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文章时间: 2012-1-26 周四, 上午1:38    标题: 引用回复




Today's Missive
David Rosenberg - Jan 25th, 2012


"Most measures of market sentiment are back to where they were last May just when the S&P 500 was peaking.

Short interest has dried up to three year lows.

The VIX closed the week below 20 for the first time since last July.

Volume in leveraged ETF's versus bearish ones has risen to levels that in the past touched off interim market pullbacks.

Credit market indicators have lagged well behind the improvement in equity performance.

The S&P 500 is three standard deviation points above its 20-day moving average.

Again, the ratio of the 15-day volume puts on the S&P 100 Index to bullish call volume hit 2-to-1 last week - this happened in the February 2007, February 2011 and April 2011."

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文章时间: 2012-1-28 周六, 下午2:23    标题: 引用回复


Daneric's Elliott Waves

Elliott Wave Theory, Technical Analysis, and Social Mood Commentary

http://danericselliottwaves.blogspot.com/



Elliott Wave Update ~ 27 January 2012

Friday, January 27, 2012 4:47PM


Update 4:47PM: Dollar is filling that gap. That is one of the last "unfulfilled" charts I was watching.




Update 4:44PM: One of the reasons I'm bearish is because the credit markets are telling me to be bearish.
Portugal is an example of rising yield deflation. The ECB is playing "whack-a-mole" with each nation deep in debt. Greece, Italy. Well, they cannot forget Portugal huh? There are other lurkers out there too. Expect a surprise or two or three. The market is funny that way.


(ORIGINAL POST ~ 27 January 2012)

Primary count is still wave iv of (c) of [y] of Minor 2 up. Wilshire shown for superior form but the SPX would be counted the same. We'll give the bulls the benefit of the doubt since support again easily held.




However, we may have a stealth impulse pattern down from the high to today's low. That gives the bears an edge. 5 waves down implies at least another 5 waves down should follow to either form a wave iv low or even begin a larger pattern for Minor 3 down.

Its not a great impulse pattern, but you can see we can make it work. I kinda like it though. Today had a bit of a distribution feel about it. Every little dip was bought and every little rise was sold. However up volume ratio and advancers were positive pretty much all day despite the negative price bias. So that agrees with an interpretation of wave iv and suggests there is still a certain "buoyancy" in the market.




SPX shows the key price support zone and the channel. As long as they hold up in general, we have to assume this is wave iv because that what "looks best".



Primary count is the market is tracing out a corrective wave iv of (c) of [y] of Minor 2. The high of SPX 1333.47 would mark the price top of wave iii.

There are 4 things to watch and all can be seen in the SPX chart above:

1. The support zone (marked as Key Price Zone) should hold for wave iv. It has so far.

2. The lower channel line should, in general, hold for wave iv.

3. Wave iv should take the form of a corrective pattern [a]-[b]-[c] either a flat, zigzag or triangle or a combination.

4. An impulse 5 wave pattern to the downside would indicate a trend change to bearish. So far at least the wave pattern from Thursday early high does not count well as an impulse down. Therefore we assume the market is tracing Subminuette wave iv with wave v to come after the corrective is over.


Fib calculations for wave v:

This is getting ahead of things but since wave i is the proposed longest wave of the structure, wave v will be shorter than wave iii. A good target for v would be .618 times the price length of wave i in this case.

Suppose wave iv's price low is 1310 SPX. You would then take 82.25 (price length of i) multiplied by .618 and you get a projected wave v price length of 51 points. 1310 + 51 points = a top of 1361 which would just break Prechter's announced stop of 1360.

The "minimum" requirement for wave v is just to make a higher high above today's 1333 mark. So our target range for wave v would be 1334 to roughly 1361. This is very much subject to change depending on our ability to identify a completed wave iv, but I wanted to show how the thought process works in EW theory.

We'll see what Monday's price action does. It is a key day.


Posted by Daneric at 4:28 PM. 168 Comments:

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文章时间: 2012-2-01 周三, 下午4:59    标题: 引用回复


Why U.S. stocks could soar another 15% in 2012

February 1, 2012, 2:15 PM


The word from Wall Street is clear: It’s time to lighten up on U.S. stocks.

Don’t buy it.

Sure, the Standard & Poor’s 500 Index SPX +0.89% is up more than 20% since its October low, but Wall Street increasingly believes this rally is about to hit the wall.

Bullish sentiment among market strategists fell to a two-year low in January, according to Bank of America Merrill Lynch. The firm’s “Sell Side Indicator” is now registering more pessimism on Wall Street than at any time since August 2009, according to a research report published Wednesday.

