/o 10/01/2016

Media: 02/07/2012: 2011 Top Performers

08/16/2011: 6 stocks insiders are snapping up


MPT Newsroom

WEEKLY RESEARCH:  Weekly Insider Data and Commentary files were last updated on Sunday, October 16th, with data from the Friday, October 14th SEC closeout.  Please review your Commentary File for particulars.  The Insider portion of the Workbook section of the WebSite was populated with new weekly data and e-mail versions were distributed as well. (Data for all companies, and broad strategy commentary)  The Insider Commentary file of the past weekend includes an updated, thumbnail Strategic view of the Markets from the top-down perspective of all models.  The MPT Accumulation / Distribution Model remains Bearish for the 18th week.  The Top-down models suggest the recent price decline has much further to go.  At the Sector level, Aerospace/Defense looks strongest.  The Markets cannot be viewed as a singular snapshot, but are instead a dynamic, moving picture.  Employing MPT research to follow and anticipate the most probable trend features and changes is an important aspect of the research.

MONTHLY RESEARCH:  The October 2016 edition of Market Profile Theorems was run based on the data close-out of Friday, September 30th.  Your specific data files were pushed to you on Sunday October 2nd. The WEB site data (Workbook section) were available on Sunday, starting at 9:40 PM, and included refreshed Probability Plots, Screening features, and Files located in the monthly File Download section of the Web-site.  The Strategy notebook should have arrived on Thursday, October 6th.  If you did not receive your files, or the notebook by the dates indicated, please contact us.  Reach us by e-mail or call 206-890-6789 if you wish to schedule a conference call in October.

GENERAL COMMENTARY:  Style closed August with a Small Capitalization preference and a slight Growth tilt.  The October asset allocation projection has no clear Capitalization bias, and again prefers Growth.  MPT bottom-up model performance, relative to the S&P 500, was good in September, with most screens out-performing the Benchmark.  The aggregate top-down model remains Bearish at -1.  Much lower equity price lows lie ahead in 2016.  The downside trend of the Top-down Earnings model resumed deterioration last week (-3.08), and remained in the well defined, descending channel, arguing for patience in the longer-term.  A mark-down phase is well underway, and the rally window, from Feb of this year, has closed.  The yield curve has aggressively flattened, and raises the odds of recession in the U.S. to 60%.   We expect the poor reported earnings for Q4 of 2015, to carry well into the end of 2016.  Accelerating downward analyst revisions, a recently estimated Q2, 2016 GDP, of just 1.2%, and a downwardly revised GDP of +0.9% for Q1, leaves GDP under 1% for the first half of 2016.  The most recent estimate for Q3 is at 1.8%.  This is concerning for the Markets - especially with what we see as alarmingly high valuations present for equities.  See the weekly Insider Commentaries, and the monthly Strategist, (Green Book) for further details and interpretation.  The weekly Insider Commentary provides additional color.

The Market Cycle, in terms of MPT's "Market Clock," remains at 10:30, was in a MARK DOWN phase for the last half of 2014 through 2015, and began 2016 with the same profile. This Bull cycle within a Secular Bear Market has closed.  Please see the current weekend's Commentary, as this has important implications for the Equity Markets. Insider, and the Summary model, will drive performance going forward.

Top-Down Review: Following a very accurate 2011 and 2012 for Buy and Sell price targets based on our Top-down models, 2013 started a period where top-down pricing levels were more difficult animals to wrestle with. Our upside targets were far short of levels reached that year, and our downside view too aggressive.  2014 started out weaker and was more in line with our long-held expectations for significantly lower equity prices but, with the exception of the Small-cap space, the trend into the close of 2014.  2015 was an anemic year for overall price performance in the major benchmarks.  DJIA 14,500, and S&P 1560 levels are our 2016 low targets, with S&P 500 2060 the high range.  Performance of the MPT screens for specific issues and models continues to perform well in 2016.

In The News



Welcome to is the web-based application for professional investors. Market Profile Theorems, Inc. has been a provider of Behavioral Financial models, integrating Insider, Earnings, Technical and Style aspects, for 24 years. The behavioral approach to equity selection provided by MPT adds unique insights to the equity selection process, and compliments more traditional fundamental tools. Coverage has averaged over 5000 U.S. companies, with aggregated views on 16 Economic Sectors and 59 Industries, and Top-down Strategic views on the broader market. The work is therefore useful for both "bottom-up" and "top-down" applications.  The combination of non-correlated MPT models allows for sufficient risk control in the process to allow equity portfolio managers to run money using this powerful suite of tools alone, while at the same time allowing for integration of existing models favored by the user.

The MPT research display features are designed to improve the decision-making process. One example of this is our presentation of the 4 basic MPT models, (Insider, Earnings, Technical, and Summary), in the context of a probability matrix defined by past model scores for each Company, Industry, and Sector we monitor. Another feature is the color-coded 28-month time series for each model - revealing significant changes in each model at a glance. A more specific description of the concept, methodology, and use of the various behavioral perspectives we provide, can be found by clicking on the individual tabs for each model found at the top of this page. The underlying data and graphics are available only to subscribers to MPT research.

