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Investing/Strategies / Mechanical Investing
|Subject: Four Factor Model Weekly Update||Date: 3/24/2013 3:19 PM|
|Author: roguecfa||Number: 242440 of 258104|
Explanations of this model and performance figures for 2013 are available at www.wallstreetmodel.com.
Another week and another foreign bank meltdown but no one is concerned about the impact on the economy of the US. The market gyrates but, as long as earnings are perceived to be increasing this year, the bulls remain in control.
Earnings results continue to be flat to down as they are reported. The gap between last twelve month results and future twelve month expectations is now more than 27% and it continues to grow. This indicator continues to suggest 0% exposure this week.
Twelve month forward earnings are still trending higher as analysts obviously think things will improve as the year goes along.
This indicator is still positive at this point with 100% exposure.
2013 estimates are my third indicator and they were decreased just marginally again last
week. They are still in an uptrend, though.
This indicator continues to call for 100% exposure.
Total exposure from the earnings factor is 67%, same as last week.
Rydex leveraged fund investors maintained their bullish posture last week. The trend, though, is still not in extreme territory.
Exposure from this indicator stays at 5%, same as last week.
Small option buyers got a bit more bullish last week but are still on the bearish side of neutral.
Exposure decreases to 65% from 80% 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 20% this week, down from 25% 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 increased last week as interest rates declined.