That’s good for stocks. Really good. In fact, the indicator suggests that U.S. stocks could post a 15% total return over the next 12 months, propelling the S&P 500 to 1475.

In case you’re wondering, the Sell Side Indicator is a contrarian gauge – bearishness is bullish, and vice versa. It’s based on the average recommended equity allocation of Wall Street strategists, which is now at 55.6% compared to a 15-year historical average of 60.7%. The bottom, bearish extreme (read: bullish for stocks) is 55.4%.

The Sell Side Indicator has been remarkably accurate over the years. Indeed, when the indicator has been this low, total returns over the following 12 months have been positive 93% of the time, with median 12-month returns of 23%, BofA Merrill data show.

“Given the contrarian nature of this indicator, we take some comfort in Wall Street’s waning optimism and the fact that strategists are increasingly recommending that investors underweight equities when compared to a traditional long-term average benchmark weighting of 60-65%,” BofA Merrill analysts noted.


– Jonathan Burton, Money & Investing Editor



__________________________________________________________________________________

http://online.wsj.com/article/BT-CO-20120201-715752.html

Investors who were incorrectly bearish on equities are now coming in and recognizing that stocks may have some value here. Since early September, an overwhelming number of the economic releases have been on the stronger side of expectations or better than the prior period ... and the market is reassessing towards a slightly rosier economic view.

In spite of a 20% rally off the market's October lows, investors continue to remain wary of stocks.

Skepticism remains high. In a report to clients Wednesday, Bank of America-Merrill Lynch noted that Wall Street sentiment towards stocks had fallen to a two-and-a-half-year low. According to the report, Wall Street strategists are steering investors away from stocks at a level rarely seen in the past 15 years.


Sell Side Consensus Contrary Indicator

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文章时间: 2012-2-02 周四, 下午2:28    标题: 引用回复


这个Financial Advisers Sentiment,已经被一月份持续的涨势证明为contrarian indicator(反指)。
Very Happy

纯属误会 文章时间: 2012-1-04 周三, 上午2:24 写道:

Little enthusiasm for equities among advisers
By Bruce Kelly,January 1, 2012 6:01 am ET
http://www.investmentnews.com/article/20120101/REG/301019990

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文章时间: 2013-1-25 周五, 下午7:29    标题: 引用回复


What Is The Fear & Greed Index?

Dec 20, 2012 7:52 PM

A popular indicator to find out market's sentiment is CNNMoney's Fear & Greed index.
The Fear & Greed index is composed of 7 indicators:

1) Stock Price Momentum: S&P 500 versus its 125-day MA
2) Stock Price Strength: the number of stocks hitting 52-week highs and lows on NYSE
3) Stock Price Breadth: the volume of rising stock volume versus declining volume
4) Put and Call Options: the put/call ratio
5) Junk Bond Demand: the spread between yields on investment grade bonds and junk bonds
6) Market Volatility: the VIX
7) Safe Haven Demand: the difference in returns for stocks versus Treasuries

The index is scaled from 0-100, where the higher reading indicating more greed and 50 is neutral.

Detail explanation can be reviewed here at CNNMoney:
http://money.cnn.com/investing/about-fear-greed-tool/index.html

The latest number on Fear & Greed Index can be read here:
http://money.cnn.com/data/fear-and-greed/?iid=SF_INV_FG


Themes: Fear Greed Index
Stocks: SPY, VXX

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文章时间: 2013-1-25 周五, 下午7:48    标题: 引用回复


Fear and Greed Indicators


http://money.cnn.com/data/fear-and-greed/




Fear & Greed Over Time



Fear & Greed Indicator v.s. SPY (9 months chart)



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文章时间: 2013-2-12 周二, 上午10:27    标题: 引用回复

纯属误会 写道:

Why U.S. stocks could soar another 15% in 2012

February 1, 2012, 2:15 PM


The word from Wall Street is clear: It’s time to lighten up on U.S. stocks.

Don’t buy it.

Sure, the Standard & Poor’s 500 Index SPX +0.89% is up more than 20% since its October low, but Wall Street increasingly believes this rally is about to hit the wall.

Bullish sentiment among market strategists fell to a two-year low in January, according to Bank of America Merrill Lynch. The firm’s “Sell Side Indicator” is now registering more pessimism on Wall Street than at any time since August 2009, according to a research report published Wednesday.

That’s good for stocks. Really good. In fact, the indicator suggests that U.S. stocks could post a 15% total return over the next 12 months, propelling the S&P 500 to 1475.