We view Corporate Insider behavior as a subset of Behavioral Finance. While in and of itself Insider activity can be useful in adding to the decision making process, it can also be thought of as the initial starting point in a decision tree of information which includes other important inputs such as Analyst Behavior, Market Style (Value/Growth, Large/Small-cap), and Relative Price Strength driven by the market trading mechanism itself.

Behavioral Finance & Corporate Insider activity – Point of Departure. At Market Profile Theorems we use Behavioral Theory in a sequential "waterfall" manner – looking for confirmation of positive events at the Insider level (Market or Self-relative), from the analyst community, or in price movement itself. Positive or negative events at the initial, Insider level, of analysis can manifest themselves in terms of “Change”, and “Out of Range Behavior”.

The MPT model of Insider Behavior is a 7-factor model - incorporating finely tuned weightings for: Selling and Buying; Transaction size; Transaction date relative to current; Options-related transactions; Historical company behavior; Insider position and; Initial transactions - is not a retro-fitted theoretical model, but has been produced "live" and used by the professional money management community for 24 years. Past performance spreads - between companies ranked best and those ranked worst – have clearly been positive over the period the research has been live.

An corollary to the theory is found in the aggregation of Insider behavior by Industry or Economic Sector. The advantage of cumulative data points amongst aggregation of like-companies provides additional statistical confidence in the behavior observed in this Insider model of robust design. In this approach, Analyst and Market pricing behavior is also aggregated in order to develop a sense of the larger picture.

The following graphic example (Model Scores) provides a dynamic picture of change in MPT Earnings, Insider, Technical and Summary model scores over the past 28 months, with the most recent data point (January 26th 2007) to the right. The Yellow squares reflect the most positive scores in the key models, with Black signifying the most negative conditions. Color gradients from Dark Green to Gray are included. Numeric scores are provided as well. These plots are available for our coverage universe of over 5,000 Companies - which values are aggregated upward through 16 Economic Sectors, and 59 Industry Groups.

Probability Plots, and the Informational Hierarchy. It is one thing to have access to information; another to model it in a cohesive, and actionable manner; and yet another to actually “see” the data in a meaningful context. The graphic provided by the MPT Probability Plot allows visualization of not only Market Relative and Self Relative behavior, but the interaction of a given set of related behavioral inputs as well.

The following graphic illustrates these points. To orient you, the view reveals scores for 4-MPT Behavioral model inputs: Insider (I), Earnings (E), Relative Price Strength (T); and Summary (S) - (the latter combining all models into one).

The highest scores for each model are located at the outside of each model arm and the lowest to the middle. The grey shaded area represents the “normal” range for each model. The red dot reveals the current model score for each variable. A score toward the center, white area, indicates out of range behavior in a negative direction. Think of the connections between current values for all four models as creating the red, shaded overlay on the normalized outcomes. Using this view, one is able to instantly ascertain the condition of the company, industry or sector relative to both other companies, and to itself. In this example, we note that not only is the current Insider model score for the company at the low end of scores for all companies, but it is below the normalized range for the company itself. This is a warning flag. The Probability Plot includes strong scores for both Earnings and Summary models, and their combination with the Insider profile would force us to become "sensitized" and focus on potential upcoming negative changes in analyst estimates and/or Earnings Surprise.

To reiterate, Interaction amongst the various behavioral models is an important feature of our approach. In the MPT view, and after working with this concept for 23 years, we have found that the information flow moves from the Insider signal through Earnings, and is expressed either coincidently or shortly thereafter through a market pricing response. The arrow in the graphic illustrates this flow. Another term we use is that of a “Behavioral Market Clock” , with the Insider input located at the starting, 12 O’clock postion. As illustrated in the example, an adequate Insider "signal" should cause the practitioner to begin focusing on earnings revisions for signs of movement in the same direction implied by Insider behavior. Managers basing their investment decisions on Value or GAARP should be particularly interested in this type of modeling, as it has the potential for improving the timing of longer-term entry and exit points.

Applying this approach to the concept of a “Market Clock”, and beginning with Insider change, by the time the model score improvement gets around to the Summary model (S), all models have kicked into gear - followers of Insider behavior, Earnings models (revisions and surprise), and Price Momentum, are all “on-board” - and the share price has accelerated significantly.

In the final analysis, the basis for our work is the principle that in a well-designed model, Corporate Insiders – whether by action or inaction – buying or selling – provide initial clues as to how they perceive the relative attractiveness of their own company shares. These clues gain cachet through an Insider's proximity to corporate developments, training, and the wherewithal to act. They have tended to be correct and serve as primary nodes in our particular Behavioral model – more often than not leading both the analyst community and price direction.

We hope you find the advanced features provided in this on-line version of the MPT data a useful resource. We welcome commentary and look forward to visiting each of you over the coming months to present applications of our extremely exciting new perspective.
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Copyright ©2003 Market Profile Theorems, Inc. All rights reserved.

The data contained in this report were taken from statistical services, reports in our possession, and from other sources. The opinions and estimates expressed are our own, and we make no representation either as to the accuracy or as to the existence of other facts or interpretations which might be significant. The information herein was gathered from responsible sources but we cannot guarantee its accuracy or completeness. We may from time to time have a position in the securities described in this report and may buy or sell such securities.