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Subject:  Four Factor Model Weekly Update Date:  2/24/2013  5:05 PM
Author:  roguecfa Number:  241850 of 270576

Explanations of this model and performance figures for 2013 are available at

Not much change again last week but at least there was some intraweek price volatility to keep things interesting. My model is turning a little more positive as some investors got a little spooked last week. Most of them, though, are still very complacent:

Earnings results reverted to previous readings as last twelve month numbers declined substantially. The gap between last twelve month results and future twelve month expectations is now almost 27% and it is growing again. My first earnings indicator is back to 0%, down from 100% last week.
Twelve month forward earnings are still trending higher and improved last week as optimistic analysts increase their estimates.
This indicator is still positive at this point with 100% exposure.
2013 estimates are my third indicator and they too continue positive.
They also call for 100% exposure.
Total exposure from the earnings factor is back to 67%, down from 100% last week.

Rydex leveraged fund investors got still more bullish last week and this indicator continues in an extreme bearish position.
Exposure from this indicator continues at -10%, same as last week.
Small option buyers swung over to put buying last week, indicating their growing concern.
Exposure increases to 65%, up from 50% last week.
NAAIM managers continued to be very optimistic and my indicator remains in extreme negative territory.
Exposure remains at -10% this week, the maximum bearish level.
Total sentiment exposure is 15% this week, up from -10% last week.

Percentage of stock prices represented by net current assets remained the same last week so
exposure continues at 20%, same as last week.
Comparison of stock earnings yield to ten year treasury yield stayed the same last week.
Exposure remains at 30%, same as last week.
Total valuation exposure is 25%, same as last week.

To combine these three factors, I multiply them together and then take the cube root. This week, that number is 29%, up from -10% last week.


My comparison of yields on treasury bonds compared to lower quality corporates remained positive last week.
I add 10% to account for this factor.
New highs - new lows on the Nasdaq are still positive.
I add 20% to account for this factor.
Total technical adjustments this week are +30%, same as last week.

After adjustments, total exposure for the week is 59% or, after rounding, 50% compared to 25% last week.
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