In case you’re wondering, the Sell Side Indicator is a contrarian gauge – bearishness is bullish, and vice versa. It’s based on the average recommended equity allocation of Wall Street strategists, which is now at 55.6% compared to a 15-year historical average of 60.7%. The bottom, bearish extreme (read: bullish for stocks) is 55.4%.

The Sell Side Indicator has been remarkably accurate over the years. Indeed, when the indicator has been this low, total returns over the following 12 months have been positive 93% of the time, with median 12-month returns of 23%, BofA Merrill data show.

“Given the contrarian nature of this indicator, we take some comfort in Wall Street’s waning optimism and the fact that strategists are increasingly recommending that investors underweight equities when compared to a traditional long-term average benchmark weighting of 60-65%,” BofA Merrill analysts noted.


– Jonathan Burton, Money & Investing Editor



__________________________________________________________________________________


February 1, 2012, 3:35 p.m. ET
US Stocks Within Striking Distance Of Multiyear High
http://online.wsj.com/article/BT-CO-20120201-715752.html

Investors who were incorrectly bearish on equities are now coming in and recognizing that stocks may have some value here. Since early September, an overwhelming number of the economic releases have been on the stronger side of expectations or better than the prior period ... and the market is reassessing towards a slightly rosier economic view.

In spite of a 20% rally off the market's October lows, investors continue to remain wary of stocks.

Skepticism remains high. In a report to clients Wednesday, Bank of America-Merrill Lynch noted that Wall Street sentiment towards stocks had fallen to a two-and-a-half-year low. According to the report, Wall Street strategists are steering investors away from stocks at a level rarely seen in the past 15 years.



美国银行美林“熊市&牛市指数”(B&B)显示,目前市场情绪处于“牛市”领域接近历史最高水平
2013年02月12日


美国银行美林“熊市&牛市指数”(B&B)显示,目前市场情绪处于“牛市”领域接近历史最高水平。

该指数主要追踪市场情绪,计算的基础指标包括对冲基金市场风险敞口、资金流规模、仅持多仓的投资者持仓情况等等。

从下图可以看出,目前投资者的看涨情绪比2002年以来99%的时间里都要高:


目前B&B指数读数为9.6,最低为0,最高为10。这一水平暗示,投资者的情绪非常乐观,这种情况的特点是:新兴市场股市基金的资金流入活跃且规模大、相对于国债市场而言的买超高收益率信贷市场、以及在日元走弱油价走高的环境下对冲基金较为大胆的持仓。

BI指出,B&B指数向来被视作是市场的一个反向指标。而更糟糕的是,这种乐观情绪的上涨甚至是出现在进来经济数据走低的背景下,经济数据走势与投资者情绪走势的分化有可能意味着未来隐藏的一次大规模修正。

下图为美银美林“全球活动惊喜指数”和“熊市&牛市指数”今年以来出现分化的情况:

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文章时间: 2013-2-19 周二, 下午4:15    标题: 引用回复


WALL STREET: Here's What The S&P 500 Will Do This Year

Sam Ro | Jan. 5, 2013

No one knows for sure what will happen next in the stock market.

But there is no shortage of people who get paid to make a prediction

Fourteen of Wall Street's best sell-side equity strategist have published their 2013 year-end targets for the S&P 500.

Some calls were bearish, like Wells Fargo's Gina Martin Adams who sees the S&P falling to 1,390.

Others were bullish, like Citi's Tobias Levkovich who sees the S&P heading to 1,615.

A few veterans, legends, and graybeards like Byron Wien, Richard Bernstein, and David Rosenberg also submitted their forecasts.

We've also heard from money management behemoths BlackRock and Federated Investors.

Even the bond gods Bill Gross and Jeff Gundlach made stock market predictions.

Below is a round up of what the big Wall Street houses are predicting.


House -- S&P 500 Target -- EPS

Wells Fargo 1,390 $103.00
UBS 1,425 $108.00
Morgan Stanley 1,434 $98.71
Deutsche Bank 1,500* $108.00

Barclays 1,525 $105.00
Credit Suisse 1,550 $104.90
HSBC 1,560 --
Jefferies 1,565 $112.90
Goldman Sachs 1,575 $107.00
BMO Capital 1,575 $106.25
JP Morgan 1,580 $110.00
Oppenheimer 1,585 $108.00
BofA Merrill Lynch 1,600 $110.00 *
Citi 1,615 $108.00


AVERAGE 1,534 $106.90

NOTE: Almost all forecasts were published in December. We suspect many will make adjustments as the details of the fiscal cliff dealings get ironed out.

