This model was introduced at message 235565.Graphs are available at http://theastuteinvestor.com/_wsn/page4.htmlThe market has started to slip but we still have a tug of war between the still-in-tact uptrend and the poor sentiment data:Earnings:Earnings estimates for the S & P 500 were unavailable at my data provider but I'm very sure that they will still be in an uptrend this week. Exposure remains the same this week at 100% because the weighted average is increasing as 2013 estimates are factored into the mix.Sentiment Factors:Investors in the Rydex Funds continued to hold extremely bullish positions that are at record levels. Exposure = -10%, maximum bearish position.NAAIM investors became a bit less bullish but they are still optimistic. Exposure = 20%, up from 5% last week.Small option buyers trimmed back their bullishness just a bit but they are still very bullish. Exposure = 5%, same as last week.When one of my sentiment indicators is maximum bearish and each of the others is neutral or bearish I assign an overall sentiment exposure of 0%.Valuation:Percentage of value represented by net current assets increased last week. Exposure = 60%, up from 40% last week.Comparison of bond yields to stock earnings yields were unavailable but I assume they did not change last week. Exposure = 50%, same as last week. Total valuation factor exposure = 55%, up from 45% last week.I combine these three factors by multiplying them together and then taking the cube root. These factors, therefore, lead to a 0% exposure, same as last week.Technicals:The trend in high yield bonds compared to treasuries is still in an uptrend so I add 10%.NH-NL is still positive but acting poorly. I add 20% when they are positive. Total technical adjustments are +30% and exposure = 30%, same as last week.Two week moving average is 30%, up from 25% last week.Year to date, my model is up 1.5%, way below the 13.6% advance of the S & P 500.
Best Of |
Favorites & Replies |
Start a New Board |
My Fool |
BATS data provided in real-time. NYSE, NASDAQ and NYSEMKT data delayed 15 minutes.
Real-Time prices provided by BATS. Market data provided by Interactive Data.
Company fundamental data provided by Morningstar. Earnings Estimates, Analyst Ra