Read more: http://www.businessinsider.com/wall-street-2013-sp-500-outlook-2013-1?op=1#ixzz2LNjIaS7s



**********************************************************************************************


BANK OF AMERICA: Stock Market Sentiment Isn't As Bullish As Everyone Says It Is
Feb. 15, 2013


With stocks sitting near all-time highs, some experts warn that market sentiment is getting frothy. Historically, when sentiment peaks, stocks start to sell-off.

Bank of America Merrill Lynch's Savita Subramian agrees that sentiment has improved. But she argues that market sentiment is far from those dangerously bullish levels.

"Even though the S&P 500 has already risen 10% in the six months since sentiment bottomed, history suggests that rising markets can persist for years after sentiment troughs," writes Subramanian in a new note to clients. "Some have argued that our measure of sentiment, which is based on sell side strategists’ equity allocation recommendations, does not adequately capture today’s bullish market sentiment, as evidenced by the recent surge in equity inflows and rising stock prices."

Here's a look at where BAML's popular proprietary indicator. It's still bullish for stocks.

BAML sell-side indicator


Subramanian expands on two reasons why she still thinks sentiment isn't very bullish.

1) Sell-side strategists aren't bullish

2) Equity inflows have been big, but not big enough to offset years of outflows

Subramanian sees the S&P 500 ending the year at 1,600.

Read more: http://www.businessinsider.com/baml-sentiment-is-far-from-bullish-2013-2#ixzz2LNlW22uN

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文章时间: 2013-2-26 周二, 下午11:52    标题: 引用回复


The Investors Intelligence Sentiment Poll is compiled by Investors Intelligence


S&P 100 Index (OEXblack line)



http://www.schaeffersresearch.com/streetools/market_tools/investors_intelligence.aspx

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文章时间: 2013-3-04 周一, 下午12:15    标题: 引用回复


Danger as stock-market ‘Greedometer’ flashes red

Commentary: Key indicators look ominous for the market

By Brett Arends
28th February 2013

http://www.theburningplatform.com/?tag=brett-arends







美股评论:崩盘已经倒计时

2013年03月02日 新浪财经

   导读:MarketWatch专栏作家亚兰兹(Brett Arends)援引专家意见指出,就基本面而言,目前牛市其实已经到了盛极而衰,甚至随时可能崩盘的地步,市场继续保持强势的唯一原因就是美国和欧洲央行持续投放大量货币,而这显然是不能持久的。


  以下即亚兰兹的评论文章全文:


  各位可曾体会过1979年名片《异形》结尾时西格妮-韦弗(Sigourney Weaver)扮演的蕾普利的心境?在怪物杀害了她所有的伙伴之后,她决定爆炸自己的飞船来杀死对方。在启动了飞船的自毁装置之后,她冲向逃生舱,却发现怪物挡住了自己的去路。

  接下来的几分钟,就是让人心惊肉跳的追赶大戏。在蕾普利在飞船中的狭长走廊奔跑的同时,飞船电脑的声音响起,对余下的时间进行倒计时,直至一切淹没在令人目眩的大爆炸当中。

  事实上,近期的股市就可以给我们这样的感受。股市涨得越高,啦啦队就越起劲,大众也就越跟着兴高采烈——不必说,那些真正知道认真思考的人也就越感到恐惧(当然华尔街不在此列)。在这样的时分,我们没法不觉得自己就像琼斯,就像飞船上的猫一样,只能不安地在笼子当中窜来窜去。

  我不愿意一再强调,可事实就是如此,股价只是对企业未来权益的申领凭证。这才是问题的关键。一支股票的价格涨得越高,买进这支股票的交易就越不划算。听起来这似乎是废话,但是很多人偏偏就不明白这个道理。我们人类该有自卫的天性和本能,我们和旅鼠的最大差别就在于,后者总是喜欢在高处扎堆儿。

  这样的情形是否再度发生了呢?

  上周,我收到了一封来自Jeff Seymour的电子邮件,后者曾经是一位工程师,现在的职务是资产经理人。

  在过去七年当中,他一直在研究股市崩盘行情背后的数学原理。他的研究结论是,如果你能够找对指标,你就有很大的成算去预测行情。至少,你也可以因此获得一点领先优势。

  于是,他决心去找找,在1999年至2000年的大崩盘前夜,到底哪些指标发出了警告呢?而2006年至2007年,又有谁出来报警呢?

  西摩尔的结论是,有九个指标值得去关注。只有九个。

  这些指标从芝加哥选择权交易所的波动率指数(VIX)到经济周期研究所的每周领先指标指数(WLI),再到内线人士在公开市场上卖出的自己企业股票数量,不一而足。

  他将所有这些指标混合在了一起,组成了一个叫做Greedometer的综合指标,来度量在任何一个特定的时间节点,市场的自满和得意的情绪达到了怎样的危险程度。

  指标在2000年9月上旬发出了警报。如果你遵从其指导,立即退市,你就可以避开崩盘,保住自己一半的投资。

  随后,指标2007年5月发出了警报,如果你遵从了,又可以避开崩盘。

  还有,指标2011年4月发出了警报,随后市场就下跌了20%。

  好吧,实话是,Greedometer现在就发出警报了。而且,还是不小的警报——指数的最高读数是8000,而上周就涨到了7900。

  波动率指数在下跌,内线人士在卖出,投资顾问高度乐观,保证金债务正在逼近2007年的史上最高点……而经济却步履艰难。

  西摩尔指出,整体而言,现在的人们比起2007年股市峰值的时候甚至更加乐观,更加贪婪,更加志得意满。“股市总是死于安乐。”他评论道,“我们现在看到的就是这样的预兆。”

  任何单独的指标都可能会让人产生错觉。可是,当九个指标合而为一,就很难产生偏差了。他介绍说,1999年至今,这个综合指标给出的警报没有一个放空,而且该警告的时候也没有错过一次。

  (值得一提的是,Greedometer还不仅仅是一个单向的指标。在2002年至2003年,以及2008年至2009年,指标还曾发出过买进信号,而这些信号的正确性也被后来的行情证明了。)

  当然,从1999年到2013年,时间还是短暂的,数据还是有限的。我上学时学的专业不是工程,而是历史,我是会重视长期的。

  可是,Greedometer最近的警告绝对不是孤立的。我注意到,在眼下的牛市当中,已经出现了许多值得我们担心的情况。近期,小型股票涨到了历史最高点。最顽固的散户也开始入市了。我每次在市场上搜索,都很难找到合适的价值型股票投资。这确实太难了,因为大家都在涨。

  与此同时,我所接触到的专家当中,所有预测到过去两次崩盘的人现在都是忧心忡忡,而牛派又再一次将他们的担心当成了耳旁风。这些冷静的担心者包括波士顿债券巨头GMO的专家们,Research Affiliates的阿诺特(Rob Arnott),以及Hussman Funds的赫斯曼(John Hussman),后者甚至称,当前的投资环境堪称史上最差之一。

  是的,这些专家的立场转向悲观已经有一阵子了。市场现在之所以如此兴隆,唯一的原因就是美国联储主席伯南克和欧洲央行行长的垃圾都在竭尽全力向世界经济体系倾泻着大量货币。

  上周,联储备忘录发布,显示联邦公开市场委员会对于超级宽松的货币政策其实也有其忧虑。一些成员担心,这些白来的货币可能会导致金融资产出现泡沫,这样的做法危险系数太高。

  唉,和《异形》的情节不一样,没有人为我们倒计时,我们不知道一切会在何时终结,甚至也不知道会如何终结。可是,我们的确听到了警报声。


(子衿)

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文章时间: 2013-3-04 周一, 下午12:30    标题: 引用回复


Greedometer Dow 5000 Why nobody sees it coming

Jeff Seymour (Author)
Publication Date: July 1, 2012

http://www.amazon.com/Greedometer-5000-nobody-coming-ebook/dp/B008GTBPO2

Book Description

Greedometer explains why a global recession will begin in 2012, and the drastic impact on stocks, junk bonds, REITS, and commodities.
The collapse begins in April 2012, and will likely see the Dow drop to the 5000s in 2013.
(已经各推迟一年?)

At a minimum, the reader will learn:

- That early 2012 macroeconomic and technical stock market data are exhibiting similar readings to those seen prior to the major stock market collapses initiated in 2000 and 2007, and again by the collapses initiated in 2010 and 2011 that were terminated via repeated epic amounts of fiscal and monetary policy stimulus.

- Why US stock markets likely peaked in April - May 2012, then will lose approximately 60% over the ensuing year unless $trillions more in coordinated currency printing is initiated.

- Why stock markets have repeatedly crashed since the year 2000.

- Why stock markets will continue to be very volatile for several years to come.

- Many of the players in the investment industry have an agenda that frequently does not align with yours -- and why this divergence matters.

- How investment industry conflicts reduce your investment returns.

- How investment industry misinformation exposes your investments to life-changing losses.

- How to know if your investment professional is a sales person or fiduciary.

- Questions to ask a potential investment professional.


Greedometer is divided into three parts:

Part 1: The coming train wreck
This section lays the groundwork necessary for understanding the size of economic collapse likely in our immediate future. Macroeconomic data regarding the US economy, as well as that of Europe, Japan, and China is discussed.

Part 2: The Greedometers®
The second section is focused on providing an understanding of the greedometer® algorithms and the macroeconomic and technical data they incorporate. The greedometers® are algorithms designed to represent risk levels in the US stock market.

Part 3: Protect yourself from the investment industry
This section of the book provides insight into investment industry players. Their collective conspiracy of optimism and conflicts of interest distort reality and are an assault on the individual investor’s effort to obtain an accurate understanding of financial data.

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文章时间: 2013-3-04 周一, 下午12:36    标题: 引用回复


Greedometer
- About | Facebook
Release Date:April 2013

https://www.facebook.com/Greedometer/info

http://www.greedometer.com


About

Since the 1800s, once every 35 years US stock markets plummet until the P/E falls to 6. It dropped to 13 in March 2009. Jeff Seymour's latest book about investing -Greedometer 2.0. The Rats Are Jumping Ship- explains.

Description

Greedometer 2.0 explains why a global recession will spread in 2013 and 2014, and the drastic impact this will have on stocks, junk bonds, REITS, and commodities.
The S&P500 will likely peak in April 2013 at the 1530-1570 range, then drop to the 500s by mid/late 2014.

At a minimum, the reader will learn:

- That early 2013 macroeconomic and technical stock market data are exhibiting similar readings to those seen prior to the major stock market collapses initiated in 2000 and 2007, and again by the collapses initiated in 2010, 2011, and 2012 that were terminated via repeated epic amounts of fiscal and monetary policy stimulus.

- Why US stock markets will likely peak in April 2013, then lose 65-70% over the ensuing 1.5 years.

- Why stock markets have repeatedly crashed since the year 2000 and will continue to be very volatile for several years to come.

- Many of the players in the investment industry have an agenda that frequently does not align with yours -- and why this divergence matters.


Greedometer 2.0 is divided into three parts:

Part 1: Protect yourself from the investment industry
This section of the book provides insight into the conspiracy of optimism and conflicts of interest pervasive in the investment industry.

Part 2: The impending train wreck
This section lays the groundwork necessary for understanding the size of economic collapse likely in our immediate future.

Part 3: The Greedometers®
The second section is focused on providing an understanding of the greedometer® algorithms and the macroeconomic and technical data they incorporate.

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文章时间: 2013-3-05 周二, 上午11:21    标题: 引用回复


同一个Market Indicator的多种表述:

NAAIM Index =
NAAIM Advisors Survey =
NAAIM Survey of Active Managers =
NAAIM Member Exposure Average =
Average manager sentiment =
Aggressive fund managers’ market sentiment



****************************************

FLASH Headline Alerts
NAAIM Index: Managers Pull In Horns
March 2, 2013 @ 1:52 PM EST
by The "State" Team


NAAIM Survey of Active Managers

The National Association of Active Investment Managers (NAAIM) member firms who are active money managers are asked each week to provide a number which represents their overall equity exposure at the market close on a specific day of the week, currently Wednesday’s. Responses can vary from +200% long to -200% short. Responses are tallied and averaged to provide the average long (or short) position or all NAAIM managers, as a group.

The NAAIM Member Exposure Average is an average of member firms’ responses to the weekly survey as of the previous Wednesday.

Current Reading:
Current NAAIM Member Exposure Average: 82.77% .

Our analysis of the data shows this to be a Very High reading relative to those seen over the past year and represents a pullback from last week’s reading.

Here’s the chart from NAAIM, reflecting the survey since March 2011.
Purple is manager sentiment and green is the level of the S&P 500


Last Four Week’s Readings:

91.07%
89.85%
94.06%
104.25% (All Time High)

For reference purposes, the recent high water mark of the smoothed average has been 104.35% (2/1/2013) while the low was -3.56% on 10/5/2011.

Recent Quarterly Averages:

Q4 2012: 70.53
Q3 2012: 71.96
Q2 2012: 50.26%
Q1 2012: 64.18%
Q4 2011: 31.91%
Q3 2011: 34.07%
Q2 2011: 62.08%
Q1 2011: 71.48 %
Q4 2010: 70.00%
Q3 2010: 49.19%
Q2 2010: 54.04%
Q1 2010: 57.58%

For more about how to interpret the NAAIM readings, here is a report from the developer of the index, Will Hepburn.
http://www.stateofthemarkets.com/report/14053/When-Down-Can-Mean-Up-In-The-Stock-Market

Check out NAAIM’s New Website
http://www.naaim.org/

Why should you care about this data? According the originator of the survey and past NAAIM President William Hepburn, “NAAIM advisors absolutely nailed the 2008 decline by steadily reducing equity allocations beginning in late 2007.” Hepburn goes on to note, “NAAIM members had an average equity exposure of only 19% from June 2008 through March 2009.”

Although the survey is less than five years old, Ned Davis Research notes that when the NAAIM Survey is above 73% (which occurs approximately 23% of the time), the S&P 500 has lost ground at an annualized rate of -3.8% per year. This is likely due to the fact that by the time the survey sports a high reading; most managers have already established long positions.

When the survey reading is between 14% and 73%, the S&P has gained +1.9% per year (approximately 70% of the time). And when the survey reading is below 14% the S&P has gained at a rate of +40.0% (again, a low reading suggests that managers have already sold). This reading has only occurred 6% of the time.

Link To Survey and NAAIM site:
http://www.naaim.org/news/naaim-survey-of-manager-sentiment/


**********************************************************************************************

Be Afraid: Active Managers Are Crazy Bullish Lately

Fred Goodwin, State Street’s (STT) “Mr. Risk,” notes today that one closely watched reading of aggressive fund managers’ market sentiment is at “an intergalactic high.”

Which is true. A quick look at the National Association of Active Investment Managers’ weekly survey shows an all-time weekly high a month ago, at an average 104%. 100% means “fully invested.” The measure had only exceeded 100% twice before in data back to 2006 (both during the market top in 2007). The ardor has cooled somewhat during February, but it’s still at just below 83% at last check. (You can download the survey history yourself here: http://www.naaim.org/wp-content/plugins/survey-data-importer/export-survey-data-xml.php)

In recent years, you might have done well to buy stocks when this group is excessively bearish. You can’t see it in the above chart, but average manager sentiment fell below “zero” just once — meaning managers said they’re invested 100% in cash or market neutral. It happened during October 2008. The same figure was in the single digits during the early 2009 market bottom.

Mr. Risk also has his eye on (among other things) the underperformance of the MSCI Emerging Markets Index this year. iShares MSCI Emerging Markets Index Fund (EEM) is down by about 2% year to date. “In 2000, 2001, 2002, and 2008 EM equities fell in the first two months and went on to post negative yearly returns,” he writes.


iShares MSCI Emerging Markets Index Fund (EEM)


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文章时间: 2013-3-05 周二, 上午11:59    标题: 引用回复

纯属误会 写道:

Danger as stock-market ‘Greedometer’ flashes red

Commentary: Key indicators look ominous for the market

By Brett Arends
28th February 2013

http://www.theburningplatform.com/?tag=brett-arends


  在过去七年当中,他一直在研究股市崩盘行情背后的数学原理。他的研究结论是,如果你能够找对指标,你就有很大的成算去预测行情。至少,你也可以因此获得一点领先优势。

  于是,他决心去找找,在1999年至2000年的大崩盘前夜,到底哪些指标发出了警告呢?而2006年至2007年,又有谁出来报警呢?

  西摩尔的结论是,有九个指标值得去关注。只有九个。

  这些指标从芝加哥选择权交易所的波动率指数(VIX)到经济周期研究所的每周领先指标指数(WLI),再到内线人士在公开市场上卖出的自己企业股票数量,不一而足。

  他将所有这些指标混合在了一起,组成了一个叫做Greedometer的综合指标,来度量在任何一个特定的时间节点,市场的自满和得意的情绪达到了怎样的危险程度。

  波动率指数在下跌,内线人士在卖出,投资顾问高度乐观,保证金债务正在逼近2007年的史上最高点……而经济却步履艰难。

  西摩尔指出,整体而言,现在的人们比起2007年股市峰值的时候甚至更加乐观,更加贪婪,更加志得意满。“股市总是死于安乐。”他评论道,“我们现在看到的就是这样的预兆。”

  任何单独的指标都可能会让人产生错觉。可是,当九个指标合而为一,就很难产生偏差了。他介绍说,1999年至今,这个综合指标给出的警报没有一个放空,而且该警告的时候也没有错过一次。


What were the indicators which were flashing red in 1999-2000, just before the collapse, he wondered? What were they showing in 2006-7?

Seymour’s conclusion: There are nine indicators you need to watch. Just nine.

They range from the Volatility Index or “VIX,” a measure in the options market, to the Weekly Leading Index (WLI) of the Economic Cycle Research Institute (ECRI), to the amount of stock that insiders are dumping on the market.

He put them all together in a doomsday machine he calls “the Greedometer.” It tells you just how dangerously complacent and carefree the market has become at any moment. See the Greedometer.

The VIX is down. Insider selling is up. Advisers are bullish. Margin debt — the amount investors are borrowing to buy stocks — is nearing the all-time, 2007 peak. And the economy is weakening.

In total, says Seymour, people are now even more greedy, complacent and euphoric and over the top for stocks than they were in 2007. “Stock markets die of euphoria,” he says. “These are the signals you look for.”

Any individual measure can give a false reading. Throw nine of them together, he argues, and it’s a different story. Since 1999 these nine indicators have given no false alarms, and missed no warnings.


http://www.triwealth.com/subscribers/newsletters/greedometer-newsletter-february-27-2013-wow/

Greedometer Newsletter February 27 2013
Last week the Greedometer continued its climb, reaching 7900rpm. Epic!

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文章时间: 2013-3-12 周二, 下午4:32    标题: 引用回复


[新闻] 纽时专栏/美股这波涨势 全靠信心拉抬


【经济日报╱席勒(Robert J. Shiller)】 2013.03.11


房市、股市和整体经济的复苏,终于出现持续的动能─或者大家都这么认为。

这种调点似乎基于几个明显的事实: 失业率从2009年10月的10%持续下滑,上个月为7.7%。更惊人的是,股市从2009年至今翻涨一倍,过去6个月格外强劲,上周道琼工业指数改写收盘新高,标普500指数也逼近空前高点。

房市景气(经季节调整)持续上扬。标普/凯斯席勒统计20大城市的房价指数去年上涨7%。种种生气蓬勃的迹象。这类讨论通常点出系统性复苏的重要讯号:信心。大家热切盼望市场出现重大进展,美国人已经放下2008年金融海啸的恐惧。

心存希望很好,但我们得谨记,股市、房市和整体经济变化的关系不大(我们经济学家会说他们只有低度关联),而且三者都容易遭逢急遽变化。

这些复杂因素,让情况有其它可能发展:我们会抵达另一波股市高峰吗?房市起飞是不是昙花一现?我们会不会再次步入衰退?

这其中当然有风险。国会深陷于预算危机和国债的对立;欧洲、亚洲和中东的问题可以轻易动摇人们的信心。2009年至今,市场对欧洲的信心屡屡遭遇突发、剧烈的变化。我们有理由相信美国能免于同样的动荡吗?

我一直对社会心理和经济如何影响信心感到困惑。情绪因素和世界观改变为何导致市场翻转的研究不多,最常援引的消费者信心和信心指数似乎,无助于洞察量化数据背后的变化。此外,我们还不了解信心的哪里些因素会驱动经济的各个面向。

我和同事从1989年起搜集资料并编纂指数,其中之一为「估值信心」,即调查受访者认为股市「未被高估」的比率。根据截至2月的6个月移动平均线,72%法人和62%散户认为股市未被高估,似乎信心充沛,但仍不及股市2007年登顶前的约80%。这和股市有什么关系?我20多年前和哈佛教授康贝尔(John Campbell)创立「周期性调整本益比」(CAPE,反映标普500成份股实质获利的10年平均值),CAPE最近徘徊在23,远高于历史平均的15,代表股市估值过高,未来报酬率可能低于平均。

我们比较目前和过去几个股市重要时期的估值、信心和CAPE 。2000年春天股市迅速登顶,仅33%法人和28%散户认为股市未被高估,当时CAPE升至46、是1871年统计资料迄今最高,这代表1990年代经济繁荣确实产生泡沫,投资人怀疑他们或许得赶快退场,当他们尝试这么做,股市跟著崩盘。

再参考2007年10月另一波股市高点(此后股市暴跌逾50% ),CAPE为27,82%法人和74%散户认为股市未被高估,皆与今日情势相仿。当时投资人不认为有泡沫,觉得股市崩盘机率很低。但结果是股市迅速重挫,起因似乎不是长期泡沫终于破裂,而是源于次贷危机和一连串投资人不知情的金融问题。很显然,信心可以突然改变,人们随时可能担心股市崩盘。

今日的金改法案和其它监管变革或许有助于预防另一场危机,但主管机关对导致信心遽变的想法,几乎束手无策。

重要的是,股市已经6年未曾创造名目新高。若是经通膨调整的标普综合总回报指数,已有13年不曾改写纪录,代表整整13年投资股市无法带来实质获利,这个事实恐怕不是信心的好理由。

但公众想法很难了解。我们可以继续研究,而且股市或经济再次大幅转变时,仍然感到困惑难解。

(作者Robert J. Shiller是耶鲁大学经济学教授/编译余晓惠)



Confidence and Its Effects on the Economy - The New York Times
http://www.nytimes.com/2013/03/10/business/confidence-and-its-effects-on-the-economy.html?pagewanted=all&_r=0

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